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Option pricing theory
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Chao Yang
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Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
42
The journal of computational finance
7
International journal of theoretical and applied finance
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4
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4
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ECONIS (ZBW)
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Achieving higher order convergence for the prices of European pptions in binomial trees
Joshi, Mark S.
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contributor
)
-
2007
Persistent link: https://www.econbiz.de/10003632930
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32
The convergence of binomial trees for pricing the American put
Joshi, Mark S.
(
contributor
)
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2008
Persistent link: https://www.econbiz.de/10003797784
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33
The convergence of binomial trees for pricing the American put
Joshi, Mark S.
- In:
Journal of risk
11
(
2008/09
)
4
,
pp. 87-108
Persistent link: https://www.econbiz.de/10003881606
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34
Achieving higher order convergence for the prices of European options in binomial trees
Joshi, Mark S.
- In:
Mathematical finance : an international journal of …
20
(
2010
)
1
,
pp. 89-103
Persistent link: https://www.econbiz.de/10003955683
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35
A simple derivation of and improvements to Jamshidian's and Roger's upper bound methods for Bermudan options
Joshi, Mark S.
- In:
Applied mathematical finance
14
(
2007
)
3
,
pp. 197-205
Persistent link: https://www.econbiz.de/10003542984
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36
Analyzing the bias in the primal-dual upper bound method for early exercisable derivatives : bounds, estimation and removal
Joshi, Mark S.
-
2014
Persistent link: https://www.econbiz.de/10010348822
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37
Kooderive : multi-core graphics cards, the LIBOR market model, least-squares Monte Carlo and the pricing of cancellable swaps
Joshi, Mark S.
-
2014
Persistent link: https://www.econbiz.de/10010348823
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38
Monte Carlo bounds for callable products with non-analytic break costs
Joshi, Mark S.
(
contributor
)
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2006
Persistent link: https://www.econbiz.de/10003297269
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39
A simple derivation of and improvements to Jamshidian's and Rogers' upper bound methods for Bermudan options
Joshi, Mark S.
(
contributor
)
-
2006
Persistent link: https://www.econbiz.de/10003297275
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40
Achieving decorrelation and speed simultaneously in the Libor market model
Joshi, Mark S.
(
contributor
)
-
2006
Persistent link: https://www.econbiz.de/10003297310
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