Pages that link to "Item:Q4409040"

The following pages link to Monte Carlo Evaluation of Greeks for Multidimensional Barrier and Lookback Options (Q4409040):

Displaying 19 items.

• Efficient simulation of Greeks of multiasset European and Asian style options by Malliavin calculus and quasi-Monte Carlo methods (Q273346) (← links)
• A general multidimensional Monte Carlo approach for dynamic hedging under stochastic volatility (Q274837) (← links)
• Optimal search for parameters in Monte Carlo simulation for derivative pricing (Q321025) (← links)
• Multidimensional quasi-Monte Carlo Malliavin Greeks (Q377789) (← links)
• Pricing and hedging of financial derivatives using a posteriori error estimates and adaptive methods for stochastic differential equations (Q708279) (← links)
• An integration by parts type formula for stopping times and its application (Q1707041) (← links)
• On density functions related to discrete time maximum of some one-dimensional diffusion processes (Q2101959) (← links)
• Computation of Greeks in jump-diffusion models using discrete Malliavin calculus (Q2229106) (← links)
• Integration by parts formula for killed processes: a point of view from approximation theory (Q2274216) (← links)
• Some properties of density functions on maxima of solutions to one-dimensional stochastic differential equations (Q2330408) (← links)
• Integration by parts formulas concerning maxima of some SDEs with applications to study on density functions (Q2804514) (← links)
• CONVERGENCE OF EUROPEAN LOOKBACK OPTIONS WITH FLOATING STRIKE IN THE BINOMIAL MODEL (Q2874731) (← links)
• Estimating Sensitivities of Portfolio Credit Risk Using Monte Carlo (Q2940072) (← links)
• Sequential Monte Carlo Methods for Option Pricing (Q3168706) (← links)
• Importance Sampling for Option Greeks with Discontinuous Payoffs (Q3186649) (← links)
• Derman and Taleb's ‘The illusions of dynamic replication’: a comment (Q3437392) (← links)
• Analytical pricing of single barrier options under local volatility models (Q5001176) (← links)
• Probabilistic representation of integration by parts formulae for some stochastic volatility models with unbounded drift (Q5096633) (← links)
• A systematic and efficient simulation scheme for the Greeks of financial derivatives (Q5234352) (← links)