Monte Carlo simulation
Quantized calibration in local volatility
Quantization is applied to price vanilla and barrier options
Two measures for the price of one
Harvey Stein combines risk-neutral and real-world measures into risk methodology
Cutting edge introduction: The only way is backward
Quants find way to streamline future value calculations for exotic
Backward induction for future values
A new framework for derivatives pricing with valuation adjustments
Pricing American-style options by Monte Carlo simulation: alternatives to ordinary least squares
The authors investigate the performance of the ordinary least squares (OLS) regression method in Monte Carlo simulation algorithms for pricing American options.
Risk evaluation of mortgage-loan portfolios in a low interest rate environment
Volume 16, Issue 5 (2014)
SABR symmetry
SABR symmetry