Citations of
Manuel Moreno

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Working papers

1. Manuel Moreno & Javier R. Navas, 2001. "On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives," Economics Working Papers 543, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
   Published as:
   • Manuel Moreno & Javier Navas, 2003. "On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives," Review of Derivatives Research, Springer, vol. 6(2), pages 107-128, May. [Downloadable!] (restricted)

   Cited by:

   1. Guglielmo Maria Caporale & Mario Cerrato, 2005. "Valuing American Put Options Using Chebyshev Polynomial Approximation," Economics and Finance Discussion Papers 05-03, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
      Other versions:
      • Guglielmo Maria Caporale & Mario Cerrato, 2005. "Valuing American Put Options Using Chebyshev Polynomial Approximation," Public Policy Discussion Papers 05-03, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
   2. Li, Minqiang, 2009. "A Quasi-analytical Interpolation Method for Pricing American Options under General Multi-dimensional Diffusion Processes," MPRA Paper 17348, University Library of Munich, Germany. [Downloadable!]
   3. Nelson Areal & Artur Rodrigues & Manuel Armada, 2008. "On improving the least squares Monte Carlo option valuation method," Review of Derivatives Research, Springer, vol. 11(1), pages 119-151, March. [Downloadable!] (restricted)
   4. Berridge, S.J. & Schumacher, J.M., 2002. "An irregular grid approach for pricing high-dimensional American options," Discussion Paper 99, Tilburg University, Center for Economic Research. [Downloadable!]
      Other versions:
      • Berridge, S.J. & Schumacher, J.M., 2004. "An irregular grid approach for pricing high-dimensional American options," Discussion Paper 18, Tilburg University, Center for Economic Research. [Downloadable!]
   5. Alexander Boogert & Cyriel de Jong, 2007. "Gas Storage Valuation Using a Monte Carlo Method," Birkbeck Working Papers in Economics and Finance 0704, Birkbeck, Department of Economics, Mathematics & Statistics. [Downloadable!]

2. Manuel Moreno, 1997. "Risk Management under a Two-Factor Model of the Term Structure of Interest Rates," Economics Working Papers 254, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]

   Cited by:

   1. Serafín Frache & Gabriel Katz, 2004. "Estimating a Risky Term Structure of Uruguayan Sovereign Bonds," Documentos de Trabajo (working papers) 0304, Department of Economics - dECON. [Downloadable!]

3. Manuel Moreno & Juan I. Peña, 1996. "On the Term Structure of Interbank Interest Rates: Jump-Diffusion Processes and Option Pricing," Economics Working Papers 191, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]

   Cited by:

   1. Enric Valor & Hipòlit Torró & Vicente Meneu, 2001. "Single Factor Stochastic Models With Seasonality Applied To Underlying Weather Derivatives Variables," Working Papers. Serie EC 2001-22, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]

4. Manuel Moreno, 1996. "A Two-Mean Reverting-Factor Model of the Term Structure of Interest Rates," Economics Working Papers 193, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]

   Cited by:

   1. Fernando Rubio, 2004. "Eficiencia Simple Del Mercado De Renta Fija En Chile," Finance 0405009, EconWPA. [Downloadable!]

1. Manuel Moreno & Javier Navas, 2003. "On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives," Review of Derivatives Research, Springer, vol. 6(2), pages 107-128, May. [Downloadable!] (restricted)
   Other versions:
   • Manuel Moreno & Javier R. Navas, 2001. "On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives," Economics Working Papers 543, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]

   See citations under working paper version above.Sorry, no citations of articles recorded.

This page was last updated on 2009-12-20.