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Unbiased and efficient Greeks of financial options
16 references·0 citing·29 second hop
Unbiased and efficient Greeks of financial options (2010)Unbiased and efficient Greeks of financia…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Theory of rational option pricing (2005)Theory of rational option pri…Options, Futures and Other Derivatives (2003)Options, Futures and Other De…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Monte Carlo methods in finance (2002)Monte Carlo methods in financePricing Financial Instruments: The Finite Difference Method (2000)Pricing Financial Instruments…Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Applications of Malliavin cal…Estimating Security Price Derivatives Using Simulation (1996)Estimating Security Price Der…Options on the Maximum or the Minimum of Several Assets (1987)Options on the Maximum or the…An Intertemporal General Equilibrium Model of Asset Prices (1985)An Intertemporal General Equi…Options on the minimum or the maximum of two risky assets (1982)Options on the minimum or the…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)THE VALUE OF AN OPTION TO EXC…Options: A Monte Carlo approach (1977)Options: A Monte Carlo approa…The valuation of options for alternative stochastic processes (1976)The valuation of options for …Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing: A simplified approach (1979)The Pricing of Options on Assets with Stochastic Volatilities (1987)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Asset Prices in an Exchange Economy (1978)A Theory of the Term Structure of Interest Rates (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Efficient Capital Markets: II (1991)An Intertemporal Capital Asset Pricing Model (1973)Investment and the Valuation of Firms When There is an Option to Shut Down (1985)Changes of numéraire, changes of probability measure and option pricing (1995)Arbitrage Theory in Continuous Time (2004)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Arbitrage Theory in Continuous Time (1998)A critical review on supply chain risk – Definition, measure and modeling (2014)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)THE GARCH OPTION PRICING MODEL (1995)Monte Carlo methods for security pricing (1997)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)
this work references cited by second hop

References

  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 2003Options, Futures and Other Derivatives3,864 cited
  • 2003Monte Carlo Methods in Financial Engineering3,818 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1985An Intertemporal General Equilibrium Model of Asset Prices2,052 cited
  • 1978THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER1,740 cited
  • 1977Options: A Monte Carlo approach1,341 cited
  • 1982Options on the minimum or the maximum of two risky assets553 cited
  • 1999Applications of Malliavin calculus to Monte Carlo methods in finance549 cited
  • 2000Pricing Financial Instruments: The Finite Difference Method478 cited
  • 2002Monte Carlo methods in finance459 cited
  • 1996Estimating Security Price Derivatives Using Simulation449 cited
  • 1987Options on the Maximum or the Minimum of Several Assets

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