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Citations for "Options: A Monte Carlo approach"

by Boyle, Phelim P.

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  1. John S. Ying & Joel S. Sternberg, 2005. "The Impact of Serial Correlation on Option Prices in a Non- Frictionless Environment: An Alternative Explanation for Volatility Skew," Working Papers 05-12, University of Delaware, Department of Economics.
  2. Massimo Costabile & Arturo Leccadito & Ivar Massabó, 2009. "Computationally simple lattice methods for option and bond pricing," Decisions in Economics and Finance, Springer, vol. 32(2), pages 161-181, November.
  3. Tompkins, Robert G. & D'Ecclesia, Rita L., 2006. "Unconditional return disturbances: A non-parametric simulation approach," Journal of Banking & Finance, Elsevier, vol. 30(1), pages 287-314, January.
  4. ROMBOUTS, Jeroen V. K. & STENTOFT, Lars & VIOLANTE, Francesco, 2012. "The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options," CORE Discussion Papers 2012003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  5. Boyle, Glenn & Irwin, Tim, 2005. "Techniques for Estimating the Fiscal Costs and Risks of Long-term Output-based Payments," Working Paper Series 3857, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
  6. Jeroen V.K. Rombouts & Lars Stentoft, 2010. "Multivariate Option Pricing with Time Varying Volatility and Correlations," CREATES Research Papers 2010-19, School of Economics and Management, University of Aarhus.
  7. Lorenzo Mercuri & Fabio Bellini, 2014. "Option Pricing in a Dynamic Variance-Gamma Model," Papers 1405.7342, arXiv.org.
  8. Qasim Nasar-Ullah, 2013. "A parallel implementation of a derivative pricing model incorporating SABR calibration and probability lookup tables," Papers 1301.3118, arXiv.org.
  9. repec:dgr:uvatin:2098107 is not listed on IDEAS
  10. 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.
  11. Rodrigues, Artur & Armada, Manuel J. Rocha, 2007. "The valuation of modular projects: A real options approach to the value of splitting," Global Finance Journal, Elsevier, vol. 18(2), pages 205-227.
  12. 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.
  13. Valeriy Ryabchenko & Sergey Sarykalin & Stan Uryasev, 2004. "Pricing European Options by Numerical Replication: Quadratic Programming with Constraints," Asia-Pacific Financial Markets, Springer, vol. 11(3), pages 301-333, September.
  14. Jan Vlachý, 2009. "Solving the Capacity Optimization Problem under Demand Uncertainty," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 12(34), pages 97-116, (4).
  15. Mark Broadie & Jérôme B. Detemple, 1996. "Recent Advances in Numerical Methods for Pricing Derivative Securities," CIRANO Working Papers 96s-17, CIRANO.
  16. Jorgensen, Peter Lochte, 2007. "Traffic light options," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3698-3719, December.
  17. Chen, Ding & Härkönen, Hannu J. & Newton, David P., 2014. "Advancing the universality of quadrature methods to any underlying process for option pricing," Journal of Financial Economics, Elsevier, vol. 114(3), pages 600-612.
  18. Pringles, Rolando & Olsina, Fernando & Garcés, Francisco, 2015. "Real option valuation of power transmission investments by stochastic simulation," Energy Economics, Elsevier, vol. 47(C), pages 215-226.
  19. Saman Majd & Stewart C. Myers, 1986. "Tax Asymmetries and Corporate Income Tax Reform," NBER Working Papers 1924, National Bureau of Economic Research, Inc.
  20. Bossaerts, Peter & Hillion, Pierre, 2003. "Local parametric analysis of derivatives pricing and hedging," Journal of Financial Markets, Elsevier, vol. 6(4), pages 573-605, August.
  21. Silvia Caserta & Jon Danielsson & Casper G. de Vries, 1998. "Abnormal Returns, Risk, and Options in Large Data Sets," Tinbergen Institute Discussion Papers 98-107/2, Tinbergen Institute.
  22. Dibeh, Ghassan & Harmanani, Haidar M., 2007. "Option pricing during post-crash relaxation times," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 380(C), pages 357-365.
  23. Cassimon, D. & Engelen, P.J. & Thomassen, L. & Van Wouwe, M., 2007. "Closed-form valuation of American call options on stocks paying multiple dividends," Finance Research Letters, Elsevier, vol. 4(1), pages 33-48, March.
  24. 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.
  25. Dennis Kristensen & Antonio Mele, 2009. "Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models," CREATES Research Papers 2009-14, School of Economics and Management, University of Aarhus.
  26. Andrea Gamba & Lenos Trigeorgis, 2007. "An Improved Binomial Lattice Method for Multi-Dimensional Options," Working Papers wpn07-01, Warwick Business School, Finance Group.
  27. 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.
  28. Georgievski, Alex & Masih, A. Mansur M., 2004. "An analysis of option pricing under systematic consumption risk using GARCH," Research in International Business and Finance, Elsevier, vol. 18(2), pages 151-171, June.
  29. Charles Lee & Kristy Tran, 2010. "Adaptive algorithms for maximizing overall stock return," Decisions in Economics and Finance, Springer, vol. 33(2), pages 81-95, November.
  30. Giannopoulos, Kostas, 2008. "Nonparametric, conditional pricing of higher order multivariate contingent claims," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1907-1915, September.
  31. 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.
  32. Siddiqui, Afzal S. & Marnay, Chris & Wiser, Ryan H., 2007. "Real options valuation of US federal renewable energy research, development, demonstration, and deployment," Energy Policy, Elsevier, vol. 35(1), pages 265-279, January.
  33. Jan Vlachý, 2008. "Flexibility Value of Czech Power-Generation," Ekonomika a Management, University of Economics, Prague, vol. 2008(2).
  34. Collan, Mikael, 2008. "New Method for Real Option Valuation Using Fuzzy Numbers," Working Papers 466, IAMSR, Åbo Akademi.
  35. Dimitrakopoulos, Roussos G. & Abdel Sabour, Sabry A., 2007. "Evaluating mine plans under uncertainty: Can the real options make a difference?," Resources Policy, Elsevier, vol. 32(3), pages 116-125, September.
  36. Robert F. Engle & Joshua V. Rosenberg, 1995. "GARCH Gamma," NBER Working Papers 5128, National Bureau of Economic Research, Inc.
  37. Chow, Joseph Y.J. & Regan, Amelia C., 2011. "Network-based real option models," Transportation Research Part B: Methodological, Elsevier, vol. 45(4), pages 682-695, May.
  38. Francois-Éric Racicot & Raymond Théoret, 2006. "La simulation de Monte Carlo: forces et faiblesses (avec applications Visual Basic et Matlab et présentation d’une nouvelle méthode QMC)," RePAd Working Paper Series UQO-DSA-wp052006, Département des sciences administratives, UQO.
  39. Engstrom, Malin & Norden, Lars, 2000. "The early exercise premium in American put option prices," Journal of Multinational Financial Management, Elsevier, vol. 10(3-4), pages 461-479, December.
  40. 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.
  41. Zhang, Mingming & Zhou, Dequn & Zhou, Peng, 2014. "A real option model for renewable energy policy evaluation with application to solar PV power generation in China," Renewable and Sustainable Energy Reviews, Elsevier, vol. 40(C), pages 944-955.
  42. Renyuan Shao & Brian Roe, 2003. "The design and pricing of fixed‐ and moving‐window contracts: An application of Asian‐Basket option pricing methods to the hog‐finishing sector," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 23(11), pages 1047-1073, November.
  43. Felipe Isaza Cuervo & Sergio Botero Boterob, 2014. "Aplicación de las opciones reales en la toma de decisiones en los mercados de electricidad," ESTUDIOS GERENCIALES, UNIVERSIDAD ICESI.
  44. Joseph G. Haubrich & George Pennacchi & Peter Ritchken, 2008. "Estimating real and nominal term structures using Treasury yields, inflation, inflation forecasts, and inflation swap rates," Working Paper 0810, Federal Reserve Bank of Cleveland.
  45. Mojtaba Hajipour & Alaeddin Malek, 2015. "Efficient High-Order Numerical Methods for Pricing of Options," Computational Economics, Society for Computational Economics, vol. 45(1), pages 31-47, January.
  46. Grosen, Anders & Lochte Jorgensen, Peter, 2000. "Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies," Insurance: Mathematics and Economics, Elsevier, vol. 26(1), pages 37-57, February.
  47. Siu, Tak Kuen & Yang, Hailiang & Lau, John W., 2008. "Pricing currency options under two-factor Markov-modulated stochastic volatility models," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 295-302, December.
  48. Andrea Gamba, 2002. "Real options Valuation: A Monte Carol Approach," Working Papers wpn02-02, Warwick Business School, Finance Group.
  49. Stentoft, Lars, 2005. "Pricing American options when the underlying asset follows GARCH processes," Journal of Empirical Finance, Elsevier, vol. 12(4), pages 576-611, September.
  50. Galai, Dan & Raviv, Alon & Wiener, Zvi, 2007. "Liquidation triggers and the valuation of equity and debt," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3604-3620, December.
  51. Collan, Mikael & Fullér, Robert & József, Mezei, 2008. "A Fuzzy Pay-off Method for Real Option Valuation," MPRA Paper 13601, University Library of Munich, Germany.
  52. 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.
  53. Jin-Chuan Duan & Jean-Guy Simonato, 1995. "Empirical Martingale Simulation for Asset Prices," CIRANO Working Papers 95s-43, CIRANO.
  54. Josh Lerner, 2000. "Where Does State Street Lead? A First Look at Finance Patents, 1971-2000," NBER Working Papers 7918, National Bureau of Economic Research, Inc.
  55. David F. Babbel & Craig Merrill, 1997. "Economic Valuation Models for Insurers," Center for Financial Institutions Working Papers 97-44, Wharton School Center for Financial Institutions, University of Pennsylvania.
  56. 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.
  57. Rose, Simon, 1998. "Valuation of Interacting Real Options in a Tollroad Infrastructure Project," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(3, Part 2), pages 711-723.
  58. Katarzyna Toporek, 2012. "Simple is better. Empirical comparison of American option valuation methods," Ekonomia journal, Faculty of Economic Sciences, University of Warsaw, vol. 29.
  59. Jorge Guardiola & Antonio Falcó, 2004. "A Simulation Approach To The Valuation Of Capital Budgeting Projects Incorporating A Defer Option," Working Papers. Serie EC 2004-22, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  60. Gordon Sick & Andrea Gamba, 2005. "Some Important Issues Involving Real Options," Working Papers wpn05-02, Warwick Business School, Finance Group.
  61. Frimpong, Samuel & Whiting, Jerry M, 1997. "Derivative mine valuation: strategic investment decisions in competitive markets," Resources Policy, Elsevier, vol. 23(4), pages 163-171, December.
  62. Lars Stentoft, 2008. "Option Pricing using Realized Volatility," CREATES Research Papers 2008-13, School of Economics and Management, University of Aarhus.
  63. Jin, Xing & Li, Xun & Tan, Hwee Huat & Wu, Zhenyu, 2013. "A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction," European Journal of Operational Research, Elsevier, vol. 231(2), pages 362-370.
  64. Lin, Chung-Gee & Yang, Wei-Ning & Chen, Shu-Chuan, 2014. "Analyses of retirement benefits with options," Economic Modelling, Elsevier, vol. 36(C), pages 130-135.
  65. Huang, Shih-Feng & Tu, Ya-Ting, 2014. "Asymptotic distribution of the EPMS estimator for financial derivatives pricing," Computational Statistics & Data Analysis, Elsevier, vol. 73(C), pages 129-145.
  66. Silvia Caserta & Jon Danielsson & Casper G. de Vries, 1998. "Abnormal Returns, Risk, and Options in Large Data Sets," Tinbergen Institute Discussion Papers 98-107/2, Tinbergen Institute.
  67. Kenji Hamatani & Masao Fukushima, 2011. "Pricing American options with uncertain volatility through stochastic linear complementarity models," Computational Optimization and Applications, Springer, vol. 50(2), pages 263-286, October.
  68. Fry-McKibbin, Renée & Martin, Vance L. & Tang, Chrismin, 2014. "Financial contagion and asset pricing," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 296-308.
  69. Peter-Jan Engelen, 2004. "Criminal Behavior: A Real Option Approach With an Application to Restricting Illegal Insider Trading," European Journal of Law and Economics, Springer, vol. 17(3), pages 329-352, May.
  70. Cvitanic, Jaksa & Goukasian, Levon & Zapatero, Fernando, 2003. "Monte Carlo computation of optimal portfolios in complete markets," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 971-986, April.
  71. Ghulam Sorwar, 2005. "Implied derivative security prices based two-factor interest model: a UK application," Applied Financial Economics, Taylor & Francis Journals, vol. 15(10), pages 739-744.
  72. Kung, James J. & Wu, E-Ching, 2013. "An evaluation of some popular investment strategies under stochastic interest rates," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 96-108.
  73. Alain Chateauneuf & Mina Mostoufi & David Vyncke, 2015. "Comonotonic Monte Carlo and its applications in option pricing and quantification of risk," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01159741, HAL.
  74. Boyer, M. Martin & Stentoft, Lars, 2013. "If we can simulate it, we can insure it: An application to longevity risk management," Insurance: Mathematics and Economics, Elsevier, vol. 52(1), pages 35-45.
  75. E. Nasakkala & J. Keppo, 2008. "Hydropower with Financial Information," Applied Mathematical Finance, Taylor & Francis Journals, vol. 15(5-6), pages 503-529.
  76. Joshua Rosenberg, 1999. "Empirical Tests of Interest Rate Model Pricing Kernels," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-015, New York University, Leonard N. Stern School of Business-.
  77. Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai, 2012. "GARCH Option Valuation: Theory and Evidence," CREATES Research Papers 2012-50, School of Economics and Management, University of Aarhus.
  78. Alain Chateauneuf & Mina Mostoufi & David Vyncke, 2015. "Comonotonic Monte Carlo and its applications in option pricing and quantification of risk," Documents de travail du Centre d'Economie de la Sorbonne 15015, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  79. Jan Vlachý, 2009. "A Valuation Model for Project Standby Capacity," Ekonomika a Management, University of Economics, Prague, vol. 2009(4).
  80. David Heath & Eckhard Platen, 2014. "A Monte Carlo Method using PDE Expansions for a Diversifed Equity Index Model," Research Paper Series 350, Quantitative Finance Research Centre, University of Technology, Sydney.
  81. Hervé-Mignucci, Morgan, 2011. "Rôle du signal prix du carbone sur les décisions d'investissement des entreprises," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/8200 edited by Keppler, Jan Horst, May.
  82. Barraquand, Jérôme, 1995. "Monte Carlo integration, quadratic resampling, and asset pricing," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 38(1), pages 173-182.
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