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Monte Carlo methods for pricing discrete Parisian options
Bernard, Carole; Boyle, Phelim P. - In: The European journal of finance 17 (2011) 3/4, pp. 169-196
Persistent link: https://www.econbiz.de/10009155447
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Displaced lognormal volatility skews : analysis and applications to stochastic volatility simulations
Lee, Roger; Wang, Dan - In: Annals of finance 8 (2012) 2/3, pp. 159-181
Persistent link: https://www.econbiz.de/10009548134
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A few insights into cliquet options
Guillaume, Tristan - In: International journal of business 17 (2012) 2, pp. 163-180
Persistent link: https://www.econbiz.de/10009550120
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The planting real option in cash rent valuation
Du, Xiaodong; Hennessy, David A. - In: Applied economics 44 (2012) 4/6, pp. 765-776
Persistent link: https://www.econbiz.de/10009532031
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A bias-reduction technique for Monte Carlo pricing of early- exercise options
Whitehead, Tyson; Reesor, R. Mark; Davison, Matt - In: The journal of computational finance 15 (2011/12) 3, pp. 33-69
Persistent link: https://www.econbiz.de/10009534169
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American option pricing with discrete and continuous time models : an empirical comparison
Stentoft, Lars - In: Journal of empirical finance 18 (2011) 5, pp. 880-902
Persistent link: https://www.econbiz.de/10009492526
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Bayesian estimation of asymmetric jump-diffusion processes
Frame, Samuel J.; Ramezani, Cyrus A. - In: Annals of financial economics 9 (2014) 3, pp. 1-29
Persistent link: https://www.econbiz.de/10010512597
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Estimating sensitivities of temperature-based weather derivatives
Yuan, Wei; Göncu, Ahmet; Ökten, Giray - In: Applied economics 47 (2015) 19/21, pp. 1942-1955
Persistent link: https://www.econbiz.de/10010513460
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Least square regression methods for Bermudan derivatives and systems of functions
Kusuoka, Shigeo; Morimoto, Yusuke - In: Advances in mathematical economics 19 (2015), pp. 57-89
Persistent link: https://www.econbiz.de/10010519532
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A new class of dual upper bounds for early exercisable derivatives encompassing both the additive and multiplicative bounds
Joshu, Mark S. - In: Operations research letters 43 (2015) 6, pp. 581-585
Persistent link: https://www.econbiz.de/10011416308