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Calibrating volatility function bounds for an uncertain volatility model
Coleman, Thomas F.; He, Changhong; Li, Yuying - In: The journal of computational finance 13 (2009/10) 4, pp. 63-93
Persistent link: https://www.econbiz.de/10003996075
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The efficient application of automatic differentiation for computing gradients in financial applications
Xu, Wei; Chen, Xi; Coleman, Thomas F. - In: The journal of computational finance 19 (2016) 3, pp. 71-96
Persistent link: https://www.econbiz.de/10011563485
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A Newton method for American option pricing
Coleman, Thomas F.; Li, Yuying; Verma, Arun - In: The journal of computational finance 5 (2002) 3, pp. 51-78
Persistent link: https://www.econbiz.de/10001695279
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Reconstructing the unknown local volatility function
Coleman, Thomas F.; Li, Yuying; Verma, Arun - In: The journal of computational finance 2 (1999) 3, pp. 77-102
Persistent link: https://www.econbiz.de/10001638601