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Robust numerical valuation of European and American options under the CGMY process
Wang, Iris R.; Wan, Justin W. L.; Forsyth, Peter A. - In: The journal of computational finance 10 (2006/07) 4, pp. 31-69
Persistent link: https://www.econbiz.de/10003542262
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Analysis of the stability of the linear boundary condition for the Black-Scholes equation
Windcliff, Heath; Forsyth, Peter A.; Vetzal, Ken R. - In: The journal of computational finance 8 (2004) 1, pp. 65-92
Persistent link: https://www.econbiz.de/10002390573
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Robust numerical methods for PDE models of Asian options
Zvan, R.; Forsyth, Peter A.; Vetzal, Kenneth R. - In: The journal of computational finance 1 (1997/1998) 2, pp. 39-78
Persistent link: https://www.econbiz.de/10001633255
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Convergence remedies for non-smooth payoffs in option pricing
Pooley, David M.; Vetzal, Kenneth R.; Forsyth, Peter A. - In: The journal of computational finance 6 (2003) 4, pp. 25-40
Persistent link: https://www.econbiz.de/10001782172
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Negative coefficients in two-factor option pricing models
Zvan, R.; Forsyth, Peter A.; Vetzal, Kenneth R. - In: The journal of computational finance 7 (2003) 1, pp. 37-73
Persistent link: https://www.econbiz.de/10001805445
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Discrete Asian barrier options
Zvan, R.; Forsyth, Peter A.; Vetzal, Kenneth R. - In: The journal of computational finance 3 (1999) 1, pp. 41-67
Persistent link: https://www.econbiz.de/10001517411
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E-monotone Fourier methods for optimal stochastic control in finance
Forsyth, Peter A.; Labahn, George - In: The journal of computational finance 22 (2018/2019) 4, pp. 25-71
Persistent link: https://www.econbiz.de/10012042218
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Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous-time mean-variance asset allocation under stochastic volatility
Ma, K.; Forsyth, Peter A. - In: The journal of computational finance 20 (2016) 1, pp. 1-37
Persistent link: https://www.econbiz.de/10011639504