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Optimal portfolios : new variations of an old theme
Korn, Ralf - In: Computational Management Science : CMS 5 (2008) 4, pp. 289-304
Persistent link: https://www.econbiz.de/10003758290
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Computation of the delta of European options under stochastic volatility models
Yolcu-Okur, Yeliz; Sayer, Tilman; Yilmaz, Bilgi; … - In: Computational Management Science : CMS 15 (2018) 2, pp. 213-237
Persistent link: https://www.econbiz.de/10011876576
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Modeling and implementation of local volatility surfaces in Bayesian framework
Animoku, Abdulwahab; Uğur, Ömür; Yolcu-Okur, Yeliz - In: Computational Management Science : CMS 15 (2018) 2, pp. 239-258
Persistent link: https://www.econbiz.de/10011876581
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Fast binomial procedures for pricing Parisian/ParAsian options
Gaudenzi, Marcellino; Zanette, Antonino - In: Computational Management Science : CMS 14 (2017) 3, pp. 313-331
Persistent link: https://www.econbiz.de/10011710827
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American option pricing under stochastic volatility : an efficient numerical approach
AitSahlia, Farid; Goswami, Manisha; Guha, Suchandan - In: Computational Management Science : CMS 7 (2010) 2, pp. 171-187
Persistent link: https://www.econbiz.de/10003954086
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American option pricing under stochastic volatility : an empirical evaluation
AitSahlia, Farid; Goswami, Manisha; Guha, Suchandan - In: Computational Management Science : CMS 7 (2010) 2, pp. 189-206
Persistent link: https://www.econbiz.de/10003954092
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Exact simulation of final, minimal and maximal values of Brownian motion and jump-diffusions with applications to option pricing
Becker, Martin - In: Computational Management Science : CMS 7 (2010) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10003922191
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Pricing cliquet options by tree methods
Gaudenzi, Marcellino; Zanette, Antonino - In: Computational Management Science : CMS 8 (2011) 1/2, pp. 125-135
Persistent link: https://www.econbiz.de/10008992059
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Dynamic modelling of mean-reverting spreads for statistical arbitrage
Triantafyllopoulos, K.; Montana, G. - In: Computational Management Science : CMS 8 (2011) 1/2, pp. 23-49
Persistent link: https://www.econbiz.de/10008992079
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Integer programs for margining option portfolios by option spreads with more than four legs
Matsypura, Dmytro; Timkovsky, V. G. - In: Computational Management Science : CMS 10 (2013) 1, pp. 51-76
Persistent link: https://www.econbiz.de/10009713809