Becker, Sebastian; Jentzen, Arnulf; Müller, Marvin S.; von Wurstemberger, Philippe Learning the random variables in Monte Carlo simulations with stochastic gradient descent: machine learning for parametric PDEs and financial derivative pricing. (English) Zbl 07790868 Math. Finance 34, No. 1, 90-150 (2024). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65C05 65C30 91G20 PDFBibTeX XMLCite \textit{S. Becker} et al., Math. Finance 34, No. 1, 90--150 (2024; Zbl 07790868) Full Text: DOI arXiv OA License
Reppen, Anders Max; Soner, Halil Mete Deep empirical risk minimization in finance: looking into the future. (English) Zbl 1522.91312 Math. Finance 33, No. 1, 116-145 (2023). MSC: 91G60 65C05 49N35 PDFBibTeX XMLCite \textit{A. M. Reppen} and \textit{H. M. Soner}, Math. Finance 33, No. 1, 116--145 (2023; Zbl 1522.91312) Full Text: DOI arXiv
Chen, Xinfu; Dai, Min; Jiang, Wei; Qin, Cong Asymptotic analysis of long-term investment with two illiquid and correlated assets. (English) Zbl 1522.91212 Math. Finance 32, No. 4, 1133-1169 (2022). MSC: 91G10 49L25 35C20 91G60 65M06 PDFBibTeX XMLCite \textit{X. Chen} et al., Math. Finance 32, No. 4, 1133--1169 (2022; Zbl 1522.91212) Full Text: DOI
Fernandez-Arjona, Lucio; Filipović, Damir A machine learning approach to portfolio pricing and risk management for high-dimensional problems. (English) Zbl 1522.91218 Math. Finance 32, No. 4, 982-1019 (2022). MSC: 91G10 60G46 91G20 91G60 65C05 PDFBibTeX XMLCite \textit{L. Fernandez-Arjona} and \textit{D. Filipović}, Math. Finance 32, No. 4, 982--1019 (2022; Zbl 1522.91218) Full Text: DOI arXiv OA License
Belomestny, Denis; Kaledin, Maxim; Schoenmakers, John Semitractability of optimal stopping problems via a weighted stochastic mesh algorithm. (English) Zbl 1508.91614 Math. Finance 30, No. 4, 1591-1616 (2020). MSC: 91G60 60C05 91G20 60G40 PDFBibTeX XMLCite \textit{D. Belomestny} et al., Math. Finance 30, No. 4, 1591--1616 (2020; Zbl 1508.91614) Full Text: DOI arXiv
Bartl, Daniel; Drapeau, Samuel; Tangpi, Ludovic Computational aspects of robust optimized certainty equivalents and option pricing. (English) Zbl 1508.91613 Math. Finance 30, No. 1, 287-309 (2020). MSC: 91G60 91G20 91G70 PDFBibTeX XMLCite \textit{D. Bartl} et al., Math. Finance 30, No. 1, 287--309 (2020; Zbl 1508.91613) Full Text: DOI arXiv
Ibáñez, Alfredo; Velasco, Carlos The optimal method for pricing Bermudan options by simulation. (English) Zbl 1417.91555 Math. Finance 28, No. 4, 1143-1180 (2018). MSC: 91G60 91G20 60G40 65C05 PDFBibTeX XMLCite \textit{A. Ibáñez} and \textit{C. Velasco}, Math. Finance 28, No. 4, 1143--1180 (2018; Zbl 1417.91555) Full Text: DOI Link
Li, Lingfei; Zhang, Gongqiu Error analysis of finite difference and Markov chain approximations for option pricing. (English) Zbl 1411.91626 Math. Finance 28, No. 3, 877-919 (2018). MSC: 91G60 65M06 91G20 65C40 PDFBibTeX XMLCite \textit{L. Li} and \textit{G. Zhang}, Math. Finance 28, No. 3, 877--919 (2018; Zbl 1411.91626) Full Text: DOI
Harms, Philipp; Stefanovits, David; Teichmann, Josef; Wüthrich, Mario V. Consistent recalibration of yield curve models. (English) Zbl 1411.91622 Math. Finance 28, No. 3, 757-799 (2018). MSC: 91G60 91G30 65R20 PDFBibTeX XMLCite \textit{P. Harms} et al., Math. Finance 28, No. 3, 757--799 (2018; Zbl 1411.91622) Full Text: DOI arXiv
Bender, Christian; Schweizer, Nikolaus; Zhuo, Jia A primal-dual algorithm for BSDEs. (English) Zbl 1423.91008 Math. Finance 27, No. 3, 866-901 (2017). MSC: 91G60 65C05 60H10 91G20 PDFBibTeX XMLCite \textit{C. Bender} et al., Math. Finance 27, No. 3, 866--901 (2017; Zbl 1423.91008) Full Text: DOI arXiv
Guéant, Olivier; Pu, Jiang Option pricing and hedging with execution costs and market impact. (English) Zbl 1380.91130 Math. Finance 27, No. 3, 803-831 (2017). Reviewer: Claudio Fontana (Paris) MSC: 91G20 91G60 35K55 PDFBibTeX XMLCite \textit{O. Guéant} and \textit{J. Pu}, Math. Finance 27, No. 3, 803--831 (2017; Zbl 1380.91130) Full Text: DOI arXiv
Choi, Jaehyuk; Shin, Sungchan Fast swaption pricing in Gaussian term structure models. (English) Zbl 1348.91283 Math. Finance 26, No. 4, 962-982 (2016). MSC: 91G60 65D30 91G20 91G30 60G15 PDFBibTeX XMLCite \textit{J. Choi} and \textit{S. Shin}, Math. Finance 26, No. 4, 962--982 (2016; Zbl 1348.91283) Full Text: DOI arXiv
Bender, Christian; Dokuchaev, Nikolai A first-order BSPDE for swing option pricing. (English) Zbl 1391.91154 Math. Finance 26, No. 3, 461-491 (2016). Reviewer: Josep Vives (Barcelona) MSC: 91G20 60H15 60G40 60H30 93E20 91G60 PDFBibTeX XMLCite \textit{C. Bender} and \textit{N. Dokuchaev}, Math. Finance 26, No. 3, 461--491 (2016; Zbl 1391.91154) Full Text: DOI arXiv
Alfonsi, Aurélien; Labart, Céline; Lelong, Jérôme Stochastic local intensity loss models with interacting particle systems. (English) Zbl 1348.91276 Math. Finance 26, No. 2, 366-394 (2016). MSC: 91G40 91G20 60K35 60H10 65C05 82C22 91B80 91G80 PDFBibTeX XMLCite \textit{A. Alfonsi} et al., Math. Finance 26, No. 2, 366--394 (2016; Zbl 1348.91276) Full Text: DOI arXiv
Li, Chenxu Bessel processes, stochastic volatility, and timer options. (English) Zbl 1331.91180 Math. Finance 26, No. 1, 122-148 (2016). MSC: 91G20 60H30 60J60 91B70 91G60 PDFBibTeX XMLCite \textit{C. Li}, Math. Finance 26, No. 1, 122--148 (2016; Zbl 1331.91180) Full Text: DOI
Easley, David; Lopez de Prado, Marcos; O’Hara, Maureen Optimal execution horizon. (English) Zbl 1331.91161 Math. Finance 25, No. 3, 640-672 (2015). MSC: 91G10 91B24 91G60 PDFBibTeX XMLCite \textit{D. Easley} et al., Math. Finance 25, No. 3, 640--672 (2015; Zbl 1331.91161) Full Text: DOI
Fromkorth, Andreas; Kohler, Michael On the consistency of regression-based Monte Carlo methods for pricing Bermudan options in case of estimated financial models. (English) Zbl 1331.91190 Math. Finance 25, No. 2, 371-399 (2015). Reviewer: Gong Guanglu (Beijing) MSC: 91G60 91G20 65C05 62G08 62P05 PDFBibTeX XMLCite \textit{A. Fromkorth} and \textit{M. Kohler}, Math. Finance 25, No. 2, 371--399 (2015; Zbl 1331.91190) Full Text: DOI
Bender, Christian; Schoenmakers, John; Zhang, Jianing Dual representations for general multiple stopping problems. (English) Zbl 1318.91189 Math. Finance 25, No. 2, 339-370 (2015). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G20 91B24 60G40 60G42 91G60 PDFBibTeX XMLCite \textit{C. Bender} et al., Math. Finance 25, No. 2, 339--370 (2015; Zbl 1318.91189) Full Text: DOI arXiv
Hazan, Elad; Kale, Satyen An online portfolio selection algorithm with regret logarithmic in price variation. (English) Zbl 1312.91081 Math. Finance 25, No. 2, 288-310 (2015). MSC: 91G10 90C25 91G60 PDFBibTeX XMLCite \textit{E. Hazan} and \textit{S. Kale}, Math. Finance 25, No. 2, 288--310 (2015; Zbl 1312.91081) Full Text: DOI
Giesecke, Kay; Spiliopoulos, Konstantinos; Sowers, Richard B.; Sirignano, Justin A. Large portfolio asymptotics for loss from default. (English) Zbl 1314.91228 Math. Finance 25, No. 1, 77-114 (2015). MSC: 91G40 91G10 60F99 60H15 91G60 PDFBibTeX XMLCite \textit{K. Giesecke} et al., Math. Finance 25, No. 1, 77--114 (2015; Zbl 1314.91228) Full Text: DOI arXiv
Mitchell, Daniel; Goodman, Jonathan; Muthuraman, Kumar Boundary evolution equations for American options. (English) Zbl 1314.91240 Math. Finance 24, No. 3, 505-532 (2014). MSC: 91G60 65M38 91G20 60G40 PDFBibTeX XMLCite \textit{D. Mitchell} et al., Math. Finance 24, No. 3, 505--532 (2014; Zbl 1314.91240) Full Text: DOI
Corlay, Sylvain; Lebovits, Joachim; Lévy Véhel, Jacques Multifractional stochastic volatility models. (English) Zbl 1295.91083 Math. Finance 24, No. 2, 364-402 (2014). Reviewer: Mikko Pakkanen (Århus) MSC: 91G20 91G60 91B70 60G15 60G22 60H05 60H40 PDFBibTeX XMLCite \textit{S. Corlay} et al., Math. Finance 24, No. 2, 364--402 (2014; Zbl 1295.91083) Full Text: DOI HAL
Christensen, Sören A method for pricing American options using semi-infinite linear programming. (English) Zbl 1294.91170 Math. Finance 24, No. 1, 156-172 (2014). Reviewer: Pedro A. Morettin (São Paulo) MSC: 91G20 60G40 60J20 90C05 90C34 91G60 PDFBibTeX XMLCite \textit{S. Christensen}, Math. Finance 24, No. 1, 156--172 (2014; Zbl 1294.91170) Full Text: DOI arXiv
Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps. (English) Zbl 1285.91137 Math. Finance 24, No. 1, 125-146 (2014). MSC: 91G40 91G20 91G60 PDFBibTeX XMLCite \textit{D. Brigo} et al., Math. Finance 24, No. 1, 125--146 (2014; Zbl 1285.91137) Full Text: DOI Link
Cont, Rama; Deguest, Romain Equity correlations implied by index options: estimation and model uncertainty analysis. (English) Zbl 1280.91167 Math. Finance 23, No. 3, 496-530 (2013). Reviewer: John O’Hara (Wivenhoe Park) MSC: 91G20 91G60 90C25 PDFBibTeX XMLCite \textit{R. Cont} and \textit{R. Deguest}, Math. Finance 23, No. 3, 496--530 (2013; Zbl 1280.91167) Full Text: DOI
Chan, Jiun Hong; Joshi, Mark Fast Monte Carlo Greeks for financial products with discontinuous pay-offs. (English) Zbl 1280.91191 Math. Finance 23, No. 3, 459-495 (2013). Reviewer: Vassil Grozdanov (Blagoevgrad) MSC: 91G60 65C35 65C60 11K45 65D25 65D30 91B70 91G20 PDFBibTeX XMLCite \textit{J. H. Chan} and \textit{M. Joshi}, Math. Finance 23, No. 3, 459--495 (2013; Zbl 1280.91191) Full Text: DOI
Kaishev, Vladimir K. Lévy processes induced by Dirichlet (B-)splines: modeling multivariate asset price dynamics. (English) Zbl 1262.91153 Math. Finance 23, No. 2, 217-247 (2013). MSC: 91G70 91G60 65D07 41A15 62M10 60G51 PDFBibTeX XMLCite \textit{V. K. Kaishev}, Math. Finance 23, No. 2, 217--247 (2013; Zbl 1262.91153) Full Text: DOI Link
Cont, Rama; Minca, Andreea Recovering portfolio default intensities implied by CDO quotes. (English) Zbl 1282.91354 Math. Finance 23, No. 1, 94-121 (2013). MSC: 91G40 91G20 91G60 93E20 65C20 PDFBibTeX XMLCite \textit{R. Cont} and \textit{A. Minca}, Math. Finance 23, No. 1, 94--121 (2013; Zbl 1282.91354) Full Text: DOI HAL
Mijatović, Aleksandar; Pistorius, Martijn Continuously monitored barrier options under Markov processes. (English) Zbl 1282.91378 Math. Finance 23, No. 1, 1-38 (2013). MSC: 91G60 91G20 60G51 65C40 PDFBibTeX XMLCite \textit{A. Mijatović} and \textit{M. Pistorius}, Math. Finance 23, No. 1, 1--38 (2013; Zbl 1282.91378) Full Text: DOI arXiv
Lepinette, Emmanuel Modified Leland’s strategy for a constant transaction costs rate. (English) Zbl 1272.91117 Math. Finance 22, No. 4, 741-752 (2012). MSC: 91G10 91G60 PDFBibTeX XMLCite \textit{E. Lepinette}, Math. Finance 22, No. 4, 741--752 (2012; Zbl 1272.91117) Full Text: DOI HAL
Alexander, Carol; Venkatramanan, Aanand Analytic approximations for multi-asset option pricing. (English) Zbl 1272.91118 Math. Finance 22, No. 4, 667-689 (2012). MSC: 91G20 91G60 PDFBibTeX XMLCite \textit{C. Alexander} and \textit{A. Venkatramanan}, Math. Finance 22, No. 4, 667--689 (2012; Zbl 1272.91118) Full Text: DOI
Emmerling, Thomas J. Perpetual cancellable American call option. (English) Zbl 1272.91120 Math. Finance 22, No. 4, 645-666 (2012). MSC: 91G20 91G60 PDFBibTeX XMLCite \textit{T. J. Emmerling}, Math. Finance 22, No. 4, 645--666 (2012; Zbl 1272.91120) Full Text: DOI arXiv
Gökay, Selim; Soner, Halil Mete Liquidity in a binomial market. (English) Zbl 1277.91170 Math. Finance 22, No. 2, 250-276 (2012). MSC: 91G20 91G60 60G44 60H05 PDFBibTeX XMLCite \textit{S. Gökay} and \textit{H. M. Soner}, Math. Finance 22, No. 2, 250--276 (2012; Zbl 1277.91170) Full Text: DOI
Boyarchenko, Mitya; Levendorskiĭ, Sergei Valuation of continuously monitored double barrier options and related securities. (English) Zbl 1278.91180 Math. Finance 22, No. 3, 419-444 (2012). MSC: 91G60 91G20 60G51 PDFBibTeX XMLCite \textit{M. Boyarchenko} and \textit{S. Levendorskiĭ}, Math. Finance 22, No. 3, 419--444 (2012; Zbl 1278.91180) Full Text: DOI
Dai, Min; Xu, Zuo Quan Optimal redeeming strategy of stock loans with finite maturity. (English) Zbl 1277.91168 Math. Finance 21, No. 4, 775-793 (2011). Reviewer: Yuri Kifer (Jerusalem) MSC: 91G20 91G60 PDFBibTeX XMLCite \textit{M. Dai} and \textit{Z. Q. Xu}, Math. Finance 21, No. 4, 775--793 (2011; Zbl 1277.91168) Full Text: DOI arXiv
Yu, Cindy L.; Li, Haitao; Wells, Martin T. MCMC estimation of Lévy jump models using stock and option prices. (English) Zbl 1229.91367 Math. Finance 21, No. 3, 383-422 (2011). Reviewer: Ryszard Doman (Poznań) MSC: 91G70 91B70 60G51 60J60 62F15 65C40 65C05 PDFBibTeX XMLCite \textit{C. L. Yu} et al., Math. Finance 21, No. 3, 383--422 (2011; Zbl 1229.91367) Full Text: DOI Link
Ausín, M. C.; Vilar, J. M.; Cao, R.; González-Fragueiro, C. Bayesian analysis of aggregate loss models. (English) Zbl 1229.91152 Math. Finance 21, No. 2, 257-279 (2011). Reviewer: Krzysztof Piasecki (Poznań) MSC: 91B30 62P05 65C05 62F15 62H30 PDFBibTeX XMLCite \textit{M. C. Ausín} et al., Math. Finance 21, No. 2, 257--279 (2011; Zbl 1229.91152) Full Text: DOI
Bayraktar, Erhan; Xing, Hao Pricing Asian options for jump diffusion. (English) Zbl 1229.91332 Math. Finance 21, No. 1, 117-143 (2011). Reviewer: John O’Hara (Wivenhoe Park) MSC: 91G60 91G20 PDFBibTeX XMLCite \textit{E. Bayraktar} and \textit{H. Xing}, Math. Finance 21, No. 1, 117--143 (2011; Zbl 1229.91332) Full Text: DOI
Yip, Wing Yan; Stephens, David; Olhede, Sofia Hedging strategies and minimal variance portfolios for European and exotic options in a Lévy market. (English) Zbl 1232.91678 Math. Finance 20, No. 4, 617-646 (2010). MSC: 91G20 91G10 60G51 91G60 PDFBibTeX XMLCite \textit{W. Y. Yip} et al., Math. Finance 20, No. 4, 617--646 (2010; Zbl 1232.91678) Full Text: DOI arXiv
Kohler, Michael; Krzyżak, Adam; Todorovic, Nebojsa Pricing of high-dimensional American options by neural networks. (English) Zbl 1195.91160 Math. Finance 20, No. 3, 383-410 (2010). Reviewer: Pavel Stoynov (Sofia) MSC: 91G20 91G60 91G70 PDFBibTeX XMLCite \textit{M. Kohler} et al., Math. Finance 20, No. 3, 383--410 (2010; Zbl 1195.91160) Full Text: DOI
Brigo, Damiano; El-Bachir, Naoufel An exact formula for default swaptions’ pricing in the SSRJD stochastic intensity model. (English) Zbl 1195.91154 Math. Finance 20, No. 3, 365-382 (2010). Reviewer: Pavel Stoynov (Sofia) MSC: 91G20 91G40 91G60 91G70 PDFBibTeX XMLCite \textit{D. Brigo} and \textit{N. El-Bachir}, Math. Finance 20, No. 3, 365--382 (2010; Zbl 1195.91154) Full Text: DOI arXiv
Belomestny, Denis; Bender, Christian; Schoenmakers, John True upper bounds for bermudan products via non-nested Monte Carlo. (English) Zbl 1155.91376 Math. Finance 19, No. 1, 53-71 (2009). MSC: 91G60 65C05 PDFBibTeX XMLCite \textit{D. Belomestny} et al., Math. Finance 19, No. 1, 53--71 (2009; Zbl 1155.91376) Full Text: DOI
Jin, Xing; Tan, Hwee Huat; Sun, Junhua A state-space partitioning method for pricing high-dimensional American-style options. (English) Zbl 1186.91216 Math. Finance 17, No. 3, 399-426 (2007). MSC: 91G20 65C05 PDFBibTeX XMLCite \textit{X. Jin} et al., Math. Finance 17, No. 3, 399--426 (2007; Zbl 1186.91216) Full Text: DOI
Yin, G.; Zhang, Q.; Liu, F.; Liu, R. H.; Cheng, Y. Stock liquidation via stochastic approximation using Nasdaq daily and intra-day data. (English) Zbl 1128.91031 Math. Finance 16, No. 1, 217-236 (2006). MSC: 91G60 90C15 90C31 PDFBibTeX XMLCite \textit{G. Yin} et al., Math. Finance 16, No. 1, 217--236 (2006; Zbl 1128.91031) Full Text: DOI
Hörfelt, Per On the error in the Monte Carlo pricing of some familiar European path-dependent options. (English) Zbl 1153.91511 Math. Finance 15, No. 2, 345-357 (2005). MSC: 91G60 65C05 PDFBibTeX XMLCite \textit{P. Hörfelt}, Math. Finance 15, No. 2, 345--357 (2005; Zbl 1153.91511) Full Text: DOI
Kargin, Vladislav Lattice option pricing by multidimensional interpolation. (English) Zbl 1107.91049 Math. Finance 15, No. 4, 635-647 (2005). MSC: 91G60 91G20 PDFBibTeX XMLCite \textit{V. Kargin}, Math. Finance 15, No. 4, 635--647 (2005; Zbl 1107.91049) Full Text: DOI arXiv
Meinshausen, N.; Hambly, B. M. Monte Carlo methods for the valuation of multiple-exercise options. (English) Zbl 1169.91372 Math. Finance 14, No. 4, 557-583 (2004). MSC: 91G60 60G42 65C05 91G20 PDFBibTeX XMLCite \textit{N. Meinshausen} and \textit{B. M. Hambly}, Math. Finance 14, No. 4, 557--583 (2004; Zbl 1169.91372) Full Text: DOI Link
Talay, Denis; Zheng, Ziyu Quantiles of the Euler scheme for diffusion processes and financial applications. (English) Zbl 1060.91074 Math. Finance 13, No. 1, 187-199 (2003). Reviewer: Krzysztof Piasecki (Poznań) MSC: 91B28 60H10 60H07 PDFBibTeX XMLCite \textit{D. Talay} and \textit{Z. Zheng}, Math. Finance 13, No. 1, 187--199 (2003; Zbl 1060.91074) Full Text: DOI
Cvitanić, Jakša; Ma, Jin; Zhang, Jianfeng Efficient computation of hedging portfolios for options with discontinuous payoffs. (English) Zbl 1060.91058 Math. Finance 13, No. 1, 135-151 (2003). Reviewer: Klaus Ehemann (Karlsruhe) MSC: 91G60 60H07 91G20 PDFBibTeX XMLCite \textit{J. Cvitanić} et al., Math. Finance 13, No. 1, 135--151 (2003; Zbl 1060.91058) Full Text: DOI Link
Bernis, Guillaume; Gobet, Emmanuel; Kohatsu-Higa, Arturo Monte Carlo evaluation of Greeks for multidimensional barrier and lookback options. (English) Zbl 1049.91063 Math. Finance 13, No. 1, 99-113 (2003). MSC: 91G60 60H07 91G20 PDFBibTeX XMLCite \textit{G. Bernis} et al., Math. Finance 13, No. 1, 99--113 (2003; Zbl 1049.91063) Full Text: DOI
Bally, V.; Pagès, G.; Printems, J. First-order schemes in the numerical quantization method. (English) Zbl 1056.91025 Math. Finance 13, No. 1, 1-16 (2003). Reviewer: Gabriel Talmain (York) MSC: 91G60 60H07 91G20 PDFBibTeX XMLCite \textit{V. Bally} et al., Math. Finance 13, No. 1, 1--16 (2003; Zbl 1056.91025) Full Text: DOI Link
Rogers, L. C. G. Monte Carlo valuation of American options. (English) Zbl 1029.91036 Math. Finance 12, No. 3, 271-286 (2002). MSC: 91G60 91G20 PDFBibTeX XMLCite \textit{L. C. G. Rogers}, Math. Finance 12, No. 3, 271--286 (2002; Zbl 1029.91036) Full Text: DOI
Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez Portfolio value-at-risk with heavy-tailed risk factors. (English) Zbl 1147.91325 Math. Finance 12, No. 3, 239-269 (2002). Reviewer: Prabhat Kumar Mahanti (Saint John) MSC: 91G40 91G60 91B30 60E05 62E10 PDFBibTeX XMLCite \textit{P. Glasserman} et al., Math. Finance 12, No. 3, 239--269 (2002; Zbl 1147.91325) Full Text: DOI
Amaro de Matos, João MSM estimators of European options on assets with jumps. (English) Zbl 0996.91065 Math. Finance 11, No. 2, 189-203 (2001). Reviewer: Klaus Schürger (Bonn) MSC: 91G60 65C05 PDFBibTeX XMLCite \textit{J. Amaro de Matos}, Math. Finance 11, No. 2, 189--203 (2001; Zbl 0996.91065) Full Text: DOI
Baldi, Paolo; Caramellino, Lucia; Iovino, Maria Gabriella Pricing general barrier options: a numerical approach using sharp large deviations. (English) Zbl 0980.91029 Math. Finance 9, No. 4, 293-322 (1999). MSC: 91G60 65C30 PDFBibTeX XMLCite \textit{P. Baldi} et al., Math. Finance 9, No. 4, 293--322 (1999; Zbl 0980.91029) Full Text: DOI
Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez Asymptotically optimal importance sampling and stratification for pricing path-dependent options. (English) Zbl 0980.91034 Math. Finance 9, No. 2, 117-152 (1999). MSC: 91G60 60F10 65C05 91B70 PDFBibTeX XMLCite \textit{P. Glasserman} et al., Math. Finance 9, No. 2, 117--152 (1999; Zbl 0980.91034) Full Text: DOI
Mercurio, Fabio; Runggaldier, Wolfgang J. Option pricing for jump diffusions: approximations and their interpretation. (English) Zbl 0884.90043 Math. Finance 3, No. 2, 191-200 (1993). MSC: 91G60 PDFBibTeX XMLCite \textit{F. Mercurio} and \textit{W. J. Runggaldier}, Math. Finance 3, No. 2, 191--200 (1993; Zbl 0884.90043) Full Text: DOI