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Error analysis in Fourier methods for option pricing
Crocce, Fabián; Häppölä, Juho; Kiessling, Jonas; … - In: The journal of computational finance 21 (2017) 1, pp. 53-82
Persistent link: https://www.econbiz.de/10011691613
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Pricing multivariate barrier reverse convertibles with factor-based subordinators
Marena, Marina; Romeo, Andrea; Semeraro, Patrizia - In: The journal of computational finance 21 (2017/2018) 5, pp. 97-129
Persistent link: https://www.econbiz.de/10011860940
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Option pricing in exponential Lévy models with transaction cost
Cantarutti, Nicola; Guerra, Manuel; Guerra, João; … - In: The journal of computational finance 23 (2020) 5, pp. 1-31
Persistent link: https://www.econbiz.de/10012295860
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Transform-based evluation of prices and Greeks of lookback options driven by Lévy processes
Asghari, Naser M.; Mandjes, Michel - In: The journal of computational finance 20 (2016) 2, pp. 67-100
Persistent link: https://www.econbiz.de/10011656711