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The two-dimensional tree-grid method
Kossaczký, Igor; Ehrhardt, Matthias; Günther, Michael - In: The journal of computational finance 23 (2019) 2, pp. 29-57
Persistent link: https://www.econbiz.de/10012111259
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An almost exact simulation method for the Heston model
Smith, Robert D. - In: The journal of computational finance 11 (2007/08) 1, pp. 115-125
Persistent link: https://www.econbiz.de/10003643443
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Finite difference techniques for arbitrage-free SABR
Le Floc'h, Fabien; Kennedy, Gary - In: The journal of computational finance 20 (2016/2017) 3, pp. 51-79
Persistent link: https://www.econbiz.de/10011689679
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Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous-time mean-variance asset allocation under stochastic volatility
Ma, K.; Forsyth, Peter A. - In: The journal of computational finance 20 (2016) 1, pp. 1-37
Persistent link: https://www.econbiz.de/10011639504
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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
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B-spline techniques for volatility modeling
Corlay, Sulvain - In: The journal of computational finance 19 (2016) 3, pp. 97-135
Persistent link: https://www.econbiz.de/10011563492
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A non-Gaussian stochatic volatility model
Nagahara, Yuichi; Kitagawa, Genshiro - In: The journal of computational finance 2 (1998/1999) 2, pp. 33-47
Persistent link: https://www.econbiz.de/10001633387
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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