| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A critical analysis of the Weighted Least Squares Monte Carlo method for pricing American options |
0 |
0 |
0 |
0 |
0 |
0 |
5 |
5 |
| Affine multivariate GARCH models |
0 |
0 |
3 |
17 |
0 |
0 |
4 |
64 |
| American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution |
0 |
0 |
0 |
51 |
1 |
2 |
3 |
211 |
| American Option Pricing with Importance Sampling and Shifted Regressions |
0 |
0 |
1 |
4 |
0 |
0 |
2 |
15 |
| American option pricing with discrete and continuous time models: An empirical comparison |
0 |
0 |
1 |
19 |
1 |
1 |
3 |
71 |
| Assessing the Least Squares Monte-Carlo Approach to American Option Valuation |
0 |
0 |
1 |
845 |
1 |
2 |
8 |
1,681 |
| Bayesian option pricing using mixed normal heteroskedasticity models |
0 |
0 |
0 |
10 |
1 |
1 |
3 |
139 |
| Bootstrapping the Early Exercise Boundary in the Least-Squares Monte Carlo Method |
0 |
0 |
1 |
2 |
1 |
1 |
3 |
35 |
| Computational Finance |
0 |
0 |
0 |
5 |
0 |
0 |
1 |
33 |
| Convergence of the Least Squares Monte Carlo Approach to American Option Valuation |
0 |
2 |
12 |
89 |
0 |
3 |
16 |
203 |
| Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing |
0 |
0 |
2 |
3 |
0 |
1 |
3 |
5 |
| Dynamics of variance risk premia: A new model for disentangling the price of risk |
0 |
0 |
0 |
15 |
0 |
0 |
3 |
71 |
| Efficient Numerical Pricing of American Call Options Using Symmetry Arguments |
0 |
0 |
0 |
4 |
0 |
0 |
1 |
30 |
| Efficient Variance Reduction for American Call Options Using Symmetry Arguments |
0 |
0 |
0 |
1 |
1 |
2 |
3 |
10 |
| If we can simulate it, we can insure it: An application to longevity risk management |
0 |
0 |
1 |
17 |
0 |
0 |
2 |
92 |
| Intraday Market Predictability: A Machine Learning Approach |
0 |
2 |
4 |
4 |
0 |
4 |
10 |
10 |
| Les modèles factoriels et la gestion du risque de longévité |
1 |
1 |
1 |
2 |
1 |
1 |
1 |
29 |
| Measuring Longevity Risk: An Application to the Royal Canadian Mounted Police Pension Plan |
0 |
0 |
0 |
3 |
0 |
0 |
1 |
41 |
| Multivariate option pricing with time varying volatility and correlations |
0 |
0 |
1 |
45 |
0 |
0 |
1 |
167 |
| Not all VIXs are (Informationally) equal: Evidence from affine GARCH option pricing models |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
| Option pricing with asymmetric heteroskedastic normal mixture models |
0 |
0 |
0 |
6 |
0 |
0 |
0 |
61 |
| Option pricing with conditional GARCH models |
0 |
1 |
4 |
29 |
1 |
3 |
12 |
121 |
| Pricing American options when the underlying asset follows GARCH processes |
0 |
0 |
2 |
74 |
0 |
0 |
4 |
324 |
| Pricing individual stock options using both stock and market index information |
0 |
0 |
1 |
15 |
0 |
0 |
2 |
105 |
| Refining the least squares Monte Carlo method by imposing structure |
0 |
0 |
0 |
8 |
0 |
0 |
0 |
51 |
| Regulatory Capital and Incentives for Risk Model Choice under Basel 3* |
0 |
0 |
2 |
11 |
1 |
1 |
6 |
27 |
| Simulated Greeks for American options |
0 |
0 |
5 |
8 |
2 |
3 |
10 |
19 |
| Smile‐implied hedging with volatility risk |
0 |
0 |
1 |
7 |
0 |
0 |
3 |
31 |
| Stationary Threshold Vector Autoregressive Models |
1 |
1 |
2 |
8 |
1 |
1 |
2 |
47 |
| The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options |
0 |
0 |
0 |
10 |
0 |
1 |
1 |
83 |
| Variance swap payoffs, risk premia and extreme market conditions |
0 |
1 |
1 |
4 |
0 |
2 |
3 |
25 |
| Yes We Can (Price Derivatives on Survivor Indices) |
0 |
0 |
0 |
2 |
0 |
0 |
0 |
22 |
| Total Journal Articles |
2 |
8 |
46 |
1,318 |
12 |
29 |
117 |
3,829 |
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