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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
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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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Simple and efficient simulation of the Heston stochastic volatility model
Andersen, Leif B. G. - In: The journal of computational finance 11 (2007/08) 3, pp. 1-42
Persistent link: https://www.econbiz.de/10003699934
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Modeling correlated defaults : first passage model under stochastic volatility
Fouque, Jean-Pierre; Wignall, Brian C.; Zhou, Xianwen - In: The journal of computational finance 11 (2007/08) 3, pp. 43-78
Persistent link: https://www.econbiz.de/10003699972
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An equity-interest rate hybrid model with stochastic volatility and the interest rate smile
Grzelak, Lech A.; Oosterlee, Cornelis W. - In: The journal of computational finance 15 (2011/12) 4, pp. 45-77
Persistent link: https://www.econbiz.de/10009575390
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Efficient pricing of constant maturity swap spread options in a stochastic volatility LIBOR market model
Kiesel, Rüdiger; Lutz, Matthias - In: The journal of computational finance 14 (2010/11) 4, pp. 37-72
Persistent link: https://www.econbiz.de/10009241255
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Pricing barrier and average options in a stochastic volatility environment
Shiraya, Kenichiro; Takahashi, Akihiko; Toda, Masashi - In: The journal of computational finance 15 (2011/12) 2, pp. 111-148
Persistent link: https://www.econbiz.de/10009424800
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Multicurrency extension of the quasi-Gaussian stochastic volatility interest rate model
Ng, Leslie - In: The journal of computational finance 18 (2014/15) 3, pp. 59-98
Persistent link: https://www.econbiz.de/10011298899
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Pricing options on realized variance in the Heston model with jumps in returns and volatility : part II: an approximite distribution of discrete variance
Sepp, Artur - In: The journal of computational finance 16 (2012/13) 2, pp. 3-32
Persistent link: https://www.econbiz.de/10009702584
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High-order discretization schemes for stochastic volatility models
Jourdain, Benjamin; Sbai, Mohamed - In: The journal of computational finance 17 (2013) 2, pp. 113-165
Persistent link: https://www.econbiz.de/10010239102