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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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Pricing and deltas of discretely-monitored barrier options using stratified sampling on the hitting-times to the barrier
Joshi, Mark S.; Tang, Robert - 2009
Persistent link: https://www.econbiz.de/10003924345
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Pricing Asian options : a comparison of numerical and simulation approaches twenty years later
Horvath, Akos; Medvegyev, Peter - In: Journal of mathematical finance 6 (2016) 5, pp. 810-841
Persistent link: https://www.econbiz.de/10011657691
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A new control variate estimator for an Asian option
Kamizono, Kenji; Kariya, Takeaki; Liu, Regina Y.; … - In: Asia-Pacific financial markets 11 (2004) 2, pp. 143-160
Persistent link: https://www.econbiz.de/10003357648
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Optimal martingales and American option pricing
Cerrato, Mario (contributor); Abbasyan, Abdollah (contributor) - 2008
Persistent link: https://www.econbiz.de/10003806133
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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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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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Optimal martingales and American option pricing
Cerrato, Mario; Abbasyan, Abdollah - 2009
Persistent link: https://www.econbiz.de/10003875010
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Efficient Monte Carlo barrier option pricing when the underlying security price follows a jump-diffusion process
Ross, Sheldon M.; Ghamami, Samim - In: The journal of derivatives : the official publication … 17 (2009/10) 3, pp. 45-52
Persistent link: https://www.econbiz.de/10003961017
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Monte-Carlo valuation of American options : facts and new algorithms to improve existing methods
Bouchard, Bruno; Warin, Xavier - In: Numerical methods in finance : Bordeaux, June 2010, (pp. 215-255). 2012
Persistent link: https://www.econbiz.de/10009577193