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Accurate approximations for European-style Asian options
Chalasani, Prasad; Jha, Somesh; Varikooty, Ashok - In: The journal of computational finance 1 (1998) 4, pp. 11-30
Persistent link: https://www.econbiz.de/10001366213
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The pricing of multi-asset options using a Fourier grid method
Engelmann, Bernd; Schwendner, Peter - In: The journal of computational finance 1 (1998) 4, pp. 53-61
Persistent link: https://www.econbiz.de/10001366223
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A simple approximation for the no-arbitrage drifts in Libor market model–SABR-family interest-rate models
Rebonato, Riccardo - In: The journal of computational finance 19 (2015) 1, pp. 1-10
Persistent link: https://www.econbiz.de/10011480695
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A novel Fourier transform B-spline method for option pricing
Haslip, Gareth G.; Kaishev, Vladimir K. - In: The journal of computational finance 19 (2015) 1, pp. 41-74
Persistent link: https://www.econbiz.de/10011480709
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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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Fast stochastic forward sensitivities in Monte Carlo simulations using stochastic automatic differentiation (with applications to initial margin valuation adjustments)
Fries, Christian - In: The journal of computational finance 22 (2018/2019) 4, pp. 103-125
Persistent link: https://www.econbiz.de/10012042220
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The extended SSVI volatility surface
Hendriks, Sebas; Martini, Claude - In: The journal of computational finance 22 (2018/2019) 5, pp. 25-39
Persistent link: https://www.econbiz.de/10012042223
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Efficient conservative second-order central-upwind schemes for option-pricing problems
Bhatoo, Omishwary; Peer, Arshad Ahmud Iqbal; Tadmor, Eitan - In: The journal of computational finance 22 (2018/2019) 5, pp. 71-101
Persistent link: https://www.econbiz.de/10012042237
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Vibrato and automatic differentiation for high-order derivatives and sensitivities of financial options
Pagès, Gilles; Pironneau, Olivier; Sall, Guillaume - In: The journal of computational finance 22 (2018) 2, pp. 1-34
Persistent link: https://www.econbiz.de/10011976655
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Polynomial upper and lower bounds for financial derivative price functions under regime-switching
Bhim, Louis; Kawai, Reiichiro - In: The journal of computational finance 22 (2018) 2, pp. 35-71
Persistent link: https://www.econbiz.de/10011976660