Zobrazeno 1 - 10
of 79
pro vyhledávání: '"Daniluk, Andrzej"'
We present a novel technique of Monte Carlo error reduction that finds direct application in option pricing and Greeks estimation. The method is applicable to any LSV modelling framework and concerns a broad class of payoffs, including path-dependent
Externí odkaz:
http://arxiv.org/abs/2402.12528
Publikováno v:
In Computer Physics Communications March 2025 308
Publikováno v:
In Computer Physics Communications April 2021 261
Autor:
Daniluk, Andrzej, Muchorski, Rafał
We derive semi-analytic approximation formulae for bond and swaption prices in a Black-Karasi\'{n}ski interest rate model. Approximations are obtained using a novel technique based on the Karhunen-Lo\`{e}ve expansion. Formulas are easily computable a
Externí odkaz:
http://arxiv.org/abs/1506.00697
Autor:
Daniluk, Andrzej, Tatarczuk, Wiktoria
Publikováno v:
Scientific Journal of the Polish Economic Society / Zeszyty Naukowe Polskiego Towarzystwa Ekonomicznego w Zielonej Górze; 2024, Issue 21, p56-67, 12p