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The forward smile in local-stochastic volatility models
Mazzon, Andrea; Pascucci, Andrea - In: The journal of computational finance 20 (2016/2017) 3, pp. 1-29
Persistent link: https://www.econbiz.de/10011689675
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Path-dependent American options
Chevalier, Etienne; Ly Vath, Vathana; Mnif, Mohamed - In: The journal of computational finance 23 (2019) 1, pp. 61-95
Persistent link: https://www.econbiz.de/10012064988
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Path independence of exotic options and convergence of binomial approximations
Leduc, Guillaume; Palmer, Kenneth J. - In: The journal of computational finance 23 (2019) 2, pp. 73-102
Persistent link: https://www.econbiz.de/10012111264
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Volatility risk structure for options depending on extrema
Nakatsu, Tomonori - In: The journal of computational finance 21 (2017/2018) 3, pp. 105-122
Persistent link: https://www.econbiz.de/10011848359
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Discontinuous payoff option pricing by Mellin transform : a probabilistic approach
Gzyl, Henryk; Milev, M.; Tagliani, Aldo - In: Finance research letters 20 (2017), pp. 281-288
Persistent link: https://www.econbiz.de/10011806950
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How fundamental is the one-period trinomial model to European option pricing bounds : a new methodological approach
Braouezec, Yann - In: Finance research letters 21 (2017), pp. 92-99
Persistent link: https://www.econbiz.de/10011807511
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Pricing American call options using the Black-Scholes equation with a nonlinear volatility function
Grossinho, Maria do Rosário; Kord, Yaser; Ševčovič, … - In: The journal of computational finance 23 (2020) 4, pp. 93-113
Persistent link: https://www.econbiz.de/10012212488
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Efficient conservative second-order central-upwind schemes for option-pricing problems
Bhatoo, Omishwary; Peer, Arshad Ahmud Iqbal; Tadmor, Eitan - In: The journal of computational finance 22 (2018/2019) 5, pp. 71-101
Persistent link: https://www.econbiz.de/10012042237
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Pricing multiple barrier derivatives under stochastic volatility
Escobar, Marcos; Panz, Sven; Zagst, Rudi - In: The journal of computational finance 24 (2020) 2, pp. 77-101
Persistent link: https://www.econbiz.de/10012543622
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Gradient boosting for quantitative finance
Davis, Jesse; Devos, Laurens; Reyners, Sofie; Schoutens, Wim - In: The journal of computational finance 24 (2021) 4, pp. 1-40
Persistent link: https://www.econbiz.de/10012544161