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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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Calibration of local volatility using the local and implied instantaneous variance
Turinici, Gabriel - In: The journal of computational finance 13 (2009/2010) 2, pp. 1-18
Persistent link: https://www.econbiz.de/10003949859
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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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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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The uncertain volatility model : a Monte Carlo apporach
Guyon, Julien; Henry-Labordère, Pierre - In: The journal of computational finance 14 (2010/11) 3, pp. 37-71
Persistent link: https://www.econbiz.de/10008989934
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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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An empirical comparative analysis of foreign exchange smile calibration procedures
Reiswich, Dimitri - In: The journal of computational finance 15 (2011/12) 1, pp. 31-67
Persistent link: https://www.econbiz.de/10009382525
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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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An efficient Monte Carlo method for discrete variance contracts
Merener, Nicolas; Vicchi, Leonardo - In: The journal of computational finance 18 (2014/15) 3, pp. 1-25
Persistent link: https://www.econbiz.de/10011298488