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Quasi-Monte Carlo Methods in Numerical Finance
5 references·16 citing·42 second hopsampled
Quasi-Monte Carlo Methods in Numerical Finance (1996)Quasi-Monte Carlo Methods in Numerical Fi…Pricing American-style securities using simulation (1997)Pricing American-style securi…Monte Carlo methods for security pricing (1997)Monte Carlo methods for secur…Estimating Security Price Derivatives Using Simulation (1996)Estimating Security Price Der…Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.Options: A Monte Carlo approach (1977)Options: A Monte Carlo approa…Pricing and Hedging with Discontinuous Functions: Quasi–Monte Carlo Methods and Dimension Reduction (2012)Pricing and Hedging with Disc…On improving the least squares Monte Carlo option valuation method (2008)On improving the least square…Space–time adaptive finite difference method for European multi-asset options (2007)Space–time adaptive finite di…Financial Modeling with Crystal Ball and Excel (2007)Financial Modeling with Cryst…A general dimension reduction technique for derivative pricing (2006)A general dimension reduction…Option Pricing: Valuation Models and Applications (2004)Option Pricing: Valuation Mod…ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)ANNIVERSARY ARTICLE: Option P…Applying Operations Research Techniques to Financial Markets (2003)Applying Operations Research …Transition Densities of Diffusion Processes (2002)Transition Densities of Diffu…Pricing American Options: A Duality Approach (2002)Pricing American Options: A D…Conditioning on One-Step Survival for Barrier Option Simulations (2001)Conditioning on One-Step Surv…Path Generation for Quasi-Monte Carlo Simulation of Mortgage-Backed Securities (2000)Path Generation for Quasi-Mon…The practice of portfolio replication. A practical overview of forward and inverse problems (1999)The practice of portfolio rep…Valuation of interacting real options in a tollroad infrastructure project (1998)Valuation of interacting real…Financial Applications of Monte Carlo and Quasi-Monte Carlo Methods (1998)Financial Applications of Mon…A Closed-Form Approximation for Valuing Basket Options (1998)A Closed-Form Approximation f…Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market (1991)Implied Binomial Trees (1994)Fuzzy portfolio optimization a quadratic programming approach (2003)Mechanism design for a multicommodity flow game in service network alliances (2008)Valuation of large variable annuity portfolios under nested simulation: A functional data approach (2015)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Investment Under Uncertainty. (1994)Gas Storage Valuation Using a Monte Carlo Method (2008)Activity signature functions for high-frequency data analysis (2009)Estimating and Using GARCH Models with VIX Data for Option Valuation (2012)Simulation Modeling and Analysis. (1983)Investment under Uncertainty (1994)Regression methods for pricing complex American-style options (2001)Monte Carlo valuation of American options (2002)Measuring Market Risk (2005)A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code (2000)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Theory of Rational Option Pricing (1973)Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)THE GARCH OPTION PRICING MODEL (1995)Theory of rational option pricing (2005)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Nonparametric Transition-Based Tests for Jump Diffusions (2009)The Term Structure of Variance Swaps, Risk Premia and the Expectation Hypothesis (2012)The term structure of equity and variance risk premia (2020)The valuation of options for alternative stochastic processes (1976)Efficient Procedures for Valuing European and American Path-Dependent Options (1993)Approximated moment-matching dynamics for basket-options pricing (2004)Static-arbitrage optimal subreplicating strategies for basket options (2005)Prices and sensitivities of Asian options: A survey (2007)“Options, Futures, and Other Derivatives” (2016)Prospect theory: An analysis of decision under risk (1988)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Introductory Econometrics for Finance (2008)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A new PDE approach for pricing arithmetic average Asian options (2001)A stochastic mesh method for pricing high-dimensional American options (2004)Simulation Optimization: A Review and Exploration in the New Era of Cloud Computing and Big Data (2015)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1977Options: A Monte Carlo approach1,341 cited
  • 1997Monte Carlo methods for security pricing856 cited
  • 1997Pricing American-style securities using simulation614 cited
  • 1996Estimating Security Price Derivatives Using Simulation449 cited

Cited by

  • 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications183 cited
  • 2004Option Pricing: Valuation Models and Applications164 cited
  • 1998A Closed-Form Approximation for Valuing Basket Options116 cited
  • 2002Transition Densities of Diffusion Processes105 cited
  • 1999The practice of portfolio replication. A practical overview of forward and inverse problems92 cited
  • 1998Valuation of interacting real options in a tollroad infrastructure project88 cited
  • 2007Space–time adaptive finite difference method for European multi-asset options77 cited
  • 2006A general dimension reduction technique for derivative pricing74 cited
  • 2001Conditioning on One-Step Survival for Barrier Option Simulations74 cited
  • 2007Financial Modeling with Crystal Ball and Excel52 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2000Path Generation for Quasi-Monte Carlo Simulation of Mortgage-Backed Securities44 cited
  • 2002Pricing American Options: A Duality Approach44 cited
  • 2012Pricing and Hedging with Discontinuous Functions: Quasi–Monte Carlo Methods and Dimension Reduction42 cited
  • 2008On improving the least squares Monte Carlo option valuation method37 cited
  • 2003Applying Operations Research Techniques to Financial Markets35 cited
  • 1998Financial Applications of Monte Carlo and Quasi-Monte Carlo Methods35 cited