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Arbitrage-free estimation of the risk-neutral density from the implied volatility smile
Brunner, Bernhard; Hafner, Reinhold - In: The journal of computational finance 7 (2003) 1, pp. 75-106
Persistent link: https://www.econbiz.de/10001805446
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From arbitrage to arbitrage-free implied volatilities
Grzelak, Lech A.; Oosterlee, Cornelis Willebrordus - In: The journal of computational finance 20 (2016/2017) 3, pp. 31-49
Persistent link: https://www.econbiz.de/10011689678
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Updating the option implied probability of default methodology
Vilsmeier, Johannes - In: The journal of computational finance 19 (2016) 3, pp. 1-27
Persistent link: https://www.econbiz.de/10011563457
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On the application of spectral filters in a Fourier option pricing technique
Ruijter, Marjon; Versteegh, M.; Oosterlee, Cornelis … - In: The journal of computational finance 19 (2015) 1, pp. 75-106
Persistent link: https://www.econbiz.de/10011480718
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Cap and swaption approximations in Libor market models with jumps
Glasserman, Paul; Merener, Nicolas - In: The journal of computational finance 7 (2003) 1, pp. 1-36
Persistent link: https://www.econbiz.de/10001805437
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Pricing near the barrier : the case of discrete knock-out options
Steiner, Manfred; Wallmeier, Martin; Hafner, Reinhold - In: The journal of computational finance 3 (1999) 1, pp. 69-90
Persistent link: https://www.econbiz.de/10001517413
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A new improvement scheme for approximation methods of probability density functions
Takahashi, Akihiko; Tsuzuki, Yukihiro - In: The journal of computational finance 19 (2016) 4, pp. 73-94
Persistent link: https://www.econbiz.de/10011603189
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Second-order Monte Carlo sensitivities
Daluiso, Roberto - In: The journal of computational finance 23 (2020) 4, pp. 61-91
Persistent link: https://www.econbiz.de/10012212482
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Pricing the correlation skew with normal mean-variance mixture copulas
Luján Fernández, Ignacio - In: The journal of computational finance 26 (2022) 2, pp. 83-99
Persistent link: https://www.econbiz.de/10013549659
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An analytical approximation for the GARCH option pricing model
Duan, Jin-Chuan; Gauthier, Geneviève; Simonato, Jean-Guy - In: The journal of computational finance 2 (1999) 4, pp. 75-116
Persistent link: https://www.econbiz.de/10001517300