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Variance swaps with deterministic and stochastic correlations
Han, Ah-Reum; Kim, Jeong-Hoon; Kim, See-Woo - In: Computational economics 57 (2021) 4, pp. 1059-1092
Persistent link: https://www.econbiz.de/10012543256
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Increment variance reduction techniques with an application to multi-name credit derivatives
Rostan, Pierre; Rostan, Alexandra; Racicot, François-Éric - In: Computational economics 55 (2020) 1, pp. 1-35
Persistent link: https://www.econbiz.de/10012222571
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An efficient semi-analytical simulation for the Heston model
Sun, Xianming; Gan, Siqing - In: Computational economics 43 (2014) 4, pp. 433-445
Persistent link: https://www.econbiz.de/10010396258
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Accelerating FHS option pricing under linear GARCH
Xie, Haibin; Wu, Xinyu; Fan, Pengying - In: Computational economics 58 (2021) 2, pp. 395-411
Persistent link: https://www.econbiz.de/10012615025
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Efficient simulation of value-at-risk under a jump diffusion model : a new method for moderate deviation events
Fuh, Cheng-Der; Teng, Huei-Wen; Wang, Ren-Her - In: Computational economics 51 (2018) 4, pp. 973-990
Persistent link: https://www.econbiz.de/10011972209
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Simulating and pricing CAT bonds using the spectral method based on Chebyshev basis
Aghdam, Y. Esmaeelzade; Neisy, A.; Adl, A. - In: Computational economics 63 (2024) 1, pp. 423-435
Persistent link: https://www.econbiz.de/10014472268
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Fuzzy portfolio selection using stochastic correlation
Jo, Gumsong; Kim, Hyokil; Kim, Hoyong; Ri, Gyongho - In: Computational economics 63 (2024) 4, pp. 1493-1509
Persistent link: https://www.econbiz.de/10014549109
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Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
Itkin, Andrey; Carr, Peter - In: Computational economics 40 (2012) 1, pp. 63-104
Persistent link: https://www.econbiz.de/10009627499
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The hitting time density for a reflected Brownian motion
Hu, Qin; Wang, Yongjin; Yang, Xuewei - In: Computational economics 40 (2012) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10009627574
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Valuation of N-stage investments under jump-diffusion processes
Andergassen, Rainer; Sereno, Luigi - In: Computational economics 39 (2012) 3, pp. 289-313
Persistent link: https://www.econbiz.de/10009513147