Narrow search
Showing 1 - 10 of 257
Cover Image
Wiener chaos expansion and numerical solutions of the Heath-Jarrow-Morton interest rate model
Kalpinelli, Evangelia A.; Frangos, Nikolaos E.; … - In: The journal of computational finance 19 (2016) 4, pp. 1-27
Persistent link: https://www.econbiz.de/10011603168
Cover Image
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
Cover Image
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
Cover Image
The singular points binominal method for pricing American path-dependent options
Gaudenzi, Marcellino; Zanette, Antonino; Lepellere, … - In: The journal of computational finance 14 (2010/11) 1, pp. 29-56
Persistent link: https://www.econbiz.de/10008736753
Cover Image
Generalized control variate methods for pricing Asian options
Han, Chuan-Hsiang; Lai, Yongzeng - In: The journal of computational finance 14 (2010/11) 2, pp. 87-118
Persistent link: https://www.econbiz.de/10008810127
Cover Image
Using Monte Carlo simulation and importance sampling to rapidly obtain jump-diffusion prices of continuous barrier options
Joshi, Mark S.; Leung, Terence S. - In: The journal of computational finance 10 (2006/07) 4, pp. 93-105
Persistent link: https://www.econbiz.de/10003542264
Cover Image
Efficient pricing of Asian options by the PDE approach
Dubois, François; Lelièvre, Tony - In: The journal of computational finance 8 (2004/2005) 2, pp. 55-63
Persistent link: https://www.econbiz.de/10002597580
Cover Image
Pricing timer options
Bernard, Carole; Cui, Zhenyu - In: The journal of computational finance 15 (2011/12) 1, pp. 69-104
Persistent link: https://www.econbiz.de/10009382523
Cover Image
American options in Lévy models with stochastic interest rates
Bojarčenko, Svetlana I.; Levendorskij, Sergej Z. - In: The journal of computational finance 12 (2009) 4, pp. 51-89
Persistent link: https://www.econbiz.de/10009534611
Cover Image
Variance reduction techniques for pricing American options using function approximations
Juneja, Sandeep; Kalra, Himanshu - In: The journal of computational finance 12 (2009) 3, pp. 79-102
Persistent link: https://www.econbiz.de/10009534614