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Optimal importance sampling with explicit formulas in continuous time
Guasoni, Paolo; Robertson, Scott - In: Finance and stochastics 12 (2008) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10003592542
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Monte Carlo option pricing for tempered stable (CGMY) processes
Poirot, Jérémy; Tankov, Peter - In: Asia-Pacific financial markets 13 (2006) 4, pp. 327-344
Persistent link: https://www.econbiz.de/10003609514
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Simulation-based pricing of convertible bonds
Ammann, Manuel; Kind, Axel; Wilde, Christian - In: Journal of empirical finance 15 (2008) 2, pp. 310-331
Persistent link: https://www.econbiz.de/10003699167
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Gas storage valuation using a Monte Carlo method
Boogert, Alexander; Jong, Cyriel de - In: The journal of derivatives : the official publication … 15 (2008) 3, pp. 81-98
Persistent link: https://www.econbiz.de/10003673367
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The role of stochastic volatility and return jumps : reproducing volatility and higher moments in the KOSPI 200 returns dynamics
Kim, In-joon; Baek, In-Seok; Noh, Jaesun; Kim, Sol - In: Review of quantitative finance and accounting 29 (2007) 1, pp. 69-110
Persistent link: https://www.econbiz.de/10003600092
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Out-of-the-money Monte Carlo simulation option pricing : the join use of importance sampling and descriptive sampling
Marins, Jaqueline Terra Moura (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003382090
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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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Total risk minimization using Monte Carlos simulations
Coleman, Thomas F.; Li, Yuying; Patron, Maria-Christina - In: Financial engineering, (pp. 593-635). 2008
Persistent link: https://www.econbiz.de/10003567761
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Pricing of path-dependent American options by Monte Carlo simulation
Fujiwara, Hajime; Kijima, Masaaki - In: Journal of economic dynamics & control 31 (2007) 11, pp. 3478-3502
Persistent link: https://www.econbiz.de/10003569563
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A technique for reducing discretization bias from Monte Carlo simulations : option pricing under stochastic interest rates
Lindset, Snorre; Lund, Arne-Christian - In: The European journal of finance 13 (2007) 5/6, pp. 545-564
Persistent link: https://www.econbiz.de/10003570611