已应助 谢谢choukoei 求论文数篇

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

1
题目：Accuracy estimation for quasi-Monte Carlo simulations
source：Mathematics and Computers in Simulation, Volume 54, Issues 1-3, 30 November 2000, Pages 131-143
作者 William C. Snyder

2
题目：Monte Carlo methods for derivatives of options with discontinuous payoffs
来源'Computational Statistics & Data Analysis, Volume 51, Issue 7, 1 April 2007, Pages 3393-3417
作者; Jérôme Detemple, Marcel Rindisbacher

3

题目;'Quasi-Monte Carlo sampling to improve the efficiency of Monte Carlo EM
来源：Computational Statistics & Data Analysis, Volume 48, Issue 4, 1 April 2005, Pages 685-701
作者：Wolfgang Jank

4
题目：Advanced Monte Carlo Methods for Barrier and Related Exotic Options
来源'Handbook of Numerical Analysis, Volume 15, 2009, Pages 497-528
作者 Emmanuel Gobet
5
A convergent quadratic-time lattice algorithm for pricing European-style Asian options
Applied Mathematics and Computation, Volume 189, Issue 2, 15 June 2007, Pages 1099-1123
William Wei-Yuan Hsu, Yuh-Dauh Lyuu

6
Comparing stochastic volatility models through Monte Carlo simulations
Computational Statistics & Data Analysis, Volume 50, Issue 7, 1 April 2006, Pages 1678-1699
Davide Raggi, Silvano Bordignon

7
MLE of some continuous time financial models: Some Monte Carlo results
Mathematics and Computers in Simulation, Volume 33, Issues 5-6, April 1992, Pages 575-580
Y.K. Tse

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏0 回帖

关键词：choukoei KOE CHO 论文数 求论文 论文

挺多，大家帮忙找

第5篇论文，请查收

Monte Carlo methods for derivatives of options with discontinuous payoffs

abstract only for the following paper:
Advanced Monte Carlo Methods for Barrier and Related Exotic Options
AbstractIn this work, we present advanced Monte Carlo techniques applied to the pricing of barrier options and other related exotic contracts. It covers in particular the Brownian bridge approaches, the barrier shifting techniques (BAST), and their extensions. We leverage the link between discrete and continuous monitoring to design efficient schemes, which can be applied to the Black-Scholes model but also to stochastic volatility or Merton's jump models. This is supported by theoretical results and numerical experiments.