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Recent advances in simulation for security pricing
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What this work says
Outgoing claims: the papers this work cites, builds on, or argues with.
inferredcites →https://doi.org/10.1016/0304-405x(77)90005-8openalex-snapshot
Options: A Monte Carlo approach
inferredcites →https://doi.org/10.1016/0378-4266(90)90039-5openalex-snapshot
A pricing method for options based on average asset values
inferredcites →https://doi.org/10.1016/0378-4754(91)90124-lopenalex-snapshot
Gradient Estimation via Perturbation Analysis
inferredcites →https://doi.org/10.1017/s0269964800003958openalex-snapshot
Sensitivity Analysis for Monte Carlo Simulation of Option Pricing
inferredcites →https://doi.org/10.1111/j.1467-9965.1995.tb00099.xopenalex-snapshot
THE GARCH OPTION PRICING MODEL
inferredcites →https://doi.org/10.1111/j.1467-9965.1995.tb00101.xopenalex-snapshot
VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE1
inferredcites →https://doi.org/10.1111/j.1540-6261.1987.tb02568.xopenalex-snapshot
The Pricing of Options on Assets with Stochastic Volatilities
inferredcites →https://doi.org/10.1111/j.1540-6261.1989.tb05062.xopenalex-snapshot
Prepayment and the Valuation of Mortgage-Backed Securities
inferredcites →https://doi.org/10.1137/1036002openalex-snapshot
Quasi-Random Methods for Estimating Integrals Using Relatively Small Samples
inferredcites →https://doi.org/10.1145/146382.146385openalex-snapshot
Implementation and tests of low-discrepancy sequences
inferredcites →https://doi.org/10.1145/76738.76750openalex-snapshot
Optimization of stochastic systems via simulation
inferredcites →https://doi.org/10.1214/aoap/1177004598openalex-snapshot
Efficient Monte Carlo Simulation of Security Prices
inferredcites →https://doi.org/10.1287/mnsc.41.12.1882openalex-snapshot
Numerical Valuation of High Dimensional Multivariate European Securities
inferredcites →https://doi.org/10.1287/mnsc.42.2.269openalex-snapshot
Estimating Security Price Derivatives Using Simulation
inferredcites →https://doi.org/10.1287/mnsc.42.6.926openalex-snapshot
Quasi-Monte Carlo Methods in Numerical Finance
inferredcites →https://doi.org/10.1287/opre.42.4.643openalex-snapshot
On the Convergence Rates of IPA and FDC Derivative Estimators
inferredcites →https://doi.org/10.2307/2290359openalex-snapshot
Random Number Generation and Quasi-Monte Carlo Methods.
inferredcites →https://doi.org/10.2307/2328826openalex-snapshot
Options, Futures, and Other Derivative Securities.
inferredcites →https://doi.org/10.2307/2331347openalex-snapshot
Numerical Valuation of High Dimensional Multivariate American Securities
inferredcites →https://doi.org/10.3905/jod.1994.407909openalex-snapshot
On the Simulation of Contingent Claims
inferredcites →https://doi.org/10.5194/gmd-2016-45-rc1openalex-snapshot
Numerical solution of stochastic differential equations
inferredcites →https://doi.org/10.7916/d8tb1frjopenalex-snapshot
New methodologies for valuing derivatives
What points at this work
Incoming claims: where this work appears in other papers’ reference lists and arguments.
inferred← citeshttps://doi.org/10.2139/ssrn.1020151openalex-extracted
Monte Carlo Methods and Path-Generation Techniques for Pricing Multi-Asset Path-Dependent Options
inferred← citeshttps://doi.org/10.2139/ssrn.1415699openalex-extracted
Simulations with Exact Means and Covariances
inferred← citeshttps://doi.org/10.1002/9781119203216openalex-snapshot
Financial Modeling with Crystal Ball and Excel
inferred← citeshttps://doi.org/10.1109/wsc.2000.899710openalex-snapshot
Using simulation for option pricing
inferred← citeshttps://doi.org/10.1145/224401.224467openalex-snapshot
A pruned and bootstrapped American option simulator
inferred← citeshttps://doi.org/10.5555/510378.510404openalex-snapshot
Options pricing: using simulation for option pricing
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