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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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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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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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Analytically pricing European options under a new two-factor Heston model with regime switching
Lin, Sha; He, Xin-Jiang - In: Computational economics 59 (2022) 3, pp. 1069-1085
Persistent link: https://www.econbiz.de/10013169219
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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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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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Pricing vulnerable options with stochastic volatility and stochastic interest rate
Ma, Chaoqun; Yue, Shengjie; Wu, Hui; Ma, Yong - In: Computational economics 56 (2020) 2, pp. 391-429
Persistent link: https://www.econbiz.de/10012272041
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An analytic approximation for valuation of the American option under the Heston model in two regimes
Jeon, Junkee; Huh, Jeonggyu; Park, Kyunghyun - In: Computational economics 56 (2020) 2, pp. 499-528
Persistent link: https://www.econbiz.de/10012272044
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New splitting scheme for pricing American options under the Heston model
Safaei, Maryam; Neisy, Abodolsadeh; Nematollahi, Nader - In: Computational economics 52 (2018) 2, pp. 405-420
Persistent link: https://www.econbiz.de/10012052953
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Pricing European options under fractional black-scholes model with a weak payoff function
Mehrdoust, Farshid; Najafi, Ali Reza - In: Computational economics 52 (2018) 2, pp. 685-706
Persistent link: https://www.econbiz.de/10012053023