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Hopscotch methods for two-state financial models
Kurpiel, Adam; Roncalli, Thierry - In: The journal of computational finance 3 (1999/2000) 2, pp. 53-89
Persistent link: https://www.econbiz.de/10001517421
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Sharp L¹-approximation of the log-Heston stochastic differential equation by Euler-type methods
Mickel, Annalena; Neuenkirch, Andreas - In: The journal of computational finance 26 (2023) 4, pp. 67-100
Persistent link: https://www.econbiz.de/10014342066
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Alternating direction implicit finite difference schaemes for the Heston-Hull-White partial differential equation
Haentjens, Tinne; Hout, Karel J. in 't - In: The journal of computational finance 16 (2012/13) 1, pp. 83-110
Persistent link: https://www.econbiz.de/10009631861
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An efficient numerical partial differential equation approach for pricing foreign exchange interest rate hybrid derivatives
Dang, Duy Minh; Christara, Christina C.; Jackson, Kenneth R. - In: The journal of computational finance 18 (2014/2015) 4, pp. 39-93
Persistent link: https://www.econbiz.de/10011441260
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Numerical valuation of derivatives in high-dimensional settings via partial differential equation expansions
Reisinger, Christoph; Wissmann, Rasmus - In: The journal of computational finance 18 (2014/2015) 4, pp. 95-127
Persistent link: https://www.econbiz.de/10011441267
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SLADI : a semi-Lagrangian alternating-direction implicit method for the numerical solution of advection-diffusion problems with application to electricity storage valuations
Ávalos, Javier Hernández; Johnson, Paul V.; Duck, Peter W. - In: The journal of computational finance 19 (2015/2016) 2, pp. 69-108
Persistent link: https://www.econbiz.de/10011442669
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Importance sampling applied to Greeks for jump : diffusion models with stochastic volatility
De Diego, Sergio; Ferreira, Eva; Nualart, Eulàlia - In: The journal of computational finance 22 (2018) 1, pp. 79-105
Persistent link: https://www.econbiz.de/10011890181
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Pricing swing options in electricity markets with two stochastic factors using a partial differential equation approach
Calvo-Garrido, M. C.; Ehrhardt, Matthias; Vázquez, Carlos - In: The journal of computational finance 20 (2016/2017) 3, pp. 81-107
Persistent link: https://www.econbiz.de/10011689686
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A mixed Monte Carlo and partial differential equation variance reduction method for foreign exchange options under the Heston-Cox-Ingersoll-Ross model
Cozma, Andrei; Reisinger, Christoph - In: The journal of computational finance 20 (2016/2017) 3, pp. 109-149
Persistent link: https://www.econbiz.de/10011689688
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Calibration of local correlation models to basket smiles
Guyon, Julien - In: The journal of computational finance 21 (2017) 1, pp. 1-51
Persistent link: https://www.econbiz.de/10011691606