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Option pricing theory
254
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Madan, Dilip B.
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The journal of computational finance
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872
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ECONIS (ZBW)
278
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1
Efficient pricing of constant maturity swap spread options in a stochastic
volatility
LIBOR market model
Kiesel, Rüdiger
;
Lutz, Matthias
- In:
The journal of computational finance
14
(
2010/11
)
4
,
pp. 37-72
Persistent link: https://www.econbiz.de/10009241255
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2
Accelerated trinomial trees applied to American basket options and American options under the Bates model
O'Sullivan, Conall
;
O'Sullivan, Stephen
- In:
The journal of computational finance
19
(
2016
)
4
,
pp. 29-72
Persistent link: https://www.econbiz.de/10011603176
Saved in:
3
Pricing multidimensional financial derivatives with stochastic volatilities using the dimensional-adaptive combination technique
Benk, Janos
;
Pflüger, Dirk
- In:
The journal of computational finance
21
(
2017/2018
)
3
,
pp. 75-104
Persistent link: https://www.econbiz.de/10011848349
Saved in:
4
Pricing multiple barrier derivatives under stochastic
volatility
Escobar, Marcos
;
Panz, Sven
;
Zagst, Rudi
- In:
The journal of computational finance
24
(
2020
)
2
,
pp. 77-101
Persistent link: https://www.econbiz.de/10012543622
Saved in:
5
Nowcasting networks
Chataigner, Marc
;
Crépey, Stéphane
;
Pu, Jiang
- In:
The journal of computational finance
24
(
2020
)
3
,
pp. 1-39
Persistent link: https://www.econbiz.de/10012543628
Saved in:
6
Numerical valuation of basket credit derivatives in structural jump-diffusion models
Bujok, Karolina
;
Reisinger, Christoph
- In:
The journal of computational finance
15
(
2011/12
)
4
,
pp. 115-158
Persistent link: https://www.econbiz.de/10009575385
Saved in:
7
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
Saved in:
8
Pricing credit derivatives using an asymptotic expansion approach
Muroi, Yoshifumi
- In:
The journal of computational finance
15
(
2011/12
)
3
,
pp. 135-171
Persistent link: https://www.econbiz.de/10009534163
Saved in:
9
Pricing of spread options on stochastically correlated underlyings
Escobar, Marcos
;
Götz, Barbara
;
Seco, Luis
;
Zagst, Rudi
- In:
The journal of computational finance
12
(
2009
)
3
,
pp. 31-61
Persistent link: https://www.econbiz.de/10009534616
Saved in:
10
Robust and accurate Monte Carlo simulation of (cross-) Gammas for Bermudan swaptions in the LIBOR market model
Korn, Ralf
;
Liang, Qian
- In:
The journal of computational finance
17
(
2013/2014
)
3
,
pp. 87-110
Persistent link: https://www.econbiz.de/10010366276
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