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Efficient conservative second-order central-upwind schemes for option-pricing problems
Bhatoo, Omishwary; Peer, Arshad Ahmud Iqbal; Tadmor, Eitan - In: The journal of computational finance 22 (2018/2019) 5, pp. 71-101
Persistent link: https://www.econbiz.de/10012042237
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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
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A reduced basis method for parabolic partial differential equations with parameter functions and application to option pricing
Mayerhofer, Antonia Christine; Urban, Karsten - In: The journal of computational finance 20 (2016/2017) 4, pp. 71-106
Persistent link: https://www.econbiz.de/10011691633
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Hybrid finite-difference/pseudospectral methods for the Heston and Heston-Hull-White partial differential equations
Hendricks, Christian; Ehrhardt, Matthias; Günther, Michael - In: The journal of computational finance 21 (2017/2018) 5, pp. 1-33
Persistent link: https://www.econbiz.de/10011860891
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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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A review of tree-based approaches to solving forward-backward stochastic differential equations
Teng, Long - In: The journal of computational finance 25 (2021) 3, pp. 125-159
Persistent link: https://www.econbiz.de/10012873086
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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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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