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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
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Updating the option implied probability of default methodology
Vilsmeier, Johannes - In: The journal of computational finance 19 (2016) 3, pp. 1-27
Persistent link: https://www.econbiz.de/10011563457
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Importance sampling for jump-diffusions via cross-entropy
Rieke, Rebecca; Sun, Weifeng; Wang, Hui - In: The journal of computational finance 22 (2018) 1, pp. 107-130
Persistent link: https://www.econbiz.de/10011890185
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Deep learning for discrete-time hedging in incomplete markets
Fecamp, Simon; Mikael, Joseph; Warin, Xavier - In: The journal of computational finance 25 (2021) 2, pp. 51-85
Persistent link: https://www.econbiz.de/10012938887
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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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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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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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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