scientific article; zbMATH DE number 7569345
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Publication:5095418
DOI10.12941/JKSIAM.2021.25.082zbMATH Open1497.91342MaRDI QIDQ5095418FDOQ5095418
Authors: Changwoo Yoo, Yongho Choi, Sangkwon Kim, Soobin Kwak, Y. Hwang, Junseok Kim 
Publication date: 8 August 2022
Title of this publication is not available (Why is that?)
Recommendations
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- Efficient and accurate finite difference method for the four underlying asset ELS
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- Stochastic duration and fast coupon bond option pricing in multi-factor models
Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
Cites Work
- Stochastic calculus for finance. II: Continuous-time models.
- Title not available (Why is that?)
- Efficient Monte Carlo simulation of security prices
- Sensitivity analysis for Monte Carlo simulation of option pricing
- Path-Dependent Options: Extending the Monte Carlo Simulation Approach
- On path integrals for the high-dimensional Brownian bridge
Cited In (4)
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