Pages that link to "Item:Q4363594"
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The following pages link to Estimating Security Price Derivatives Using Simulation (Q4363594):
Displaying 50 items.
- Stochastic covariance and dimension reduction in the pricing of basket options (Q345719) (← links)
- Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process (Q470735) (← links)
- Unbiased and efficient Greeks of financial options (Q483704) (← links)
- A benchmarking approach to optimal asset allocation for insurers and pension funds (Q659228) (← links)
- Multilevel Monte Carlo methods and lower-upper bounds in initial margin computations (Q777908) (← links)
- Exotic options under Lévy models: an overview (Q818210) (← 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)
- Pricing participating products under a generalized jump-diffusion model (Q936992) (← links)
- Prices and sensitivities of Asian options: A survey (Q939350) (← links)
- Pricing American Asian options with higher moments in the underlying distribution (Q953394) (← links)
- Hedging using simulation: a least squares approach (Q956433) (← links)
- Numerical methods for Lévy processes (Q964687) (← 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)
- Monte Carlo methods for security pricing (Q1391435) (← links)
- Applications of generalized likelihood ratio method to distribution sensitivities and steady-state simulation (Q1745943) (← links)
- Malliavin calculus applied to finance (Q1859758) (← links)
- Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models (Q2006622) (← links)
- Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach (Q2015638) (← links)
- Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models (Q2022921) (← links)
- Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates (Q2040431) (← links)
- Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo (Q2076930) (← links)
- Quasi-Monte Carlo simulation for American option sensitivities (Q2146323) (← links)
- Estimating option Greeks under the stochastic volatility using simulation (Q2149316) (← links)
- Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: do fish jump? (Q2240016) (← links)
- Sensitivity estimates for portfolio credit derivatives using Monte Carlo (Q2271719) (← links)
- Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan (Q2333010) (← links)
- Pricing and risk of swing contracts in natural gas markets (Q2418428) (← links)
- Numerical methods to quantify the model risk of basket default swaps (Q2453103) (← links)
- Kernel estimation of Greek weights by parameter randomization (Q2467608) (← links)
- An efficient convergent lattice algorithm for European Asian options (Q2571992) (← links)
- Variance comparison between infinitesimal perturbation analysis and likelihood ratio estimators to stochastic gradient (Q2670503) (← links)
- Stochastic derivative estimation for max-stable random fields (Q2672077) (← links)
- Simulating Bermudan interest rate derivatives (Q2725585) (← links)
- Pricing and deltas of discretely-monitored barrier options using stratified sampling on the hitting-times to the barrier (Q2786033) (← links)
- Pricing of Path-Dependent European-Type Options Using Monte Carlo Simulation (Q2789094) (← links)
- Convergence analysis on a smoothing approach to joint chance constrained programs (Q2836097) (← links)
- Fast Monte Carlo Greeks for financial products with discontinuous pay-offs (Q2847241) (← links)
- Accelerating pathwise Greeks in the LIBOR market model (Q2882688) (← links)
- An Introduction to Particle Methods with Financial Applications (Q2917424) (← links)
- Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods (Q2917432) (← links)
- American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach (Q2935304) (← links)
- Estimating Sensitivities of Portfolio Credit Risk Using Monte Carlo (Q2940072) (← links)
- SENSITIVITY ANALYSIS OF NONLINEAR BEHAVIOR WITH DISTORTED PROBABILITY (Q2968276) (← links)
- PERTURBATION STABLE CONDITIONAL ANALYTIC MONTE-CARLO PRICING SCHEME FOR AUTO-CALLABLE PRODUCTS (Q3005957) (← links)
- Efficient price sensitivity estimation of financial derivatives by weak derivatives (Q3168630) (← links)
- Sequential Monte Carlo Methods for Option Pricing (Q3168706) (← links)
- Double Kernel Estimation of Sensitivities (Q3182432) (← links)
