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A numerical PDE approach for pricing callable bonds
D'Halluin, Y. (contributor) - In: Applied mathematical finance 8 (2001) 1, pp. 49-77
Persistent link: https://www.econbiz.de/10001625721
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Multigrid for American option pricing with stochastic volatility
Clarke, Nigel; Parrott, Kevin - In: Applied mathematical finance 6 (1999) 3, pp. 177-195
Persistent link: https://www.econbiz.de/10001490689
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Numerical method for model-free pricing of exotic derivatives in discrete time using rough path signatures
Lyons, Terry; Nejad, Sina; Arribas, Imanol Perez - In: Applied mathematical finance 26 (2019) 6, pp. 583-597
Persistent link: https://www.econbiz.de/10012210427
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Numerical methods for non-linear black-scholes equations
Heider, Pascal - In: Applied mathematical finance 17 (2010) 1/2, pp. 59-81
Persistent link: https://www.econbiz.de/10003975272
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Numerical integration of mean reverting stochastic systems with applications to interest rate term structure simulation
Morokoff, William J. - In: Applied mathematical finance 6 (1999) 1, pp. 19-28
Persistent link: https://www.econbiz.de/10001449231
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Numerical ross recovery for diffusion processes using a PDE approach
Sydow, Lina von; Walden, Johan - In: Applied mathematical finance 27 (2020) 1/2, pp. 46-66
Persistent link: https://www.econbiz.de/10012254095
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A control variate method for Monte Carlo simulations of Heath-Jarrow-Morton models with jumps
Chiarella, Carl; Nikitopoulos, Christina Sklibosios; … - In: Applied mathematical finance 14 (2007) 5, pp. 365-399
Persistent link: https://www.econbiz.de/10003637449
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An improved binomial lattice method for multi-dimensional options
Gamba, Andrea; Trigeorgis, Lenos - In: Applied mathematical finance 14 (2007) 5, pp. 453-475
Persistent link: https://www.econbiz.de/10003637477
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Pricing lookback options with knock-out boundaries
Muroi, Yoshifumi - In: Applied mathematical finance 13 (2006) 2, pp. 155-190
Persistent link: https://www.econbiz.de/10003331423
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A semi-explicit approach to Canary swaptions in HJM one-factor model
Henrard, Marc - In: Applied mathematical finance 13 (2006) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10003320021