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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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1,629
Journal of economic behavior & organization : JEBO
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ECONIS (ZBW)
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1
Efficient estimation of sensitivities for counterparty credit risk with the finite difference Monte Carlo method
Graaf, Cornelis S. L. de
;
Kandhai, Drona
;
Sloot, Peter M. A.
- In:
The journal of computational finance
21
(
2017
)
1
,
pp. 83-113
Persistent link: https://www.econbiz.de/10011691615
Saved in:
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
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3
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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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
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5
Gradient boosting for quantitative finance
Davis, Jesse
;
Devos, Laurens
;
Reyners, Sofie
;
Schoutens, Wim
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 1-40
Persistent link: https://www.econbiz.de/10012544161
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6
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
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7
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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8
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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9
Volatility risk structure for options depending on extrema
Nakatsu, Tomonori
- In:
The journal of computational finance
21
(
2017/2018
)
3
,
pp. 105-122
Persistent link: https://www.econbiz.de/10011848359
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10
Pricing barrier options with deep backward stochastic differential equation methods
Ganesan, Narayan
;
Yu, Yajie
;
Hientzsch, Bernhard
- In:
The journal of computational finance
25
(
2022
)
4
,
pp. 1-25
Persistent link: https://www.econbiz.de/10014546284
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