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Expansion method for pricing foreign exchange options under stochastic volatility and interest rates
Nagami, Kenji - In: The journal of computational finance 25 (2021) 2, pp. 29-50
Persistent link: https://www.econbiz.de/10012938885
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The CTMC–Heston model : calibration and exotic option pricing with SWIFT
Leitao, Álvaro; Kirkby, J. Lars; Ortiz-Garcia, Luis - In: The journal of computational finance 24 (2021) 4, pp. 71-114
Persistent link: https://www.econbiz.de/10012544164
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Volatility risk structure for options depending on extrema
Nakatsu, Tomonori - In: The journal of computational finance 21 (2017/2018) 3, pp. 105-122
Persistent link: https://www.econbiz.de/10011848359
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High-order approximations to call option prices in the Heston model
Gulisashvili, Archil; Lagunas-Merino, Marc; Merino, Raúl; … - In: The journal of computational finance 24 (2020) 1, pp. 83-102
Persistent link: https://www.econbiz.de/10012421960
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Complexity reduction for calibration to American options
Burkovska, Olena; Glau, Kathrin; Mahlstedt, Mirco; … - In: The journal of computational finance 23 (2019) 1, pp. 25-60
Persistent link: https://www.econbiz.de/10012064981
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Accelerated trinomial trees applied to American basket options and American options under the Bates model
O'Sullivan, Conall; O'Sullivan, Stephen - In: The journal of computational finance 19 (2016) 4, pp. 29-72
Persistent link: https://www.econbiz.de/10011603176
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The forward smile in local-stochastic volatility models
Mazzon, Andrea; Pascucci, Andrea - In: The journal of computational finance 20 (2016/2017) 3, pp. 1-29
Persistent link: https://www.econbiz.de/10011689675
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Pricing multiple barrier derivatives under stochastic volatility
Escobar, Marcos; Panz, Sven; Zagst, Rudi - In: The journal of computational finance 24 (2020) 2, pp. 77-101
Persistent link: https://www.econbiz.de/10012543622
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Valuation of options on discretely sampled variance : a general analytic approximation
Drimus, Gabriel; Farkas, Walter; Gourier, Elise - In: The journal of computational finance 20 (2016) 2, pp. 39-66
Persistent link: https://www.econbiz.de/10011656703
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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