Simulation-based interactive modelling of barrier option pricing

被引：1
|
作者：
机构：
[1] Sáenz, Juan P.
[2] Celik, Nurcin
来源：
| 1600年 / Acta Press卷 / 34期
关键词：
Commerce - Discrete event simulation - Financial markets;
D O I：
10.2316/Journal.205.2014.1.205-5815
中图分类号：
F [经济]; C [社会科学总论];
学科分类号：
02 ; 03 ; 0303 ;
摘要：
引用
收藏
相关论文
共 50 条
  • [1] Non-Parametric Simulation-Based Option Pricing
    Vlachy, Jan
    MANAGING AND MODELLING OF FINANCIAL RISKS: 7TH INTERNATIONAL SCIENTIFIC CONFERENCE, PTS I-III, 2014, : 858 - 865
  • [2] Barrier option pricing: modelling with neural nets
    Xu, L
    Dixon, M
    Eales, BA
    Cai, FF
    Read, BJ
    Healy, JV
    PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2004, 344 (1-2) : 289 - 293
  • [3] American option pricing under stochastic volatility: A simulation-based approach
    Chockalingam, Arunachalam
    Muthuraman, Kumar
    PROCEEDINGS OF THE 2007 WINTER SIMULATION CONFERENCE, VOLS 1-5, 2007, : 971 - +
  • [4] Simulation-based pricing of convertible bonds
    Ammann, Manuel
    Kind, Axel
    Wilde, Christian
    JOURNAL OF EMPIRICAL FINANCE, 2008, 15 (02) : 310 - 331
  • [5] A simulation-based VR system for interactive hairstyling
    Ward, Kelly
    Galoppo, Nico
    Lin, Ming C.
    IEEE VIRTUAL REALITY 2006, PROCEEDINGS, 2006, : 257 - +
  • [6] BARRIER OPTION PRICING BY BRANCHING PROCESSES
    Mitov, Georgi K.
    Rachev, Svetlozar T.
    Kim, Young Shin
    Fabozzi, Frank J.
    INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, 2009, 12 (07) : 1055 - 1073
  • [7] ON THE INTERCHANGEABILITY OF BARRIER OPTION PRICING MODELS
    Visagie, Jaco
    SOUTH AFRICAN STATISTICAL JOURNAL, 2018, 52 (02) : 157 - 171
  • [8] Simulation-based pricing of mortgage-backed securities
    Chen, J
    PROCEEDINGS OF THE 2004 WINTER SIMULATION CONFERENCE, VOLS 1 AND 2, 2004, : 1589 - 1595
  • [9] Parallelization and vectorization of simulation based option pricing methods
    Schumacher, J
    Jaekel, U
    Basermann, A
    COMPUTATIONAL SCIENCE AND ITS APPLICATIONS - ICCA 2003, PT 3, PROCEEDINGS, 2003, 2669 : 139 - 147
  • [10] DIGITAL OPTION PRICING BASED ON COPULAS WITH STOCHASTIC SIMULATION
    Kim, M. S.
    Kim, Seki
    JOURNAL OF THE KOREAN SOCIETY OF MATHEMATICAL EDUCATION SERIES B-PURE AND APPLIED MATHEMATICS, 2015, 22 (03): : 299 - 313
12345