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Pricing and Hedging with Discontinuous Functions: Quasi–Monte Carlo Methods and Dimension Reduction
9 references·1 citing·43 second hop
Pricing and Hedging with Discontinuous Functions: Quasi–Monte Carlo Methods and Dimension Reduction (2012)Pricing and Hedging with Discontinuous Fu…Efficient Monte Carlo and Quasi–Monte Carlo Option Pricing Under the Variance Gamma Model (2006)Efficient Monte Carlo and Qua…A general dimension reduction technique for derivative pricing (2006)A general dimension reduction…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Asymptotically Optimal Importance Sampling and Stratification for Pricing Path‐Dependent Options (1999)Asymptotically Optimal Import…A Comparison of Some Monte Carlo and Quasi Monte Carlo Techniques for Option Pricing (1998)A Comparison of Some Monte Ca…Monte Carlo methods for security pricing (1997)Monte Carlo methods for secur…Quasi-Monte Carlo Methods in Numerical Finance (1996)Quasi-Monte Carlo Methods in …Estimating Security Price Derivatives Using Simulation (1996)Estimating Security Price Der…On the Convergence Rates of IPA and FDC Derivative Estimators (1994)On the Convergence Rates of I…Conditional Sampling for Barrier Option Pricing under the LT Method (2013)Conditional Sampling for Barr…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)An Accelerating Quasi-Monte Carlo Method for Option Pricing Under the Generalized Hyperbolic Lévy Process (2009)Latin hypercube sampling with dependence and applications in finance (2010)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Pricing American-style securities using simulation (1997)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)Measuring Market Risk (2005)A guide to simulation (2nd ed.) (1986)A Unified View of the IPA, SF, and LR Gradient Estimation Techniques (1990)Gradient Estimation via Perturbation Analysis (1991)Simulation-Based Optimization with Stochastic Approximation Using Common Random Numbers (1999)Efficiency improvement and variance reduction (2005)Stochastic Gradient Estimation (2014)Options: A Monte Carlo approach (1977)Dynamic Asset Pricing Theory. (1993)A Closed-Form Approximation for Valuing Basket Options (1998)ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)Option Pricing: Valuation Models and Applications (2004)Martingales and arbitrage in multiperiod securities markets (1979)Options, Futures and Other Derivatives (2003)A stochastic programming model for asset liability management of a Finnish pension company (2006)“Options, Futures, and Other Derivatives” (2016)Operational Research: methods and applications (2023)Discrete Asian barrier options (1999)Conditioning on One-Step Survival for Barrier Option Simulations (2001)A Theory of the Term Structure of Interest Rates (1985)Variance Reduction Techniques for Estimating Value-at-Risk (2000)Chapter 11 Rare-Event Simulation Techniques: An Introduction and Recent Advances (2006)Rare events, splitting, and quasi-Monte Carlo (2007)Numerical solution of stochastic differential equations (2016)Simulation Modeling and Analysis. (1983)Simulation modeling and analysis (1999)Variance-Gamma and Monte Carlo (2007)Numerical methods for Lévy processes (2009)An investigation of project complexity's influence on team communication using Monte Carlo simulation (2011)A new PDE approach for pricing arithmetic average Asian options (2001)A stochastic mesh method for pricing high-dimensional American options (2004)Theory of rational option pricing (2005)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)
this work references cited by second hop

References

  • 2003Monte Carlo Methods in Financial Engineering3,818 cited
  • 1997Monte Carlo methods for security pricing856 cited
  • 1996Estimating Security Price Derivatives Using Simulation449 cited
  • 1996Quasi-Monte Carlo Methods in Numerical Finance243 cited
  • 1999Asymptotically Optimal Importance Sampling and Stratification for Pricing Path‐Dependent Options219 cited
  • 1998A Comparison of Some Monte Carlo and Quasi Monte Carlo Techniques for Option Pricing154 cited
  • 1994On the Convergence Rates of IPA and FDC Derivative Estimators100 cited
  • 2006Efficient Monte Carlo and Quasi–Monte Carlo Option Pricing Under the Variance Gamma Model85 cited
  • 2006A general dimension reduction technique for derivative pricing74 cited

Cited by

  • 2013Conditional Sampling for Barrier Option Pricing under the LT Method26 cited

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