Monte Carlo methods for pricing financial options
From MaRDI portal
Publication:2571446
DOI10.1007/BF02706251zbMath1137.91432MaRDI QIDQ2571446
Publication date: 8 November 2005
Published in: Sādhanā (Search for Journal in Brave)
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- Convergence and biases of Monte Carlo estimates of American option prices using a parametric exercise rule
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- An introduction to copulas. Properties and applications
- Valuation of the early-exercise price for options using simulations and nonparametric regression
- Monte Carlo methods for security pricing
- Pricing American-style securities using simulation
- Importance Sampling for Stochastic Simulations
- Adaptive Importance Sampling Technique for Markov Chains Using Stochastic Approximation
- Importance Sampling and the Cyclic Approach
- Optimal Exercise Policies and Simulation-Based Valuation for American-Asian Options
- Pricing American Options: A Duality Approach
- Probability with Martingales
- The Asymptotic Efficiency of Simulation Estimators
- Some mathematical results in the pricing of American options
- Fast simulation of rare events in queueing and reliability models
- Valuing American Options by Simulation: A Simple Least-Squares Approach
- Option pricing: A simplified approach
- Association of Random Variables, with Applications
- Stochastic differential equations. An introduction with applications.
