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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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Valuation of R&D sequential exchange options using Monte Carlo approach
Cortelezzi, Flavia; Villani, Giovanni - In: Computational economics 33 (2009) 3, pp. 209-236
Persistent link: https://www.econbiz.de/10003828834
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Using Chebyshev polynomials to approximate partial differential equations
Caporale, Guglielmo Maria; Cerrato, Mario - In: Computational economics 35 (2010) 3, pp. 235-244
Persistent link: https://www.econbiz.de/10003957719
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Pricing risky debts under a Markov-modudated Merton model with completely random measures
Lau, John W.; Siu, Tak Kuen - In: Computational economics 31 (2008) 3, pp. 255-288
Persistent link: https://www.econbiz.de/10003691910
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Fast and accurate pricing of discretely monitored barrier options by numerical path integration
Skaug, Christian; Naess, Arvid - In: Computational economics 30 (2007) 2, pp. 143-151
Persistent link: https://www.econbiz.de/10003702548
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A new approach for firm value and default probability estimation beyond Merton models
De Giuli, Maria Elena; Prienau, Karl; Maggi, Mario … - In: Computational economics 31 (2008) 2, pp. 161-180
Persistent link: https://www.econbiz.de/10003685972
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Using Chebyshev polynomials to approximate partial differential equations : a reply
Mosiño, Alejandro - In: Computational economics 39 (2012) 1, pp. 13-27
Persistent link: https://www.econbiz.de/10009508051
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An integer programming model for pricing American contingent claims under transaction costs
Pınar, M. Ç.; Camcı, A. - In: Computational economics 39 (2012) 1, pp. 1-12
Persistent link: https://www.econbiz.de/10009508053
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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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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