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@article{fACH13a,
author = "Achtsis, Nico and Cools, Ronald and Nuyens, Dirk",
title = "Conditional sampling for barrier option pricing under the {LT} method",
journal = "SIAM Journal on Financial Mathematics",
volume = "4",
number = "1",
pages = "327--352",
year = "2013",
Xdoi = "10.1137/110855909",
Xurl = "https://lirias.kuleuven.be/handle/123456789/376600",
}
@inproceedings{fACH13b,
author = "Achtsis, Nico and Cools, Ronald and Nuyens, Dirk",
title = "Conditional sampling for barrier option pricing under the {H}eston model",
booktitle = "Monte Carlo and Quasi-Monte Carlo Methods 2012, Tenth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing (MCQMC2012), Sydney, 13-17 February 2012",
editor = "Dick, Josef and Kuo, Frances Y. and Peters, Gareth W. and Sloan, Ian H.",
publisher = "Springer",
pages = "253--269",
year = "2013",
url = "https://lirias.kuleuven.be/handle/123456789/426174",
}
@article{fAGU21a,
author = {Jean-Philippe Aguilar},
title = {Explicit option valuation in the exponential {NIG} model},
journal = {Quantitative Finance},
volume = {21},
number = {8},
pages = {1281--1299},
year = {2021},
}
@Article{fAKE00a,
author = {F. {\AA}kesson and J. P. Lehoczy},
title = {Path Generation for Quasi-{M}onte {C}arlo
Simulation of Mortgage-Backed Securities},
journal = {Management Science},
year = {2000},
OPTkey = {},
volume = {46},
OPTnumber = {},
pages = {1171--1187},
OPTannote = {}
}
@ARTICLE{fALB04a,
AUTHOR="H. Albrecher and M. Predota",
TITLE="On {A}sian option pricing for {NIG} {L}\'evy processes",
JOURNAL={Journal of computational and applied mathematics},
VOLUME={172},
YEAR={2004},
PAGES={153--168}
}
@Article{fALZ97a,
author = {B. Alziary and J. P. D\'ecamps and P. F. Koehl},
title = {A {P.D.E.} Approach to {A}sian Options: Analytical
and Numerical Evidence},
journal = {Journal of Banking and Finance},
year = {1997},
OPTkey = {},
volume = {21},
OPTnumber = {},
pages = {613--640},
OPTannote = {}
}
@Article{fART99a,
author = {Ph. Artzner and F. Delbaen and J.-M. Eber and D. Heath},
title = {Coherent Measures of Risk},
journal = {Mathematical Finance},
year = {1999},
volume = {9},
number = {3},
pages = {203--228} }
@inproceedings{fAVR99a,
author={A. N. Avramidis and P. Hyden},
title={Efficiency improvements for pricing {A}merican options
with a stochastic mesh},
booktitle={Proceedings of the 1999 Winter Simulation Conference},
editor ={P. A. Farrington and H. B. Nembhard and
D. T. Sturrock and G. W. Evans},
year={1999},
publisher={{IEEE} Press},
address={Piscataway, New Jersey},
pages={344--350}
}
@ARTICLE{fAVR00a,
author={A. N. Avramidis and Y. Zinchenko and T. Coleman and A. Verma},
title={Efficiency improvements for pricing {A}merican options
with a stochastic mesh: Parallel Implementation},
journal={Financial Engineering News},
volume={19},
year={2000},
pages={1--7}
}
@inproceedings{fAVR02a,
author={A. N. Avramidis},
title={Importance sampling for multimodal functions and
application to pricing exotic options},
booktitle={Proceedings of the 2002 Winter Simulation Conference},
editor={E. Y\"ucesan and C. H. Chen and J. L. Snowdon and J. M. Charnes},
year={2002},
publisher={{IEEE} Press},
address={Piscataway, New Jersey},
pages={1493--1500}
}
@inproceedings{fAVR02b,
author={A. N. Avramidis and H. Matzinger},
title={Convergence of the stochastic mesh estimator for
pricing {A}merican options},
booktitle={Proceedings of the 2002 Winter Simulation Conference},
editor={E. Y\"ucesan and C. H. Chen and J. L. Snowdon and J. M. Charnes},
year={2002},
publisher={{IEEE} Press},
address={Piscataway, New Jersey},
pages={1560--1567}
}
@inproceedings{fAVR03a,
author = {A. N. Avramidis and P. L'Ecuyer and P.-A. Tremblay},
title = {Efficient Simulation of Gamma and Variance-Gamma Processes},
BOOKTITLE = "Proceedings of the 2003 Winter Simulation Conference",
publisher = {{IEEE} Press},
address = {Piscataway, New Jersey},
YEAR = {2003},
PAGES = {319--326}
}
@article{fAVR04b,
new = {fAVR06a},
author = {A. N. Avramidis and P. L'Ecuyer},
title = {Efficient {M}onte {C}arlo and quasi-{M}onte Carlo Option
Pricing with the Variance-Gamma Model},
journal = {Management Science},
note = {to appear},
YEAR = {2006},
xPAGES = {}
}
@inproceedings{fAVR04c,
author = {A. N. Avramidis},
title = {Efficient pricing of barrier options with the variance gamma model},
booktitle = {Proceedings of the 2004 Winter Simulation Conference},
editor = {R. G. Ingalls and M. D. Rossetti and J. S. Smith and B. A Peters},
year = {2004},
publisher = {{IEEE} Press},
address = {Piscataway, New Jersey},
pages = {}
}
@article{fAVR06a,
author = {A. N. Avramidis and P. L'Ecuyer},
title = {Efficient {M}onte {C}arlo and quasi-{M}onte {C}arlo Option
Pricing Under the Variance-Gamma Model},
journal = {Management Science},
volume = {52},
number = {12},
YEAR = {2006},
PAGES = {1930--1944}
}
@Article{fBAR95a,
author = {J. Barraquand},
title = {Numerical Valuation of High-Dimensional Multivariate
{E}uropean Securities},
journal = {Management Science},
year = {1995},
OPTkey = {},
volume = {41},
OPTnumber = {},
OPTmonth = {},
pages = {1882--1891},
OPTnote = {},
OPTannote = {}
}
@Article{fBAR95b,
author = {J. Barraquand and D. Martineau},
title = {Numerical Valuation of High-Dimensional Multivariate
{A}merican Securities},
journal = {Journal of Financial and Quantitative Analysis},
year = {1995},
volume = {30},
pages = {383--405},
OPTnote = {},
OPTannote = {}
}
@Article{fBAR96a,
author = {J. Barraquand and T. Pudet},
title = {Pricing of {A}merican Path-Dependent Contingent Claims},
journal = {Mathematical Finance},
year = {1996},
volume = {6},
pages = {17--51},
OPTnote = {},
OPTannote = {}
}
@inproceedings{fBAS06a,
author = {Bassamboo, Achal and Jain, Sachin},
title = {Efficient importance sampling for reduced form models in credit risk},
booktitle = {Proceedings of the 2006 Winter Simulation Conference},
year = {2006},
Xisbn = {1-4244-0501-7},
pages = {741--748},
Xlocation = {Monterey, California},
publisher = {IEEE Press},
}
@article{fBAS08a,
author = {Bassamboo, Achal and Juneja, Sandeep and Zeevi, Assaf},
title = {Portfolio Credit Risk with Extremal Dependence:
Asymptotic Analysis and Efficient Simulation},
journal = {Operations Research},
volume = {56},
number = {3},
year = {2008},
Xissn = {0030-364X},
pages = {593--606},
Xdoi = {http://dx.doi.org/10.1287/opre.1080.0513},
Xpublisher = {INFORMS},
}
@BOOK{fBAX96a,
author={M. Baxter and A. Rennie},
title={Financial Calculus},
publisher={Cambridge University Press},
address={Cambridge},
year={1996}
}
@Article{fBEA97a,
author = {D. R. Beaglehole and P. H. Dybvig and G. Zhou},
title = {Going to extremes: Correcting Simulation Bias in
Exotic Option Valuation},
journal = {Financial Analysts Journal},
year = {1997},
month = {January--February},
OPTvolume = {53},
pages = {62--68}
}
@Techreport{fBEN99a,
author = {H. {Ben Ameur} and M. Breton and P. L'Ecuyer},
title = {Partial Hedging for Options Based on extreme Values and
Passage Times},
year = {1999},
institution = {GERAD, Ecole des Hautes \'Etudes Commerciales, Montr\'eal},
number = {G--99--15}
}
@INPROCEEDINGS {fBEN99b,
author = {H. {Ben Ameur} and P. L'Ecuyer and C. Lemieux},
TITLE="Variance Reduction of {M}onte {C}arlo and
Randomized Quasi-{M}onte {C}arlo Estimators
for Stochastic Volatility Models in Finance",
BOOKTITLE={Proceedings of the 1999 Winter Simulation Conference},
PUBLISHER={{IEEE} Press},
YEAR={1999},
PAGES={336--343} }
@InCollection{fBEN02a,
old = {fBEN99a},
author = {H. {Ben Ameur} and M. Breton and P. L'Ecuyer},
title = {Partial Hedging for Options Based on extreme Values and
Passage Times},
year = {2002},
booktitle = {Decision and Control in Management Science,
book in honor of Professor Alain Haurie},
pages = {179--200},
publisher = {Kluwer Academic Publishers},
editor = {G.\ Zaccour},
address = {Boston},
OPTnote = {},
OPTannote = {}
}
@article{fBEN02b,
author = {H. {Ben Ameur} and M. Breton and P. L'Ecuyer},
title = {A Dynamic Programming Procedure for Pricing
American-Style Asian Options},
journal = {Management Science},
year = {2002},
volume = {48},
pages = {625--643},
OPTannote = {}
}
@article{fBEN06a,
author = {Benth, Fred and Groth, Martin and Kettler, Paul},
title = {A quasi-{Monte Carlo} algorithm for the normal inverse
{G}aussian distribution and valuation of financial derivatives},
journal = {International Journal of Theoretical and Applied Finance},
volume = {9},
number={6},
year = {2006},
pages = {843--867}
}
@article{fBEN07a,
author = "H. {Ben Ameur} and M. Breton and L. Karoui and P. L'Ecuyer",
title = "A Dynamic Programming Approach for Pricing Options Embedded in Bonds",
journal = {Journal of Economic Dynamics and Control},
year = {2007},
volume = {31},
pages = {2212--2233},
}
@article{fBEN09a,
author = {H. {Ben Ameur} and M. Breton and J.-M. Martinez},
title = {Dynamic Programming Approach for Valuing Options in the {GARCH} Model},
journal = {Management Science},
year = {2009},
volume = {55},
number = {2},
pages = {252--266},
OPTannote = {}
}
@InProceedings{fBEN19b,
author = "A. {Ben Abdellah} and P. L'Ecuyer and F. Puchhammer",
title = "{Array-RQMC} for Option Pricing Under Stochastic Volatility Models",
booktitle = {Proceedings of the 2019 Winter Simulation Conference},
OPTeditor = {},
year = {2019},
Xeditors = {N. Mustafee and K.-H.G. Bae and S. Lazarova-Molnar
and M. Rabe and C. Szabo and P. Haas and Y.-J. Son},
publisher = {IEEE Press},
pages = {440--451},
note = {},
url={https://www.informs-sim.org/wsc19papers/429.pdf}
}
@INPROCEEDINGS {fBER08a,
AUTHOR ={C. Bernard and C. Lemieux},
TITLE ="Fast Simulation of Equity-Linked Life Insurance Contracts
with a Surrender Option",
BOOKTITLE={Proceedings of the 2008 Winter Simulation Conference},
OPTeditor = {},
address = {Piscataway, NJ},
publisher = {{IEEE} Press},
YEAR ={2008},
OPTpages = {},
note = {to appear},
}
@Article{fBLA73a,
author = {F. Black and M. Scholes},
title = {The Pricing of Options and Corporate Liabilities},
journal = {Journal of Political Economy},
year = {1973},
volume = {81},
pages = {637--654}
}
@Article{fBOU94a,
author = {L. Bouaziz and E. Briys and M. Crouhy},
title = {The Pricing of Forward-Starting {A}sian Options},
journal = {Journal of Banking and Finance},
year = {1994},
OPTkey = {},
volume = {18},
OPTnumber = {},
pages = {823--839},
OPTannote = {}
}
@Article{fBOY77a,
author = {P. Boyle},
title = {Options: a {M}onte {C}arlo Approach},
journal = {Journal of Financial Economics},
year = {1977},
volume = {4},
OPTnumber = {},
pages = {323--338},
OPTannote = {}
}
@article {fBOY97a,
also = {vBOY97a},
AUTHOR = {Boyle, P. and Broadie, M. and Glasserman, P.},
TITLE = {{M}onte {C}arlo Methods for Security Pricing},
JOURNAL = {Journal of Economic Dynamics and Control},
VOLUME = {21},
YEAR = {1997},
NUMBER = {8-9},
PAGES = {1267--1321},
annote = {Computational financial modelling},
}
@Article{fBOY99a,
author = {P. Boyle and Y. Tian},
title = {Pricing Lookback and Barrier Options under the {CEV}
Process},
journal = {Journal of Financial and Quantitative Analysis},
year = {1999},
volume = {34},
number = {2},
pages = {241--264},
OPTannote = {}
}
@inproceedings{fBOY00a,
author={P. P. Boyle and A. W. Kolkiewicz and K. S. Tan},
title={Pricing {A}merican Derivatives Using Simulation:
A Biased Low Approach},
booktitle ={{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods 2000},
editor={K.-T. Fang and F.J. Hickernell and H. Niederreiter},
year={2002},
publisher ={Springer-Verlag},
address={Berlin},
pages ={181--200}
}
@Article{fBOY05a,
author = {P. Boyle and Y. Lai and K. S. Tan},
title = {Pricing Options Using Lattice Rules},
journal = {North American Actuarial Journal},
year = {2005},
volume = {9},
number = {3},
pages = {50--76},
OPTannote = {}
}
@Article{fBRO96a,
author = {M. Broadie and P. Glasserman},
title = {Estimating Security Price Derivatives Using Simulation},
journal = {Management Science},
year = {1996},
volume = {42},
OPTnumber = {},
pages = {269--285},
OPTnote = {}
}
@techreport{fBRO97a,
author = {M. Broadie and P. Glasserman},
title = {A Stochastic Mesh Method for Pricing High-Dimensional
{A}merican Options},
OPTjournal = {Management Science},
year = {1997},
OPTvolume = {42},
OPTpages = {},
address = {Graduate School of Business, Columbia University},
OPTannote = {}
}
@Article{fBRO97b,
author = {M. Broadie and P. Glasserman},
title = {Pricing {A}merican-Style Securities Using Simulation},
journal = {Journal of Economic Dynamics and Control},
year = {1997},
volume = {21},
number = {8--9},
pages = {1323--1352},
OPTnote = {},
OPTannote = {}
}
@article {fBRO97c,
AUTHOR = {Broadie, Mark and Glasserman, Paul and Kou, Steven},
TITLE = {A Continuity Correction for Discrete Barrier Options},
JOURNAL = {Mathematical Finance},
FJOURNAL = {Mathematical Finance. An International Journal of Mathematics,
Statistics and Financial Economics},
VOLUME = {7},
YEAR = {1997},
NUMBER = {4},
PAGES = {325--349},
ISSN = {0960-1627}
}
@ARTICLE{fBRO97d,
author = {M. Broadie and P. Glasserman},
title = {{M}onte {C}arlo Methods for Pricing High-Dimensional
{A}merican Options: An Overview},
journal = {The Electronic Journal of Financial Risk},
volume = {3 (December)},
year = {1997},
pages = {15--37}
}
@article{fBRO04a,
author = {M. Broadie and J. Detemple},
title = {Option Pricing: Valuation Models and Applications},
journal = {Management Science},
year = {2004},
volume = {50},
number = {9},
pages = {1145--1177},
OPTannote = {}
}
@article{fBUT96a,
author = "H. J. Buttler and J. Waldvogel",
title = "Pricing Callable Bonds by Means of {G}reen's Functions",
journal = {Mathematical Finance},
year = {1996},
volume = {6},
pages = {53-88}
}
@InProceedings{fCAF04a,
author = "R. E. Caflisch and S. Chaudhary",
title = "{M}onte {C}arlo Methods for {A}merican Options",
booktitle = {Proceedings of the 2004 Winter Simulation Conference},
pages = {1656--1660},
year = {2004},
editor = {R. G. Ingalls and M. D. Rossetti and J. S. Smith and and B. A. Peters},
publisher = {{IEEE} Press},
}
@InProceedings{fCAL01a,
author = {J. M. Calvin},
title = {Efficient Simulation for Discrete Path-Dependent
Option Pricing},
booktitle = {Proceedings of the 2001 Winter Simulation Conference},
pages = {325--328},
year = {2001},
editor = {B. A. Peters and J. S. Smith and D. J. Medeiros
and M. W. Rohrer},
OPTaddress = {},
publisher = {{IEEE} Press},
OPTannote = {discounted payoffs}
}
@Article{fCAR90a,
author = {A. P. Carverhill and L. J. Clewlow},
title = {Flexible Convolution},
journal = {Risk},
year = {1990},
OPTkey = {},
volume = {3},
pages = {25--29}
}
@Article{fCAR95a,
author = {A. Carverhill and K. Pang},
title = {Efficient and Flexible Bond Option Valuation in the
{H}eath, {J}arrow, and {M}orton Framework},
journal = {Journal of Fixed Income},
year = {1995},
OPTkey = {},
volume = {5},
pages = {70--77},
OPTannote = {control variables}
}
@article{fCAR96a,
author = "J. Carri\`ere",
title = "Valuation of Early-Exercise Price of Options Using Simulations and Nonparametric Regression",
journal = {Insurance: Mathematics and Economics},
year = {1996},
volume = {19},
pages = {19--30},
}
@article{fCAR99a,
author = {P. Carr and D. Madan},
title = {Option valuation using the fast {F}ourier transform},
journal = {The Journal of Computational Finance},
volume = {2},
year = {1999},
pages = {61--73}
}
@article{fCAR02a,
author = {P. Carr and H. Geman and D. Madan and M. Yor},
title = {The fine structure of asset returns: An empirical investigation},
journal = {The Journal of Business},
volume = {75},
year = {2002},
pages = {305--332}
}
@Article{fCHA98a,
author = {P. Chalasani and S. Jha and A. Varikooty},
title = {Accurate Approximations for {E}uropean-Style
{A}sian Options},
journal = {Journal of Computational Finance},
year = {1998},
volume = {1},
number = {4},
OPTpages = {},
OPTannote = {}
}
@unpublished{fCHA99a,
author = {P. Chalasani and S. Jha and F. Egriboyun and
A. Varikooty},
title = {A Refined Binomial Lattice for Pricing {A}merican-{A}sian
Options},
year = {1999},
address = {{C}arnegie {M}ellon {U}niversity, {P}ittsburg},
note = {Working Paper},
OPTpages = {},
OPTannote = {}
}
@Article{fCHA05a,
author = {S. K. Chaudhary},
title = {American Options and the {LSM} Algorithm: Quasi-Random Sequences and
{B}rownian Bridges},
journal = {Journal of Computational Finance},
year = {2005},
volume = {8},
pages = {101--115}
}
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author = {L. Clewlow and A. Carverhill},
title = {On the Simulation of Contingent Claims},
journal = {Journal of Derivatives},
year = {1994},
volume = {999},
pages = {66--74}
}
@article{fCLE02a,
author = "E. Cl\'ement and D. Lamberton and P. Protter",
title = "An Analysis of a Least Squares Regression Method for {A}merican Option Pricing",
journal = {Finance and Stochastics},
volume = {6},
year = {2002},
pages = {449--471}
}
@Article{fCON91a,
author = {A. Conze and Viswanathan},
title = {Path Dependent Options: The Case of Lookback Options},
journal = {Journal of Finance},
year = {1991},
volume = {46},
pages = {1893--1906}
}
@Book{fCON04a,
author = {R. Cont and P. Tankov},
title = {Financial Modeling with Jump Processes},
publisher = {Chapman and Hall/{CRC}},
year = {2004},
OPTaddress = {},
OPTannote = {L\'evy processes}
}
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journal = {Journal of Financial Economics},
year = {1979},
volume = {7},
pages = {229--263},
OPTannote = {}
}
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journal = {Econometrica},
year = {1985},
volume = {53},
pages = {385--407}
}
@Article{fCOX96a,
author = {J. C. Cox},
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Model},
journal = {Journal of Portfolio Management},
year = {1996},
volume = {22},
pages = {15--17},
OPTannote = {}
}
@Article{fCUR94a,
author = {M. Curran},
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Conditioning on the Geometric Mean Price},
journal = {Management Science},
year = {1994},
volume = {40},
number = {12},
pages = {1705--1711},
OPTannote = {}
}
@unpublished{fDET97a,
author = {J. Detemple and C. J. Osakwe},
title = {The Valuation of Volatility Options},
note = {Working paper. Faculty of Management, McGill University,
Montreal},
year = {1997}
}
@InProceedings{fDIO10a,
author = {M. Dion and P. L'Ecuyer},
title = {{A}merical Option Pricing with Randomized Quasi-{M}onte {C}arlo Simulation},
booktitle = {Proceedings of the 2010 Winter Simulation Conference},
year = {2010},
publisher = {IEEE Press},
address = {Piscataway, NJ},
pages = {2705--2720}
}
@Article{fDUA99a,
author = {J.-C. Duan and G. Gauthier and J.-G. Simonato},
title = {An Analytical Approximation for the {GARCH} Option
Pricing Model},
journal = {Journal of Computational Finance},
year = {1999},
volume = {2},
number = {4},
pages = {75--116},
OPTannote = {}
}
@Book{fDUF96a,
author = {D. Duffie},
title = {Dynamic Asset Pricing Theory},
publisher = {Princeton University Press},
year = {1996},
OPTaddress = {},
edition = {second},
OPTannote = {}
}
@Unpublished{fDUF99a,
author = {D. Dufresne},
title = {Laguerre Series for {A}sian and Other Options},
note = {working paper},
OPTyear = {1999},
OPTannote = {}
}
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author = {E. Eberlein and U. Keller},
title = {Hyperbolic Distributions in Finance},
journal = {Bernoulli},
volume = {1},
year = {1995},
pages = {281--299}
}
@InProceedings{fFOU08a,
author = "J. P. Fouque and C. H. Han and Y. Lai",
title = "Variance Reduction for {MC/QMC} Methods to Evaluate Option Prices",
booktitle = "Recent Advances in Financial Engineering;
Proceedings of the 2008 Daiwa International Workshop on Financial Engineering",
publisher = "World Scientific",
pages = {27--48},
year = {2008}
}
@Article{fFU98a,
old = {fFU99a},
author = {M. C. Fu and D. B. Madan and T. Wang},
title = {Pricing Continuous {A}sian Options: A Comparison
of {M}onte {C}arlo and {L}aplace Transform Inversion Methods},
journal = {Journal of Computational Finance},
year = {1998},
volume = {2},
pages = {49--74}
}
@Article{fGEM93a,
author = {H. Geman and M. Yor},
title = {{B}essel Processes, {A}sian Options, and Perpetuities},
journal = {Mathematical Finance},
year = {1993},
volume = {3},
pages = {349--375},
OPTnote = {},
OPTannote = {}
}
@inproceedings{fGLA98a,
author={P. Glasserman and P. Heidelberger and P. Shahabuddin},
title={Gaussian Importance Sampling and Stratification:
{C}omputational Issues},
booktitle={Proceedings of the 1998 Winter Simulation Conference},
editor={D. J. Meideros and E. F. Watson and J. S. Carson
and M. S. Manivannan},
pages={685--693},
year={1998},
publisher={{IEEE} Press},
address={Piscataway, New Jersey}
}
@Article{fGLA99a,
author = {P. Glasserman and P. Heidelberger and P. Shahabuddin},
title = {Asymptotically Optimal Importance Sampling and
Stratification for Pricing Path Dependent Options},
journal = {Journal of Mathematical Finance},
year = {1999},
volume = {9},
number = {2},
pages = {117--152},
OPTannote = {}
}
@InProceedings{fGLA99b,
author = {P. Glasserman and P. Heidelberger and P. Shahabuddin},
title = {Importance Sampling and Stratification for Value-at-Risk},
booktitle = {Computational Finance 1999 (Proceedings of the
Sixth International Conference on Computational Finance)},
OPTpages = {},
year = {1999},
editor = {Y.S. Abu-Mostafa and B. LeBaron and A.W. Lo and
A.S. Weigend},
OPTaddress = {},
month = {Jan},
publisher = {{MIT} Press},
OPTnote = {Leonard N. Stern School of Business, New York University}
}
@techreport {fGLA99c,
author = {P. Glasserman and P. Heidelberger and P. Shahabuddin},
title = {Importance Sampling in the {H}eath-{J}arrow-{M}orton
Framework},
Xjournal = {Journal of Mathematical Finance},
year = {1999},
Xvolume = {9},
Xnumber = {2},
Xpages = {117--152},
note = {{IBM} Research Report {RC} 21367},
address = {Yorktown Heights, NY},
OPTannote = {}
}
@InProceedings{fGLA01a,
author = {P. Glasserman and J. Staum},
title = {Stopping Simulated Paths Early},
booktitle = {Proceedings of the 2001 Winter Simulation Conference},
pages = {318--324},
year = {2001},
editor = {B. A. Peters and J. S. Smith and D. J. Medeiros
and M. W. Rohrer},
OPTaddress = {},
publisher = {{IEEE} Press},
OPTannote = {discounted payoffs}
}
@Book{fGLA04a,
author = {P. Glasserman},
title = {Monte {C}arlo Methods in Financial Engineering},
publisher = {Springer-Verlag},
year = {2004},
address = {New York},
OPTnote = {},
OPTannote = {variance reduction, VAR}
}
@article{fGLA04b,
author = "P. Glasserman and B. Yu",
title = "Number of Paths versus Number of Basis Functions in {A}merican Option Pricing",
journal = {The Annals of Applied Probability},
year = {2004},
volume = {14},
pages = {2090--2119},
}
@Article{fGOL79a,
author = {M. B. Goldman and H. B. Sosin and M. A. Gatto},
title = {Path Dependent Options: ``Buy at the Low, Sell at the High''},
journal = {Journal of Finance},
year = {1979},
volume = {34},
pages = {1111--1127}
}
@Article{fGRA97a,
author = {D. Grant and G. Vora and D. Weeks},
title = {Path-Dependent Options: Extending the {M}onte {C}arlo
Simulation Approach},
journal = {Management Science},
year = {1997},
volume = {43},
pages = {1589--1602},
OPTnote = {},
OPTannote = {}
}
@unpublished{fHAN06a,
author = "C. H. Han and Y. Lai",
title = "{MC/QMC} Methods for Option Pricing under Stochastic Volatility Models",
year = {2006},
note = {See \url{http://math.cts.nthu.edu.tw/Mathematics/preprints/prep2006-8-003.pdf}}
}
@article{fHAN10b,
author = "C. H. Han and Y. Lai",
title = "Generalized Control Variate Methods for Pricing {A}sian Options",
journal = {Journal of Computational Finance},
year = {2010},
note = {To appear. See \url{mx.nthu.edu.tw/~chhan/gen_AAO_v.kan.final.pdf}}
}
@unpublished{fHAN10c,
author = "C. H. Han and Y. Lai",
title = "A Smooth Estimator for {MC/QMC} Methods in Finance",
note = {Submitted. See \url{http://mx.nthu.edu.tw/~chhan/svqmc.MCM2007.v2.pdf}},
annote = {seems similar to fFOU08a.}
}
@ARTICLE{fHAR81a},
author={M. Harrison and S. Pliska},
title={Martingales and Stochastic Integrals in the
Theory of Continuous Trading},
journal={Stochastic Processes and Their Applications},
volume={11},
year={1981},
pages={215--260}
}
@Article{fHES93a,
author = {S. L. Heston},
title = {A Closed-Form Solution for Options with Stochastic
Volatility with Applications to Bond and Currency Options},
journal = {Review of Financial Studies},
year = {1993},
volume = {6},
pages = {327--343}
}
@ARTICLE{fHIR04a,
old ={fHIR03a},
author={A. Hirsa and D. B. Madan},
title={Pricing {A}merican options under variance gamma},
journal={The Journal of Computational Finance},
volume={7},
number={2},
year={2004},
pages={63--80}
}
@Article{fHUL87a,
author = {J. C. Hull and A. White},
title = {The Pricing of Options on Assets with Stochastic
Volatilities},
journal = {Journal of Finance},
year = {1987},
volume = {42},
pages = {281--300},
OPTnote = {},
OPTannote = {}
}
@Article{fHUL93a,
author = {J. C. Hull and A. White},
title = {Efficient Procedures for Valuing European and
{A}merican Path-Dependent Options},
journal = {Journal of Derivatives},
year = {1993},
volume = {1},
number = {Fall},
pages = {21--31},
OPTnote = {},
OPTannote = {}
}
@Book{fHUL93b,
author = {J. C. Hull},
ALTeditor = {},
title = {Options, Futures, and Other Derivative Securities},
publisher = {Prentice-Hall},
year = {1993},
address = {Englewood-Cliff, N.J.},
OPTedition = {},
OPTannote = {}
}
@Book{fHUL97a,
author = {J. C. Hull},
edition = {third},
title = {Options, Futures, and Other Derivative Securities},
publisher = {Prentice-Hall},
year = {1997},
address = {Englewood-Cliff, N.J.},
OPTedition = {},
OPTannote = {}
}
@Book{fHUL00a,
author = {J. C. Hull},
edition = {fourth},
title = {Options, Futures, and Other Derivative Securities},
publisher = {Prentice-Hall},
year = {2000},
address = {Englewood-Cliff, N.J.},
OPTedition = {},
OPTannote = {}