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A spectral approach to pricing of arbitrage-free sabr discrete barrier options
Thakoor, Nawdha; Tangman, Désiré Yannick; Bhuruth, Muddun - In: Computational economics 54 (2019) 3, pp. 1085-1111
Persistent link: https://www.econbiz.de/10012134509
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Efficient semi-discretization techniques for pricing European and American basket options
Soleymani, Fazlollah - In: Computational economics 53 (2019) 4, pp. 1487-1508
Persistent link: https://www.econbiz.de/10012135573
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An efficient algorithm for options under Merton’s jump-diffusion model on nonuniform grids
Chen, Yingzi; Wang, Wansheng; Xiao, Aiguo - In: Computational economics 53 (2019) 4, pp. 1565-1591
Persistent link: https://www.econbiz.de/10012135577
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Developing a risk-based approach for American basket option pricing
Hajizadeh, Ehsan; Mahootchi, Masoud - In: Computational economics 53 (2019) 4, pp. 1593-1612
Persistent link: https://www.econbiz.de/10012135578
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A numerical method for discrete single barrier option pricing with time-dependent parameters
Farnoosh, Rahman; Rezazadeh, Hamidreza; Sobhani, Amirhossein - In: Computational economics 48 (2016) 1, pp. 131-145
Persistent link: https://www.econbiz.de/10011646608
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Efficient high-order numerical methods for pricing of options
Hajipour, Mojtaba; Malek, Alaeddin - In: Computational economics 45 (2015) 1, pp. 31-47
Persistent link: https://www.econbiz.de/10010511343
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A computational method based on the moving least-squares approach for pricing double barrier options in a time-fractional Black-Scholes model
Golbabai, Ahmad; Nikan, Omid - In: Computational economics 55 (2020) 1, pp. 119-141
Persistent link: https://www.econbiz.de/10012222594
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Static hedges of barrier options under fast mean-reverting stochastic volatility
Huh, Jeonggyu; Jeon, Jaegi; Ma, Yong-Ki - In: Computational economics 55 (2020) 1, pp. 185-210
Persistent link: https://www.econbiz.de/10012222596
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A fitted multi-point flux approximation method for pricing two options
Koffi, Rock Stephane; Tambue, Antoine - In: Computational economics 55 (2020) 2, pp. 597-628
Persistent link: https://www.econbiz.de/10012223652
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LSM algorithm for pricing American option under Heston-Hull-White's stochastic volatility model
Samimi, O.; Mardani, Z.; Sharafpour, S.; Mehrdoust, F. - In: Computational economics 50 (2017) 2, pp. 173-187
Persistent link: https://www.econbiz.de/10011762377