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Pricing barrier options with deep backward stochastic differential equation methods
Ganesan, Narayan; Yu, Yajie; Hientzsch, Bernhard - In: The journal of computational finance 25 (2022) 4, pp. 1-25
Persistent link: https://www.econbiz.de/10014546284
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Numerical methods for the quadratic hedging problem in Markov models with jumps
De Franco, Carmine; Tankov, Peter; Warin, Xavier - In: The journal of computational finance 19 (2015/2016) 2, pp. 29-67
Persistent link: https://www.econbiz.de/10011442638
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Hedging of options in the presence of jump clustering
Hainaut, Donatien; Moraux, Franck - In: The journal of computational finance 22 (2018) 3, pp. 1-35
Persistent link: https://www.econbiz.de/10011988188
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Portfolio optimization for American options
Zeng, Yaxiong; Klabjan, Diego - In: The journal of computational finance 22 (2018) 3, pp. 37-64
Persistent link: https://www.econbiz.de/10011988191
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Static replication of barrier options : some general results
Andersen, Leif B. G.; Andreasen, Jesper Fredborg; … - In: The journal of computational finance 5 (2002) 4, pp. 1-25
Persistent link: https://www.econbiz.de/10001695829
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Pricing and hedging gap risk
Tankov, Peter - In: The journal of computational finance 13 (2009/10) 3, pp. 33-59
Persistent link: https://www.econbiz.de/10003971913
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Pricing and hedging American-style options: a simple simulation-based approach
Wang, Yang; Caflisch, Russel - In: The journal of computational finance 13 (2009/10) 4, pp. 95-125
Persistent link: https://www.econbiz.de/10003996081
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Pricing and hedging more general double-barrier options
Kolkiewicz, Adam W. - In: The journal of computational finance 5 (2002) 3, pp. 1-26
Persistent link: https://www.econbiz.de/10001695274
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Neural networks for option pricing and hedging : a literature review
Ruf, Johannes; Wang, Weiguan - In: The journal of computational finance 24 (2020) 1, pp. 1-46
Persistent link: https://www.econbiz.de/10012421955
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Variance optimal hedging with application to electricity markets
Warin, Xavier - In: The journal of computational finance 23 (2019) 3, pp. 33-59
Persistent link: https://www.econbiz.de/10012162373