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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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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 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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Fast drift-approximated pricing in the BGM model
Pietersz, Raoul; Pelsser, Antoon André Jean; … - In: The journal of computational finance 8 (2004) 1, pp. 93-124
Persistent link: https://www.econbiz.de/10002390575
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Bermudan swaption model risk analysis : a local volatility approach
Jabłecki, Juliusz - In: The journal of computational finance 22 (2018) 2, pp. 101-131
Persistent link: https://www.econbiz.de/10011976669
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Valuation of options on discretely sampled variance : a general analytic approximation
Drimus, Gabriel; Farkas, Walter; Gourier, Elise - In: The journal of computational finance 20 (2016) 2, pp. 39-66
Persistent link: https://www.econbiz.de/10011656703