Pricing financial derivatiates

Pricing financial derivatiates

Collaborators: Pavel Shevchenko, Xiaolin, Luo, Pier Del Moral

Relevant publications

P.V. Shevchenko and P. Del Moral (2017). Valuation of Barrier Options using Sequential Monte Carlo. Journal of Computational Finance 20(4), 107-135. DOI: 10.21314/JCF.2016.324. Preprint, http://arxiv.org/abs/1405.5294.

T. G. Ling and P.V. Shevchenko (2016). Historical Backtesting of Local Volatility Model using AUD/USD Vanilla Options. ANZIAM Journal 57, 319-338. DOI:10.1017/S1446181115000310. Preprint, http://arxiv.org/abs/1406.2133.

X. Luo and P.V. Shevchenko (2015). Pricing TARN Using a Finite Difference Method. The Journal of Derivatives 23 (1), 62-72. DOI: 10.3905/jod.2015.23.1.062. Preprint, http://arxiv.org/abs/1304.7563

P.V. Shevchenko (2003). Addressing the Bias in Monte Carlo Pricing of Multi-Asset Options With Multiple Barriers Through Discrete Sampling, The Journal of Computational Finance 6(3), 1-20. Preprint, http://arxiv.org/abs/0904.1157.

Resources

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