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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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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
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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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Estimating risks of European option books using neural stochastic differential equation market models
Cohen, Samuel N.; Reisinger, Christoph; Wang, Sheng - In: The journal of computational finance 26 (2022) 3, pp. 33-72
Persistent link: https://www.econbiz.de/10014314556
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An efficient numerical partial differential equation approach for pricing foreign exchange interest rate hybrid derivatives
Dang, Duy Minh; Christara, Christina C.; Jackson, Kenneth R. - In: The journal of computational finance 18 (2014/2015) 4, pp. 39-93
Persistent link: https://www.econbiz.de/10011441260
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Numerical valuation of derivatives in high-dimensional settings via partial differential equation expansions
Reisinger, Christoph; Wissmann, Rasmus - In: The journal of computational finance 18 (2014/2015) 4, pp. 95-127
Persistent link: https://www.econbiz.de/10011441267
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SLADI : a semi-Lagrangian alternating-direction implicit method for the numerical solution of advection-diffusion problems with application to electricity storage valuations
Ávalos, Javier Hernández; Johnson, Paul V.; Duck, Peter W. - In: The journal of computational finance 19 (2015/2016) 2, pp. 69-108
Persistent link: https://www.econbiz.de/10011442669
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Hopscotch methods for two-state financial models
Kurpiel, Adam; Roncalli, Thierry - In: The journal of computational finance 3 (1999/2000) 2, pp. 53-89
Persistent link: https://www.econbiz.de/10001517421
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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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Calibration of local correlation models to basket smiles
Guyon, Julien - In: The journal of computational finance 21 (2017) 1, pp. 1-51
Persistent link: https://www.econbiz.de/10011691606