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Efficient Pricing and Greeks in the Cross-Currency LIBOR Market Model
33/33 checkable references clean · checked 2026-08-28
Every reference with a DOI in the deposited reference list resolved to a known work in Crossref or DataCite at the dated check, and none carried a retraction, withdrawal, or removal notice.
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The 33 checked references that resolve
resolves10.2139/ssrn.1092665
Smooth Simultaneous Calibration of the LMM to Caplets and Coterminal Swaptions
resolves10.2139/ssrn.1214042
Multi-Factor Cross Currency Libor Market Models: Implementation, Calibration and Examples
resolves10.1287/mnsc.1040.0258
Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options
resolves10.2139/ssrn.1331904
Practical Policy Iteration: Generic Methods for Obtaining Rapid and Tight Bounds for Bermudan Exotic Derivatives Using Monte Carlo Simulation
resolves10.1080/14697680701763086
Improved lower and upper bound algorithms for pricing American options by simulation
resolves10.1016/s0168-9274(98)00042-7
General order conditions for stochastic Runge-Kutta methods for both commuting and non-commuting stochastic ordinary differential equation systems
resolves10.1016/s0167-6687(96)00004-2
Valuation of the early-exercise price for options using simulations and nonparametric regression
resolves10.1007/978-3-540-71992-2_107
Foresight Bias and Suboptimality Correction in Monte—Carlo Pricing of Options with Early Exercise
resolves10.2307/4126754
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model
resolves10.1080/13504860600858071
A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options
The 10 references without a DOI — listed, not checked
no DOI — not checkedref4
no DOI — not checkedThe problem with power-reverse duals
no DOI — not checkedref17
no DOI — not checkedSmoking adjoints: fast Monte Carlo Greeks
no DOI — not checkedMonte Carlo methods in financial engineering
no DOI — not checkedPrinciples and techniques of algorithmic differentiation
no DOI — not checkedGetting the drift
no DOI — not checkedref32
no DOI — not checkedref35
no DOI — not checkedAll power to PRDC notes
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