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Pricing American options with the Runge-Kutta-Legendre finite difference scheme
Le Floc'h, Fabien - In: International journal of theoretical and applied finance 24 (2021) 3, pp. 1-24
Persistent link: https://www.econbiz.de/10012652624
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An arbitrage-free interpolation of class C2 for option prices
Le Floc'h, Fabien - In: The journal of derivatives : JOD 28 (2021) 4, pp. 64-86
Persistent link: https://www.econbiz.de/10012612921
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Model-free stochastic collocation for an arbitrage-free implied volatility, part I
Le Floc'h, Fabien; Oosterlee, Cornelis Willebrordus - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 679-714
Persistent link: https://www.econbiz.de/10012127314
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Finite difference techniques for arbitrage-free SABR
Le Floc'h, Fabien; Kennedy, Gary - In: The journal of computational finance 20 (2016/2017) 3, pp. 51-79
Persistent link: https://www.econbiz.de/10011689679
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An adaptive Filon quadrature for stochastic volatility models
Le Floc'h, Fabien - In: The journal of computational finance 22 (2018) 3, pp. 65-88
Persistent link: https://www.econbiz.de/10011988193
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Numerical techniques for the Heston collocated volatility model
Le Floc'h, Fabien; Oosterlee, Cornelis Willebrordus - In: The journal of computational finance 24 (2020) 3, pp. 59-110
Persistent link: https://www.econbiz.de/10012544158