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Kim, Junseok
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ECONIS (ZBW)
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1
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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2
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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3
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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4
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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5
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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6
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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7
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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8
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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9
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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10
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
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