E. Dockner, H. Moritsch. Pricing Constant Maturity Floaters with Embedded Options Using Monte Carlo Simulation. Technical report AURORA TR1999-04. Home/Search Document Details and Download
Summary Related Articles Check |
This paper is cited in the following contexts:
Development and Performance Analysis of Real-World .. - Fahringer, Blaha, .. (1999) (Correct)
.... a financial variable in the past so called path dependent products Monte Carlo simulation techniques have to be applied [33] 28] By utilizing massively parallel architectures very efficient implementations can be achieved [25] 41] For a detailed description of the technique implemented see [11] and [18] The Monte Carlo simulation is based on a discrete representation of a stochastic process that describes the dynamics of the underlying security over time [24] In the case of interest rate dependent products, the Hull and White tree describes the future development of the short rate, ....
H. M. E. Dockner. Pricing constant maturity floaters with embedded options using monte carlo simulation. Technical Report TR199904, Special Research Program SFB F011 AURORA, 1999.
High Performance Numerical Pricing Methods - Moritsch, Benkner (2000) Self-citation (Moritsch) (Correct)
No context found.
E. Dockner, H. Moritsch. Pricing Constant Maturity Floaters with Embedded Options Using Monte Carlo Simulation. Technical report AURORA TR1999-04.
Online articles have much greater impact More about CiteSeer.IST Add search form to your site Submit documents Feedback
CiteSeer.IST - Copyright Penn State and NEC