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American options in Lévy models with stochastic interest rates
Bojarčenko, Svetlana I.; Levendorskij, Sergej Z. - In: The journal of computational finance 12 (2009) 4, pp. 51-89
Persistent link: https://www.econbiz.de/10009534611
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High-order approximations to call option prices in the Heston model
Gulisashvili, Archil; Lagunas-Merino, Marc; Merino, Raúl; … - In: The journal of computational finance 24 (2020) 1, pp. 83-102
Persistent link: https://www.econbiz.de/10012421960
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Error analysis in Fourier methods for option pricing
Crocce, Fabián; Häppölä, Juho; Kiessling, Jonas; … - In: The journal of computational finance 21 (2017) 1, pp. 53-82
Persistent link: https://www.econbiz.de/10011691613
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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
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Stratified approximations for the pricing of options on average
Privault, Nicolas; Yu, Jiadong - In: The journal of computational finance 19 (2016) 4, pp. 95-113
Persistent link: https://www.econbiz.de/10011603193
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The forward smile in local-stochastic volatility models
Mazzon, Andrea; Pascucci, Andrea - In: The journal of computational finance 20 (2016/2017) 3, pp. 1-29
Persistent link: https://www.econbiz.de/10011689675
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Hedging of options in the presence of jump clustering
Hainaut, Donatien; Moraux, Franck - In: The journal of computational finance 22 (2018) 3, pp. 1-35
Persistent link: https://www.econbiz.de/10011988188
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American and exotic option pricing with jump diffusions and other Lévy processes
Kirkby, J. Lars - In: The journal of computational finance 22 (2018) 3, pp. 89-148
Persistent link: https://www.econbiz.de/10011988194
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Complexity reduction for calibration to American options
Burkovska, Olena; Glau, Kathrin; Mahlstedt, Mirco; … - In: The journal of computational finance 23 (2019) 1, pp. 25-60
Persistent link: https://www.econbiz.de/10012064981
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Path-dependent American options
Chevalier, Etienne; Ly Vath, Vathana; Mnif, Mohamed - In: The journal of computational finance 23 (2019) 1, pp. 61-95
Persistent link: https://www.econbiz.de/10012064988