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Highly Cited

2008

Highly Cited

2008

Today, quasi-Monte Carlo (QMC) methods are widely used in finance to price derivative securities. The QMC approach is popular… Expand

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Highly Cited

2003

Highly Cited

2003

Constraint programming is a research topic benefiting from many other areas: discrete mathematics, numerical analysis, artificial… Expand

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2003

2003

We present a fast and unbiased Monte Carlo approach to pricing barrier options when the underlying security follows a simple jump… Expand

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Highly Cited

2002

Highly Cited

2002

An invaluable resource for quantitative analysts who need to run models that assist in option pricing and risk management. This… Expand

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Highly Cited

2002

Highly Cited

2002

Monte Carlo method has received significant consideration from the context of quantitative finance mainly due to its ease of… Expand

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Highly Cited

2002

Highly Cited

2002

This paper introduces a dual way to price American options, based on simulating the paths of the option payoff, and of a… Expand

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Highly Cited

2001

Highly Cited

2001

Abstract. This paper is the sequel of Part I [1], where we showed how to use the so-called Malliavin calculus in order to devise… Expand

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2000

2000

The pricing of options is a very important problem encountered in financial markets today. The famous Black-Scholes model… Expand

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Highly Cited

1999

Highly Cited

1999

Abstract. This paper presents an original probabilistic method for the numerical computations of Greeks (i.e. price sensitivities… Expand

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1998

1998

The pricing of options is a very important problem encountered in nancial markets today. The famous Black-Scholes model provides… Expand

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