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The uncertain volatility model : a Monte Carlo apporach
Guyon, Julien; Henry-Labordère, Pierre - In: The journal of computational finance 14 (2010/11) 3, pp. 37-71
Persistent link: https://www.econbiz.de/10008989934
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European compound options written on perpetual American options
Barone, Gaia - In: The journal of derivatives : the official publication … 20 (2012) 3, pp. 61-74
Persistent link: https://www.econbiz.de/10009725348
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Volatility surface calibration to illiquid options
Nagy, László; Ormos, Mihály - In: The journal of derivatives : the official publication … 26 (2019) 3, pp. 87-96
Persistent link: https://www.econbiz.de/10012306175
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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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Curve-fitting method for implied volatility
Wu, Desheng Dash; Liu, Tianxiang - In: The journal of derivatives : the official publication … 26 (2018) 2, pp. 19-37
Persistent link: https://www.econbiz.de/10011968684
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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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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