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Linking caplets and swaptions prices in the LMM-SABR model
Rebonato, Riccardo; White, Richard - In: The journal of computational finance 13 (2009/10) 2, pp. 19-45
Persistent link: https://www.econbiz.de/10003949865
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Special issue: Quantitative methods in financial and insurance mathematics ; Pt. 1
2011
Persistent link: https://www.econbiz.de/10009575511
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Special issue: Quantitative methods in financial and insurance mathematics
2011
Persistent link: https://www.econbiz.de/10009575512
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An empirical comparative analysis of foreign exchange smile calibration procedures
Reiswich, Dimitri - In: The journal of computational finance 15 (2011/12) 1, pp. 31-67
Persistent link: https://www.econbiz.de/10009382525
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Convergence of Monte Carlo simulations involving the mean-reverting square root process
Higham, Desmond J.; Mao, Xuerong - In: The journal of computational finance 8 (2004/2005) 3, pp. 35-61
Persistent link: https://www.econbiz.de/10002996511
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A new integral representation of the early exercise boundary for American put options
Little, Thomas; Pant, Vijay; Hou, Chunli - In: The journal of computational finance 3 (2000) 3, pp. 73-96
Persistent link: https://www.econbiz.de/10001517427
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Pricing high-dimensional Bermudan options using variance-reduced Monte Carlo methods
Hepperger, Peter - In: The journal of computational finance 16 (2012/13) 3, pp. 99-126
Persistent link: https://www.econbiz.de/10009740106
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Special issue: Quantitative methods in financial and insurance mathematics ; Pt. 2
2012
Persistent link: https://www.econbiz.de/10009631870
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Efficient valuation of equity-indexed annuities under Lévy processes using Fourier cosine series
Deng, Geng; Dulaney, Tim; McCann, Craig; Yan, Mike - In: The journal of computational finance 21 (2017/2018) 2, pp. 1-27
Persistent link: https://www.econbiz.de/10011848304
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A tree-based method to price American options in the Heston model
Vellekoop, Michel; Nieuwenhuis, J. H. - In: The journal of computational finance 13 (2009/10) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10003969727