5 citations · 5 across the 2 of their papers we have counts for
2 papers
q-fin.CP2012
Application of simplest random walk algorithms for pricing barrier options
M. Krivko, M. V. Tretyakov
We demonstrate effectiveness of the first-order algorithm from [Milstein, Tretyakov. Theory Prob. Appl. 47 (2002), 53-68] in application to barrier option pricing. The algorithm us…
q-fin.CP2011★ 5 cited
Numerical integration of Heath-Jarrow-Morton model of interest rates
M. Krivko, M. V. Tretyakov
We propose and analyze numerical methods for the Heath-Jarrow-Morton (HJM) model. To construct the methods, we first discretize the infinite dimensional HJM equation in maturity ti…