Pages that link to "Item:Q1391435"
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The following pages link to Monte Carlo methods for security pricing (Q1391435):
Displaying 50 items.
- The hexanomial lattice for pricing multi-asset options (Q272652) (← links)
- Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes (Q298749) (← links)
- Displaced lognormal volatility skews: analysis and applications to stochastic volatility simulations (Q470513) (← links)
- Pricing Asian options in a stochastic volatility model with jumps (Q529935) (← links)
- Efficient pricing of discrete Asian options (Q555398) (← links)
- Local spectral time splitting method for first- and second-order partial differential equations (Q556317) (← links)
- Sensitivities for Bermudan options by regression methods (Q604677) (← links)
- Fast delta computations in the swap-rate market model (Q633332) (← links)
- Efficiently pricing barrier options in a Markov-switching framework (Q708288) (← links)
- Subsampling bias and the best-discrepancy systematic cross validation (Q829119) (← links)
- Numerical valuation of discrete double barrier options (Q847225) (← links)
- Pricing multi-asset American-style options by memory reduction Monte Carlo methods (Q849756) (← links)
- Pricing European options by numerical replication: quadratic programming with constraints (Q853858) (← links)
- Efficient stochastic sensitivity analysis of discrete event systems (Q870582) (← links)
- An exact subexponential-time lattice algorithm for Asian options (Q878377) (← links)
- How sensitive is the pricing of lookback and interest rate guarantees when changing the modelling assumptions? (Q896747) (← links)
- Prices and sensitivities of Asian options: A survey (Q939350) (← links)
- Monte Carlo computation of optimal portfolios in complete markets (Q951338) (← links)
- Convergence and biases of Monte Carlo estimates of American option prices using a parametric exercise rule (Q951396) (← links)
- An irregular grid approach for pricing high-dimensional American options (Q952083) (← links)
- Pricing American Asian options with higher moments in the underlying distribution (Q953394) (← links)
- Randomized quasi-Monte Carlo methods in pricing securities (Q953725) (← links)
- An option pricing formula for the GARCH diffusion model (Q957204) (← links)
- On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options (Q972768) (← links)
- Pricing American options using a space-time adaptive finite difference method (Q982922) (← links)
- Superconvergence estimates of finite element methods for American options (Q993293) (← links)
- A method for computing the transition probability density associated with a multifactor Cox-Ingersoll-Ross model of the term structure of interest rates with no drift term (Q1005306) (← links)
- Accurate and efficient lattice algorithms for American-style Asian options with range bounds (Q1008586) (← links)
- Monte Carlo methods for derivatives of options with discontinuous payoffs (Q1019974) (← links)
- On improving the least squares Monte Carlo option valuation method (Q1025618) (← links)
- Strong consistency of the empirical martingale simulation option price estimator (Q1036915) (← links)
- Real options approach-based demand forecasting method for a range of products with highly volatile and correlated demand (Q1042071) (← links)
- Pricing American-style securities using simulation (Q1391436) (← links)
- Applications of randomized low discrepancy sequences to the valuation of complex securities (Q1583155) (← links)
- Asymptotic distribution of the EPMS estimator for financial derivatives pricing (Q1623433) (← links)
- Using forward Monte-Carlo simulation for the valuation of American barrier options (Q1639295) (← links)
- Pricing Asian options via compound gamma and orthogonal polynomials (Q1659626) (← links)
- Valuation of variable long-term care annuities with guaranteed lifetime withdrawal benefits: a variance reduction approach (Q1697245) (← links)
- Applications of generalized likelihood ratio method to distribution sensitivities and steady-state simulation (Q1745943) (← links)
- Massively parallel processing of recursive multi-period portfolio models (Q1751815) (← links)
- Numerical solutions to dynamic portfolio problems with upper bounds (Q1789606) (← links)
- A master equation approach to option pricing (Q1855544) (← links)
- Managing electricity market price risk (Q1869437) (← links)
- The effective dimension and quasi-Monte Carlo integration (Q1869960) (← links)
- The Euler scheme with irregular coefficients (Q1872290) (← links)
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies (Q1974042) (← links)
- Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation (Q1994265) (← links)
- A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model (Q1998282) (← links)
- Quasi-Monte Carlo simulation for American option sensitivities (Q2146323) (← links)
- Options as silver bullets: valuation of term loans, inventory management, emissions trading and insurance risk mitigation using option theory (Q2171344) (← links)
