Bibliografia

BIBLIOGRAFIA

[1] ACWORTH P., BROADIE M., GLASSERMAN P., A Comparison of Some Monte Carlo and Quasi Monte Carlo Technique for Option Pricing in “MC and QMC Methods 1996”, NIEDERREITER H., HELLEKALEK P., LARCHER G., ZINTERHOF P., Springer-Verlag, New York,1998.

[2] BARRAQUAND J., Numerical valuation of high dimensional multivariate European securities, Management Science, Vol. 41, 1882-1891, 1995.

[3] BLACK F., SCHOLES M., The Pricing of Options and Corporate Liabilities, Journal of Political Economy, Vol. 81, 637-657, 1973.

[4] BOYLE P., Options: A Monte Carlo Approach, Journal of Financial Economics, Vol. 4, 323-338, 1977.

[5] BOYLE P., BROADIE M., GLASSERMAN P., Monte Carlo Methods for Security Pricing, Journal of Economic Dynamics and Control, Vol. 2, 1267- 1321, 1997.

[6] BROADIE M., GLASSERMAN P., Monte Carlo Methods for Pricing High- Dimensional American options: An Overview in “Monte Carlo: Methodologies and Applications for Pricing and Risk Management”, DUPIRE B., Risk Books, London, 1998.

[7] DUPIRE B., Monte Carlo: Methodologies and Applications for Pricing and Risk Management, Risk Books, London, 1998.

[8] JOY C., BOYLE P., TAN K.S., Quasi-Monte Carlo Methods in Numerical Finance, Management Science, Vol. 2, 926-936, 1996.

[9] KEMNA A.G.Z., VORST A.C.F., A Pricing Method for Options Based on Average Asset Values, Journal of Banking and Finance, Vol. 14, 113-129, 1990.

[10] KNUTH D.E., The Art of Computer Programming, Vol. 2, 1969.

[11] NIEDERREITER H., Random Number Generation and QMC Methods, CBMSNSF, Vol. 63, Philadelphia: SIAM, 1992.

[12] PIANCA P., Numerical approximations to standard Gaussian density applications to options pricing, Atti giornata di studio Metodi numerici per la finanza, Venezia 7 maggio 1999.

[13] PRESS W., TEUKOLSKY S., VETTERLING T., FLANNERY B.P., Numerical Recipes in Fortran: The Art of Scientific Computation, 2nd edition. Cambridge University Press, Cambridge, 1992.

[14] WILMOTT P., DEWYNNE J., HOWISON S. D., The Mathematics of Financial Derivatives: a Student Introduction, Cambridge University Press, Cambridge, 1995.

Di R. Casarin & M. Gobbo