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Volumn 13, Issue 1, 2003, Pages 85-97

Local vega index and variance reduction methods

Author keywords

Option sensitivity; Volatility structure

Indexed keywords


EID: 0141936533     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.00007     Document Type: Conference Paper
Times cited : (7)

References (10)
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    • Estimating security price derivatives using simulation
    • BROADIE, M., and P. GLASSERMAN (1996): Estimating Security Price Derivatives Using Simulation. Mgmt. Sci. 42, 269-285.
    • (1996) Mgmt. Sci. , vol.42 , pp. 269-285
    • Broadie, M.1    Glasserman, P.2
  • 3
  • 4
    • 0000039677 scopus 로고    scopus 로고
    • Applications of Malliavin calculus to Monte Carlo methods in Finance, II
    • FOURNIÉ E., J. M. LASRY, J. LEBUCHOUX, and P.-L. LIONS (2001): Applications of Malliavin Calculus to Monte Carlo Methods in Finance, II. Finance Stoch. 5, 201-236.
    • (2001) Finance Stoch. , vol.5 , pp. 201-236
    • Fournié, E.1    Lasry, J.M.2    Lebuchoux, J.3    Lions, P.-L.4
  • 5
    • 0001488061 scopus 로고    scopus 로고
    • An application of Malliavin calculus to Monte Carlo methods in finance
    • FOURNIÉ, E., J.-M. LASRY, J. LEBUCHOUX, P.-L. LIONS, and N. TOUZI (1999): An Application of Malliavin Calculus to Monte Carlo Methods in Finance. Finance Stoch. 3, 391-412.
    • (1999) Finance Stoch. , vol.3 , pp. 391-412
    • Fournié, E.1    Lasry, J.-M.2    Lebuchoux, J.3    Lions, P.-L.4    Touzi, N.5
  • 7
    • 0038355030 scopus 로고    scopus 로고
    • Variance reduction methods for simulation of densities on wiener space
    • KOHATSU-HIGA, A., and R. PETTERSSON (2002): Variance Reduction Methods for Simulation of Densities on Wiener Space. SIAM J. Numerical Anal. 40, 431-450.
    • (2002) SIAM J. Numerical Anal. , vol.40 , pp. 431-450
    • Kohatsu-Higa, A.1    Pettersson, R.2
  • 8
    • 0035589286 scopus 로고    scopus 로고
    • The asymptotic expansion approach to the valuation of interest rate contingent claims
    • KUNITOMO, N., and A. TAKAHASHI (2001): The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims. Math. Finance 11, 117-151.
    • (2001) Math. Finance , vol.11 , pp. 117-151
    • Kunitomo, N.1    Takahashi, A.2
  • 9
    • 0001577860 scopus 로고
    • On the convergence rates of IPA and FDC derivative estimators
    • L'ECUYER, P., and G. PERRON (1994): On the Convergence Rates of IPA and FDC Derivative Estimators. Oper. Res. 42, 643-656.
    • (1994) Oper. Res. , vol.42 , pp. 643-656
    • L'Ecuyer, P.1    Perron, G.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.