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The CTMC–Heston model : calibration and exotic option pricing with SWIFT
Leitao, Álvaro; Kirkby, J. Lars; Ortiz-Garcia, Luis - In: The journal of computational finance 24 (2021) 4, pp. 71-114
Persistent link: https://www.econbiz.de/10012544164
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Calibration of local-stochastic and path-dependent volatility models to vanilla and no-touch options
Bain, Alan; Mariapragassam, Matthieu; Reisinger, Christoph - In: The journal of computational finance 24 (2021) 4, pp. 115-161
Persistent link: https://www.econbiz.de/10012544167
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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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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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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
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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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Portfolio optimization for American options
Zeng, Yaxiong; Klabjan, Diego - In: The journal of computational finance 22 (2018) 3, pp. 37-64
Persistent link: https://www.econbiz.de/10011988191
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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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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