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A modified least-squares simulation approach to value American barrier options
Zhang, Lihua; Zhang, Weiguo; Xu, Weijun; Shi, Xiang - In: Computational economics 44 (2014) 4, pp. 489-506
Persistent link: https://www.econbiz.de/10010489859
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American option valuation methods
Zhao, Jinsha - In: International journal of economics and finance 10 (2018) 5, pp. 1-13
Persistent link: https://www.econbiz.de/10011861003
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A semi-closed form approximation of arbitrage‑free call option price surface
Kundu, Arindam; Kumar, Sumit; Tomar, Nutan Kumar - In: Computational economics 63 (2024) 4, pp. 1431-1457
Persistent link: https://www.econbiz.de/10014549032
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A critical analysis of the Weighted Least Squares Monte Carlo method for pricing American options
Reesor, R. Mark; Stentoft, Lars; Zhu, Xiaotian - In: Finance research letters 64 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10014531706
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Importance sampling for option Greeks with discontinuous payoffs
Tong, Shaolong; Liu, Guangwu - In: INFORMS journal on computing : JOC 28 (2016) 2, pp. 223-235
Persistent link: https://www.econbiz.de/10011489268
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Valuation of callable accreting interest rate swaps : least squares Monte-Carlo method under Hull-White interest rate model
Tang, Kin Boon; Zheng, Wen-Jie; Lin, Chao-Yang; Lin, … - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-18
Persistent link: https://www.econbiz.de/10012821303
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Quasi-Monte Carlo-based conditional Malliavin method for continuous-time Asian option Greeks
Yu, Chao; Wang, Xiaoqun - In: Computational economics 62 (2023) 1, pp. 325-360
Persistent link: https://www.econbiz.de/10014327500
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Nonparametric Malliavin-Monte Carlo computation of hedging Greeks
Mancino, Maria Elvira; Sanfelici, Simona - In: Risks : open access journal 8 (2020) 4/120, pp. 1-17
We propose a way to compute the hedging Delta using the Malliavin weight method. Our approach, which we name the l …
Persistent link: https://www.econbiz.de/10012390464
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Bootstrapping the early exercise boundary in the least-squares monte carlo method
Létourneau, Pascal; Stentoft, Lars - In: Journal of risk and financial management : JRFM 12 (2019) 4/190, pp. 1-21
exercise boundary obtained with simulation based methods for American option pricing. The method works by exploiting and … of simulation setup, the characteristics of the option, and the dimensionality of the problem. Finally, because our …
Persistent link: https://www.econbiz.de/10012170988
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Estimating residual hedging risk with least-squares Monte Carlo
Ankirchner, Stefan; Pigorsch, Christian; Schweizer, Nikolaus - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-29
Persistent link: https://www.econbiz.de/10010498866