IDEAS home Printed from https://ideas.repec.org/r/wop/safiwp/95-03-034.html
   My bibliography  Save this item

Faster Valuation of Financial Derivatives

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Chi, H. & Mascagni, M. & Warnock, T., 2005. "On the optimal Halton sequence," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 70(1), pages 9-21.
  2. Krupenev, Dmitry & Boyarkin, Denis & Iakubovskii, Dmitrii, 2020. "Improvement in the computational efficiency of a technique for assessing the reliability of electric power systems based on the Monte Carlo method," Reliability Engineering and System Safety, Elsevier, vol. 204(C).
  3. Ian Cooper & Marcel Martin, 1996. "Default risk and derivative products," Applied Mathematical Finance, Taylor & Francis Journals, vol. 3(1), pages 53-70.
  4. Xiaoqun Wang, 2016. "Handling Discontinuities in Financial Engineering: Good Path Simulation and Smoothing," Operations Research, INFORMS, vol. 64(2), pages 297-314, April.
  5. George Chang, 2018. "Examining the Efficiency of American Put Option Pricing by Monte Carlo Methods with Variance Reduction," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 10(2), pages 10-13, February.
  6. S. Corsaro & P. De Angelis & Z. Marino & F. Perla, 2011. "Participating life insurance policies: an accurate and efficient parallel software for COTS clusters," Computational Management Science, Springer, vol. 8(3), pages 219-236, August.
  7. John Rust & Joseph Traub & Henryk Wozniakowski, 1999. "No Curse of Dimensionality for Contraction Fixed Points Even in the Worst Case," Computational Economics 9902001, University Library of Munich, Germany.
  8. Sobol, I.M. & Shukhman, B.V., 2007. "Quasi-random points keep their distance," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 75(3), pages 80-86.
  9. Philipp N. Baecker, 2007. "Real Options and Intellectual Property," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-540-48264-2, October.
  10. Pierre Rostan & Alexandra Rostan & François-Éric Racicot, 2020. "Increment Variance Reduction Techniques with an Application to Multi-name Credit Derivatives," Computational Economics, Springer;Society for Computational Economics, vol. 55(1), pages 1-35, January.
  11. Siegl, Thomas & F. Tichy, Robert, 2000. "Ruin theory with risk proportional to the free reserve and securitization," Insurance: Mathematics and Economics, Elsevier, vol. 26(1), pages 59-73, February.
  12. Tan, Ken Seng & Boyle, Phelim P., 2000. "Applications of randomized low discrepancy sequences to the valuation of complex securities," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1747-1782, October.
  13. Nicola Cufaro Petroni & Piergiacomo Sabino, 2013. "Pricing and Hedging Asian Basket Options with Quasi-Monte Carlo Simulations," Methodology and Computing in Applied Probability, Springer, vol. 15(1), pages 147-163, March.
  14. Broadie, Mark & Glasserman, Paul, 1997. "Pricing American-style securities using simulation," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1323-1352, June.
  15. Xing Jin & Allen X. Zhang, 2006. "Reclaiming Quasi-Monte Carlo Efficiency in Portfolio Value-at-Risk Simulation Through Fourier Transform," Management Science, INFORMS, vol. 52(6), pages 925-938, June.
  16. Boyle, Phelim & Broadie, Mark & Glasserman, Paul, 1997. "Monte Carlo methods for security pricing," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1267-1321, June.
  17. Fathi Abid & Moncef Habibi, 2010. "Hedging Transaction Exposure within the Context of a Basket Foreign Exchange Rate Arrangement," Working Papers 523, Economic Research Forum, revised 05 Jan 2010.
  18. Ingo Beyna, 2013. "Interest Rate Derivatives," Lecture Notes in Economics and Mathematical Systems, Springer, edition 127, number 978-3-642-34925-6, October.
  19. Mark Broadie & Jerome B. Detemple, 2004. "ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications," Management Science, INFORMS, vol. 50(9), pages 1145-1177, September.
  20. Gerstner, Thomas & Griebel, Michael & Holtz, Markus, 2009. "Efficient deterministic numerical simulation of stochastic asset-liability management models in life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 434-446, June.
  21. Gonzalez, Jorge & Tuerlinckx, Francis & De Boeck, Paul & Cools, Ronald, 2006. "Numerical integration in logistic-normal models," Computational Statistics & Data Analysis, Elsevier, vol. 51(3), pages 1535-1548, December.
  22. Kucherenko, Sergei & Feil, Balazs & Shah, Nilay & Mauntz, Wolfgang, 2011. "The identification of model effective dimensions using global sensitivity analysis," Reliability Engineering and System Safety, Elsevier, vol. 96(4), pages 440-449.
  23. 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.
  24. Dong An & Noah Linden & Jin-Peng Liu & Ashley Montanaro & Changpeng Shao & Jiasu Wang, 2020. "Quantum-accelerated multilevel Monte Carlo methods for stochastic differential equations in mathematical finance," Papers 2012.06283, arXiv.org, revised Jun 2021.
  25. Ye Xiao & Xiaoqun Wang, 2019. "Enhancing Quasi-Monte Carlo Simulation by Minimizing Effective Dimension for Derivative Pricing," Computational Economics, Springer;Society for Computational Economics, vol. 54(1), pages 343-366, June.
  26. Xiaoqun Wang & Ian H. Sloan, 2011. "Quasi-Monte Carlo Methods in Financial Engineering: An Equivalence Principle and Dimension Reduction," Operations Research, INFORMS, vol. 59(1), pages 80-95, February.
  27. Fredrik Åkesson & John P. Lehoczky, 2000. "Path Generation for Quasi-Monte Carlo Simulation of Mortgage-Backed Securities," Management Science, INFORMS, vol. 46(9), pages 1171-1187, September.
  28. Ninomiya, Syoiti, 2003. "A new simulation scheme of diffusion processes: application of the Kusuoka approximation to finance problems," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 62(3), pages 479-486.
  29. Raymond Ross, 1998. "Good point methods for computing prices and sensitivities of multi-asset European style options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 5(2), pages 83-106.
  30. Sobol, I.M., 1998. "On quasi-Monte Carlo integrations," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 47(2), pages 103-112.
  31. Sobol Ilya M. & Shukhman Boris V., 2014. "Quasi-Monte Carlo: A high-dimensional experiment," Monte Carlo Methods and Applications, De Gruyter, vol. 20(3), pages 167-171, September.
  32. Aintablian, Sebouh & Khoury, Wissam El, 2017. "A simulation on the presence of competing bidders in mergers and acquisitions," Finance Research Letters, Elsevier, vol. 22(C), pages 233-243.
  33. Kucherenko, S. & Rodriguez-Fernandez, M. & Pantelides, C. & Shah, N., 2009. "Monte Carlo evaluation of derivative-based global sensitivity measures," Reliability Engineering and System Safety, Elsevier, vol. 94(7), pages 1135-1148.
  34. Okten, Giray & Eastman, Warren, 2004. "Randomized quasi-Monte Carlo methods in pricing securities," Journal of Economic Dynamics and Control, Elsevier, vol. 28(12), pages 2399-2426, December.
  35. Jean-Jacques Forneron, 2019. "A Scrambled Method of Moments," Papers 1911.09128, arXiv.org.
  36. Eichler Andreas & Leobacher Gunther & Zellinger Heidrun, 2011. "Calibration of financial models using quasi-Monte Carlo," Monte Carlo Methods and Applications, De Gruyter, vol. 17(2), pages 99-131, January.
  37. Sobol’, I.M & Asotsky, D.I, 2003. "One more experiment on estimating high-dimensional integrals by quasi-Monte Carlo methods," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 62(3), pages 255-263.
  38. Riccardo Rebonato & Ian Cooper, 1998. "Coupling backward induction with Monte Carlo simulations: a fast Fourier transform (FFT) approach," Applied Mathematical Finance, Taylor & Francis Journals, vol. 5(2), pages 131-141.
  39. John Rust, 1996. "Dealing with the Complexity of Economic Calculations," Computational Economics 9610002, University Library of Munich, Germany, revised 21 Oct 1997.
  40. Nguyen Nguyet & Ökten Giray, 2016. "The acceptance-rejection method for low-discrepancy sequences," Monte Carlo Methods and Applications, De Gruyter, vol. 22(2), pages 133-148, June.
  41. Yu-Ying Tzeng & Paul M. Beaumont & Giray Ökten, 2018. "Time Series Simulation with Randomized Quasi-Monte Carlo Methods: An Application to Value at Risk and Expected Shortfall," Computational Economics, Springer;Society for Computational Economics, vol. 52(1), pages 55-77, June.
  42. Xiaoqun Wang, 2006. "On the Effects of Dimension Reduction Techniques on Some High-Dimensional Problems in Finance," Operations Research, INFORMS, vol. 54(6), pages 1063-1078, December.
  43. Phelim P. Boyle & Adam W. Kolkiewicz & Ken Seng Tan, 2013. "Pricing Bermudan options using low-discrepancy mesh methods," Quantitative Finance, Taylor & Francis Journals, vol. 13(6), pages 841-860, May.
  44. Martin B. Haugh & Leonid Kogan, 2004. "Pricing American Options: A Duality Approach," Operations Research, INFORMS, vol. 52(2), pages 258-270, April.
  45. Xiaoqun Wang & Ken Seng Tan, 2013. "Pricing and Hedging with Discontinuous Functions: Quasi-Monte Carlo Methods and Dimension Reduction," Management Science, INFORMS, vol. 59(2), pages 376-389, July.
  46. Boyle, Phelim & Imai, Junichi & Tan, Ken Seng, 2008. "Computation of optimal portfolios using simulation-based dimension reduction," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 327-338, December.
  47. F. Y. Kuo & W. T. M. Dunsmuir & I. H. Sloan & M. P. Wand & R. S. Womersley, 2008. "Quasi-Monte Carlo for Highly Structured Generalised Response Models," Methodology and Computing in Applied Probability, Springer, vol. 10(2), pages 239-275, June.
  48. Xiaoqun Wang, 2009. "Dimension Reduction Techniques in Quasi-Monte Carlo Methods for Option Pricing," INFORMS Journal on Computing, INFORMS, vol. 21(3), pages 488-504, August.
  49. Marco Bianchetti & Sergei Kucherenko & Stefano Scoleri, 2015. "Pricing and Risk Management with High-Dimensional Quasi Monte Carlo and Global Sensitivity Analysis," Papers 1504.02896, arXiv.org.
  50. Yang, Jun & He, Ping & Fang, Kai-Tai, 2022. "Three kinds of discrete approximations of statistical multivariate distributions and their applications," Journal of Multivariate Analysis, Elsevier, vol. 188(C).
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.