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Efficient Pricing of Barrier Options with the Variance-Gamma Model.

. WSC, стр. 1574-1578. IEEE Computer Society, (2004)

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Mihail Avramidis

Ioanis Avramidis

Mihail Avramidis

Konstantinos Avramidis

 

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Correlation-Induction Techniques for Estimating Quantiles in Simulation Experiments., и . Operations Research, 46 (4): 574-591 (1998)Integrated variance reduction strategies., и . WSC, стр. 445-454. ACM Press, (1993)Customer relations management: call center operations: modelling and simulation of a telephone call center., , , и . WSC, стр. 1805-1812. IEEE Computer Society, (2003)Efficient Pricing of Barrier Options with the Variance-Gamma Model.. WSC, стр. 1574-1578. IEEE Computer Society, (2004)Efficiency improvements for pricing American options with a stochastic mesh., и . WSC, стр. 344-350. WSC, (1999)Derivatives and credit risk: importance sampling for multimodal functions and application to pricing exotic options.. WSC, стр. 1493-1501. WSC, (2002)Efficient Monte Carlo and Quasi - Monte Carlo Option Pricing Under the Variance Gamma Model., и . Manag. Sci., 52 (12): 1930-1944 (2006)Efficient Correlation Matching for Fitting Discrete Multivariate Distributions with Arbitrary Marginals and Normal-Copula Dependence., , и . INFORMS J. Comput., 21 (1): 88-106 (2009)Problems in financial engineering: convergence of the stochastic mesh estimator for pricing American options., и . WSC, стр. 1560-1567. WSC, (2002)A Flexible Method for Estimating Inverse Distribution Functions in Simulation Experiments., и . INFORMS J. Comput., 6 (4): 342-355 (1994)