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Comparison of randomization techniques for low-discrepancy sequences in finance
Tamura, Tsutomu - In: Asia-Pacific financial markets 12 (2005) 3, pp. 227-244
Persistent link: https://www.econbiz.de/10003407436
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Valuing derivatives in commercial banks of emerging markets : application to Slovenian market
Grum, Andraž - In: Mokslo darbai / Ekonomika (2005) 71, pp. 35-45
Persistent link: https://www.econbiz.de/10003470615
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Valuing modularity as a real option
Gamba, Andrea; Fusari, Nicola - In: Management science : journal of the Institute for … 55 (2009) 11, pp. 1877-1896
Persistent link: https://www.econbiz.de/10003909226
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Monte Carlo techniques in pricing and using derivatives
Marshall, Cara M. - In: Financial derivatives : pricing and risk management, (pp. 425-440). 2010
Persistent link: https://www.econbiz.de/10003920439
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Modelling the evolution of credit spreads using the Cox process within the HJM framework : a CDS option pricing model
Chiarella, Carl; Fanelli, Viviana; Musti, Silvana - 2009
Persistent link: https://www.econbiz.de/10008662364
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Sensitivities for Bermudan options by regression methods
Belomestny, Denis; Milʹstejn, Grigorij N.; … - In: Decisions in economics and finance : DEF ; a journal of … 33 (2010) 2, pp. 117-138
Persistent link: https://www.econbiz.de/10008668146
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Comment on "Correcting for simulation bias in Monte Carlo methods to value exotic options in models driven by Lévy processes" by C. Ribeiro and N. Webber
Becker, Martin - In: Applied mathematical finance 17 (2010) 1/2, pp. 133-146
Persistent link: https://www.econbiz.de/10003975363
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Pricing and Deltas of discretely-monitored barrier options using stratified sampling on the hitting-times to the barrier
Joshi, Mark S.; Tang, Robert - In: International journal of theoretical and applied finance 13 (2010) 5, pp. 717-750
Persistent link: https://www.econbiz.de/10008904339
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Unbiased Monte Carlo valuation of lookback, swing and barrier options with continous monitoring under variance gamma models
Becker, Martin - In: The journal of computational finance 13 (2009/10) 4, pp. 35-61
Persistent link: https://www.econbiz.de/10003996072
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Modelling the evolution of credit spreads using the Cox process within the HJM framework : a CDS option pricing model
Chiarella, Carl; Fanelli, Viviana; Musti, Silvana - In: European journal of operational research : EJOR 208 (2011) 2, pp. 95-108
Persistent link: https://www.econbiz.de/10008779603