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A novel Fourier transform B-spline method for option pricing
Haslip, Gareth G.; Kaishev, Vladimir K. - In: The journal of computational finance 19 (2015) 1, pp. 41-74
Persistent link: https://www.econbiz.de/10011480709
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Probabilistic machine learning for local volatility
Tegnér, Martin; Roberts, Stephen - In: The journal of computational finance 25 (2021) 3, pp. 1-50
Persistent link: https://www.econbiz.de/10012873079
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High-order approximations to call option prices in the Heston model
Gulisashvili, Archil; Lagunas-Merino, Marc; Merino, Raúl; … - In: The journal of computational finance 24 (2020) 1, pp. 83-102
Persistent link: https://www.econbiz.de/10012421960
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Numerical simulation and applications of the convection-diffusion-reaction equation with the radial basis function in a finite-difference mode
Mollapourasl, Reza; Haghi, Majid; Heryudono, Alfa - In: The journal of computational finance 23 (2020) 5, pp. 33-73
Persistent link: https://www.econbiz.de/10012295864
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Importance sampling applied to Greeks for jump : diffusion models with stochastic volatility
De Diego, Sergio; Ferreira, Eva; Nualart, Eulàlia - In: The journal of computational finance 22 (2018) 1, pp. 79-105
Persistent link: https://www.econbiz.de/10011890181
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The CTMC–Heston model : calibration and exotic option pricing with SWIFT
Leitao, Álvaro; Kirkby, J. Lars; Ortiz-Garcia, Luis - In: The journal of computational finance 24 (2021) 4, pp. 71-114
Persistent link: https://www.econbiz.de/10012544164
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Robust product Markovian quantization
Rudd, Ralph; McWalter, Thomas A.; Kienitz, Jörg; … - In: The journal of computational finance 25 (2022) 4, pp. 55-78
Persistent link: https://www.econbiz.de/10014546287