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An efficient convergant lattice method for Asian option pricing with superlinear complexity
Lu, Ling; Xu, Wei; Qian, Zhehui - In: The journal of computational finance 20 (2016/2017) 4, pp. 1-38
Persistent link: https://www.econbiz.de/10011691626
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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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Markovian projection onto a Heston model
Antonov, Alexandre; Misirpashaev, Timur; Piterbarg, Vladimir - In: The journal of computational finance 13 (2009/10) 1, pp. 23-47
Persistent link: https://www.econbiz.de/10003969739
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Calibrating volatility function bounds for an uncertain volatility model
Coleman, Thomas F.; He, Changhong; Li, Yuying - In: The journal of computational finance 13 (2009/10) 4, pp. 63-93
Persistent link: https://www.econbiz.de/10003996075
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Simple and efficient simulation of the Heston stochastic volatility model
Andersen, Leif B. G. - In: The journal of computational finance 11 (2007/08) 3, pp. 1-42
Persistent link: https://www.econbiz.de/10003699934
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Modeling correlated defaults : first passage model under stochastic volatility
Fouque, Jean-Pierre; Wignall, Brian C.; Zhou, Xianwen - In: The journal of computational finance 11 (2007/08) 3, pp. 43-78
Persistent link: https://www.econbiz.de/10003699972
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Numerical valuation of basket credit derivatives in structural jump-diffusion models
Bujok, Karolina; Reisinger, Christoph - In: The journal of computational finance 15 (2011/12) 4, pp. 115-158
Persistent link: https://www.econbiz.de/10009575385
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An equity-interest rate hybrid model with stochastic volatility and the interest rate smile
Grzelak, Lech A.; Oosterlee, Cornelis W. - In: The journal of computational finance 15 (2011/12) 4, pp. 45-77
Persistent link: https://www.econbiz.de/10009575390
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Efficient and accurate log-Lévy approximations of Lévy-driven LIBOR models
Papapantoleon, Antonis; Schoenmakers, John; Skovmand, David - In: The journal of computational finance 15 (2011/12) 4, pp. 3-44
Persistent link: https://www.econbiz.de/10009575414
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Fast pricing and calculation of sensitivities of out-of-the-money European options under Lévy processes
Levendorskii, Segei; Xie, Jiayao - In: The journal of computational finance 15 (2011/12) 3, pp. 71-133
Persistent link: https://www.econbiz.de/10009534164