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Robust option pricing with characteristic functions and the B-spline order of density projection
Kirkby, J. Lars - In: The journal of computational finance 21 (2017/2018) 2, pp. 61-100
Persistent link: https://www.econbiz.de/10011848311
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Portfolio optimization for American options
Zeng, Yaxiong; Klabjan, Diego - In: The journal of computational finance 22 (2018) 3, pp. 37-64
Persistent link: https://www.econbiz.de/10011988191
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Variance optimal hedging with application to electricity markets
Warin, Xavier - In: The journal of computational finance 23 (2019) 3, pp. 33-59
Persistent link: https://www.econbiz.de/10012162373
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Interacting particle systems for the computation of rare credit portfolio losses
Carmona, René; Fouque, Jean-Pierre; Vestal, Douglas - In: Finance and Stochastics 13 (2009) 4, pp. 613-633
Persistent link: https://www.econbiz.de/10005061373
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Additive and multiplicative duals for American option pricing
Chen, Nan; Glasserman, Paul - In: Finance and Stochastics 11 (2007) 2, pp. 153-179
Persistent link: https://www.econbiz.de/10005166847
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Optimal importance sampling with explicit formulas in continuous time
Guasoni, Paolo; Robertson, Scott - In: Finance and Stochastics 12 (2008) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10005613400
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Gamma expansion of the Heston stochastic volatility model
Glasserman, Paul; Kim, Kyoung-Kuk - In: Finance and Stochastics 15 (2011) 2, pp. 267-296
Persistent link: https://www.econbiz.de/10009149761
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Probabilistic machine learning for local volatility
Tegnér, Martin; Roberts, Stephen - In: The journal of computational finance 25 (2021) 3, pp. 1-50
Persistent link: https://www.econbiz.de/10012873079
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High-order approximations to call option prices in the Heston model
Gulisashvili, Archil; Lagunas-Merino, Marc; Merino, Raúl; … - In: The journal of computational finance 24 (2020) 1, pp. 83-102
Persistent link: https://www.econbiz.de/10012421960
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Numerical simulation and applications of the convection-diffusion-reaction equation with the radial basis function in a finite-difference mode
Mollapourasl, Reza; Haghi, Majid; Heryudono, Alfa - In: The journal of computational finance 23 (2020) 5, pp. 33-73
Persistent link: https://www.econbiz.de/10012295864