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The uncertain volatility model : a Monte Carlo apporach
Guyon, Julien; Henry-Labordère, Pierre - In: The journal of computational finance 14 (2010/11) 3, pp. 37-71
Persistent link: https://www.econbiz.de/10008989934
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An efficient Monte Carlo method for discrete variance contracts
Merener, Nicolas; Vicchi, Leonardo - In: The journal of computational finance 18 (2014/15) 3, pp. 1-25
Persistent link: https://www.econbiz.de/10011298488
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Branching diffusions with jumps, and valuation with systemic counterparties
Belak, Christoph; Hoffmann, Daniel; Seifried, Frank Thomas - In: The journal of computational finance 25 (2021) 3, pp. 51-86
Persistent link: https://www.econbiz.de/10012873083
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A mixed Monte Carlo and partial differential equation variance reduction method for foreign exchange options under the Heston-Cox-Ingersoll-Ross model
Cozma, Andrei; Reisinger, Christoph - In: The journal of computational finance 20 (2016/2017) 3, pp. 109-149
Persistent link: https://www.econbiz.de/10011689688
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A hybrid tree/finite-difference approach for Heston-Hull-White-type models
Briani, Maya; Caramellino, Lucia; Zanette, Antonino - In: The journal of computational finance 21 (2017/2018) 3, pp. 1-45
Persistent link: https://www.econbiz.de/10011848334
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Numerical techniques for the Heston collocated volatility model
Le Floc'h, Fabien; Oosterlee, Cornelis Willebrordus - In: The journal of computational finance 24 (2020) 3, pp. 59-110
Persistent link: https://www.econbiz.de/10012544158
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Multilevel Monte Carlo simulation for VIX options in the rough Bergomi model
Bourgey, Florian; De Marco, Stefano - In: The journal of computational finance 26 (2022) 2, pp. 53-82
Persistent link: https://www.econbiz.de/10013549658
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Least squares Monte Carlo methods in stochastic Volterra rough volatility models
Guerreiro, Henrique; Guerra, João - In: The journal of computational finance 26 (2022) 3, pp. 73-101
Persistent link: https://www.econbiz.de/10014314563
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Unbiased Monte Carlo valuation of lookback, swing and barrier options with continous monitoring under variance gamma models
Becker, Martin - In: The journal of computational finance 13 (2009/10) 4, pp. 35-61
Persistent link: https://www.econbiz.de/10003996072
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Calibration and Monte Carlo pricing of the SABR–Hull–White model for long-maturity equity derivatives
Chen, Bin; Grzelak, Lech A.; Oosterlee, Cornelis W. - In: The journal of computational finance 15 (2011/12) 4, pp. 79-113
Persistent link: https://www.econbiz.de/10009575387