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Hermite binomial trees : a novel technique for derivatives pricing
Leccadito, Arturo; Toscano, Pietro; Tunaru, Radu S. - In: International journal of theoretical and applied finance 15 (2012) 8, pp. 1-36
Persistent link: https://www.econbiz.de/10009707095
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Semi-static hedging of barrier options under poisson jumps
Carr, Peter - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1091-1111
Persistent link: https://www.econbiz.de/10009407668
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Method of paired contours and pricing barrier options and CDSs of long maturities
Levendorskij, Sergej Z. - In: International journal of theoretical and applied finance 17 (2014) 5, pp. 1-58
Persistent link: https://www.econbiz.de/10010437194
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Collocating volatility : a competitive alternative to stochastic local volatility models
Stoep, Anthonie W. van der; Grzelak, Lech A.; … - In: International journal of theoretical and applied finance 23 (2020) 6, pp. 1-42
Persistent link: https://www.econbiz.de/10012496758
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An approximation method for pricing continuous barrier options under multi-asset local stochastic volatility models
Shiraya, Kenichiro - In: International journal of theoretical and applied finance 23 (2020) 8, pp. 1-20
Persistent link: https://www.econbiz.de/10012496929
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Algorithmic differentiation for discontinuous payoffs
Daluiso, Roberto; Facchinetti, Giorgio - In: International journal of theoretical and applied finance 21 (2018) 4, pp. 1-41
Persistent link: https://www.econbiz.de/10011891863
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Ultra-fast pricing barrier options and CDSs
Levendorskij, Sergej Z. - In: International journal of theoretical and applied finance 20 (2017) 5, pp. 1-27
Persistent link: https://www.econbiz.de/10011734044
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Sinh-acceleration for B-spline projection with option pricing applications
Bojarčenko, Svetlana I.; Levendorskij, Sergej Z.; … - In: International journal of theoretical and applied finance 24 (2021) 8, pp. 1-50
Persistent link: https://www.econbiz.de/10012887408
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Risk sensitivities of Bermuda swaptions
Piterbarg, Vladimir V. - In: International journal of theoretical and applied finance 7 (2004) 4, pp. 465-509
Persistent link: https://www.econbiz.de/10002108806
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Analytic backward induction of option cash flows: a new application paradigm for the Markovian interest rate models
Gan, Junwu - In: International journal of theoretical and applied finance 8 (2005) 8, pp. 1019-1057
Persistent link: https://www.econbiz.de/10003280033