Pages that link to "Item:Q1916475"
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The following pages link to Efficient Monte Carlo simulation of security prices (Q1916475):
Displayed 38 items.
- Asymptotic properties of Monte Carlo estimators of diffusion processes (Q278039) (← links)
- Multi-level stochastic approximation algorithms (Q292915) (← links)
- A Gaussian approximation scheme for computation of option prices in stochastic volatility models (Q295695) (← links)
- Ninomiya-Victoir scheme: strong convergence, antithetic version and application to multilevel estimators (Q308405) (← links)
- Divergence of the multilevel Monte Carlo Euler method for nonlinear stochastic differential equations (Q373839) (← links)
- Gamma expansion of the Heston stochastic volatility model (Q483714) (← links)
- Multilevel hybrid split-step implicit tau-leap (Q509646) (← links)
- Limit theorems for weighted and regular multilevel estimators (Q515540) (← links)
- Convergence of the stochastic Euler scheme for locally Lipschitz coefficients (Q656817) (← links)
- Multilevel Monte Carlo for stochastic differential equations with additive fractional noise (Q666368) (← links)
- Monte Carlo computation of optimal portfolios in complete markets (Q951338) (← links)
- Analyzing multi-level Monte Carlo for options with non-globally Lipschitz payoff (Q964681) (← links)
- Monte Carlo methods for derivatives of options with discontinuous payoffs (Q1019974) (← links)
- Monte Carlo methods for security pricing (Q1391435) (← links)
- Filtered likelihood for point processes (Q1745614) (← links)
- The Euler scheme with irregular coefficients (Q1872290) (← links)
- Brownian meanders, importance sampling and unbiased simulation of diffusion extremes (Q1939714) (← links)
- On inference for fractional differential equations (Q1943988) (← links)
- Central limit theorem for the multilevel Monte Carlo Euler method (Q2258530) (← links)
- Randomness in a mathematical model for the transmission of respiratory syncytial virus (RSV) (Q2270459) (← links)
- A multi-level dimension reduction Monte-Carlo method for jump-diffusion models (Q2360709) (← links)
- Asymptotics of an efficient Monte Carlo estimation for the transition density of diffusion processes (Q2475266) (← links)
- Statistical Romberg extrapolation: a new variance reduction method and applications to option pricing (Q2496505) (← links)
- Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation (Q2511559) (← links)
- An optimal control variance reduction method for density estimation (Q2518612) (← links)
- BESSEL PROCESSES, STOCHASTIC VOLATILITY, AND TIMER OPTIONS (Q2788692) (← links)
- Unbiased Estimation with Square Root Convergence for SDE Models (Q2795863) (← links)
- Sensitivity Analysis for Monte Carlo Simulation of Option Pricing (Q2805366) (← links)
- CHI-SQUARE SIMULATION OF THE CIR PROCESS AND THE HESTON MODEL (Q2841330) (← links)
- On the Acceleration of the Multi-Level Monte Carlo Method (Q2949839) (← links)
- EXACT SIMULATION OF THE 3/2 MODEL (Q3166709) (← links)
- Efficient Computation of Hedging Portfolios for Options with Discontinuous Payoffs (Q4409042) (← links)
- EXPLICIT HESTON SOLUTIONS AND STOCHASTIC APPROXIMATION FOR PATH-DEPENDENT OPTION PRICING (Q4608114) (← links)
- Predicting integrals of diffusion processes with unknown diffusion parameters (Q4955495) (← links)
- A comparison of biased simulation schemes for stochastic volatility models (Q5190133) (← links)
- Constructive Quantization and Multilevel Algorithms for Quadrature of Stochastic Differential Equations (Q5256556) (← links)
- Computing Bayesian Means Using Simulation (Q5270661) (← links)
- Unbiased Monte Carlo estimate of stochastic differential equations expectations (Q5350276) (← links)