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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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Saddlepoint methods for option pricing
Carr, Peter; Madan, Dilip B. - In: The journal of computational finance 13 (2009/10) 1, pp. 49-61
Persistent link: https://www.econbiz.de/10003969743
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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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A high-order front-tracking finite difference method for pricing American options under jump-diffusion models
Toivanen, Jari - In: The journal of computational finance 13 (2009/10) 3, pp. 61-79
Persistent link: https://www.econbiz.de/10003971914
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Latin hypercube sampling with dependence and applications in finance
Packham, Natalie; Schmidt, Wolfgang M. - In: The journal of computational finance 13 (2009/10) 3, pp. 81-111
Persistent link: https://www.econbiz.de/10003971915
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Special issue: Numerical methods for finance
Edelman, David (contributor) - 2010
Persistent link: https://www.econbiz.de/10003971918
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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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Numerical techniques for the valuation of basket options and their Greeks
Hager, Corinna; Hüeber, Stefan; Wohlmuth, Barbara - In: The journal of computational finance 13 (2009/10) 4, pp. 3-33
Persistent link: https://www.econbiz.de/10003996019
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Unbiased Monte Carlo valuation of lookback, swing and barrier options with continous monitoring under variance gamma models
Becker, Martin - In: The journal of computational finance 13 (2009/10) 4, pp. 35-61
Persistent link: https://www.econbiz.de/10003996072