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The efficient application of automatic differentiation for computing gradients in financial applications
Xu, Wei; Chen, Xi; Coleman, Thomas F. - In: The journal of computational finance 19 (2016) 3, pp. 71-96
Persistent link: https://www.econbiz.de/10011563485
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An efficient convergant lattice method for Asian option pricing with superlinear complexity
Lu, Ling; Xu, Wei; Qian, Zhehui - In: The journal of computational finance 20 (2016/2017) 4, pp. 1-38
Persistent link: https://www.econbiz.de/10011691626
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A simple and efficient two-factor willow tree method for convertible bond pricing with stochastic interest rate and default risk
Lu, Ling; Xu, Wei - In: The journal of derivatives : the official publication … 25 (2017) 1, pp. 37-54
Persistent link: https://www.econbiz.de/10011931521
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Pricing American options by Willow Tree method under jump-diffusion process
Xu, Wei; Yin, Yufang - In: The journal of derivatives : the official publication … 22 (2014) 1, pp. 46-56
Persistent link: https://www.econbiz.de/10011634589