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General multilevel Monte Carlo methods for pricing discretely monitored Asian options
16 references·0 citing·30 second hop
General multilevel Monte Carlo methods for pricing discretely monitored Asian options (2020)General multilevel Monte Carlo methods fo…Numerical solution of stochastic differential equations (2016)Numerical solution of stochas…Multilevel Monte Carlo Path Simulation (2008)Multilevel Monte Carlo Path S…Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes (2006)Exact Simulation of Stochasti…Spectral Expansions for Asian (Average Price) Options (2004)Spectral Expansions for Asian…Options, Futures and Other Derivatives (2003)Options, Futures and Other De…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…A Jump-Diffusion Model for Option Pricing (2002)A Jump-Diffusion Model for Op…Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing (2000)Jump-Diffusion Processes: Vol…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Asymptotically Optimal Importance Sampling and Stratification for Pricing Path‐Dependent Options (1999)Asymptotically Optimal Import…The Variance Gamma Process and Option Pricing (1998)The Variance Gamma Process an…The Asymptotic Efficiency of Simulation Estimators (1992)The Asymptotic Efficiency of …A pricing method for options based on average asset values (1990)A pricing method for options …The valuation of options for alternative stochastic processes (1976)The valuation of options for …Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…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)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Option valuation using the fast Fourier transform (1999)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Value of Waiting to Invest (1982)The Behavior of Stock-Market Prices (1965)Time-changed Lévy processes and option pricing (2003)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)Backward Stochastic Differential Equations in Finance (1997)Overconfidence and Speculative Bubbles (2003)Martingale Methods in Financial Modelling (1997)Alternative models for stock price dynamics (2003)Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuous Time (2004)Facts and Fantasies about Commodity Futures (2006)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)Multi-level Monte Carlo Finite Element method for elliptic PDEs with stochastic coefficients (2011)Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients (2012)Optimal Model Management for Multifidelity Monte Carlo Estimation (2016)
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References

  • 1999Continuous Martingales and Brownian Motion6,253 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 2016Numerical solution of stochastic differential equations5,096 cited
  • 2003Monte Carlo Methods in Financial Engineering3,917 cited
  • 2003Options, Futures and Other Derivatives3,864 cited
  • 2003Financial Modelling with Jump Processes3,261 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 2002A Jump-Diffusion Model for Option Pricing1,895 cited
  • 1998The Variance Gamma Process and Option Pricing1,786 cited
  • 2008Multilevel Monte Carlo Path Simulation1,445 cited
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  • 2004Spectral Expansions for Asian (Average Price) Options221 cited
  • 1999Asymptotically Optimal Importance Sampling and Stratification for Pricing Path‐Dependent Options219 cited

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1992
The Asymptotic Efficiency of Simulation Estimators
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