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Option pricing theory
254
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254
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106
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106
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86
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86
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Forsyth, Peter A.
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Madan, Dilip B.
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Reisinger, Christoph
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Le Floc'h, Fabien
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The journal of computational finance
European journal of operational research : EJOR
777
Energy economics
736
Finance research letters
718
International journal of theoretical and applied finance
652
NBER working paper series
604
Working paper / National Bureau of Economic Research, Inc.
579
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334
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257
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254
The journal of derivatives : the official publication of the International Association of Financial Engineers
254
Journal of international financial markets, institutions & money
252
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249
Journal of international money and finance
249
Risks : open access journal
249
The European journal of finance
236
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ECONIS (ZBW)
282
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1
Least squares Monte Carlo methods in stochastic Volterra rough
volatility
models
Guerreiro, Henrique
;
Guerra, João
- In:
The journal of computational finance
26
(
2022
)
3
,
pp. 73-101
Persistent link: https://www.econbiz.de/10014314563
Saved in:
2
A tree-based method to price American options in the Heston model
Vellekoop, Michel
;
Nieuwenhuis, J. H.
- In:
The journal of computational finance
13
(
2009/10
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10003969727
Saved in:
3
Calibrating
volatility
function bounds for an uncertain
volatility
model
Coleman, Thomas F.
;
He, Changhong
;
Li, Yuying
- In:
The journal of computational finance
13
(
2009/10
)
4
,
pp. 63-93
Persistent link: https://www.econbiz.de/10003996075
Saved in:
4
An equity-interest rate hybrid model with stochastic
volatility
and the interest rate smile
Grzelak, Lech A.
;
Oosterlee, Cornelis W.
- In:
The journal of computational finance
15
(
2011/12
)
4
,
pp. 45-77
Persistent link: https://www.econbiz.de/10009575390
Saved in:
5
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
Saved in:
6
Pricing barrier and average options in a stochastic
volatility
environment
Shiraya, Kenichiro
;
Takahashi, Akihiko
;
Toda, Masashi
- In:
The journal of computational finance
15
(
2011/12
)
2
,
pp. 111-148
Persistent link: https://www.econbiz.de/10009424800
Saved in:
7
Multicurrency extension of the quasi-Gaussian stochastic
volatility
interest rate model
Ng, Leslie
- In:
The journal of computational finance
18
(
2014/15
)
3
,
pp. 59-98
Persistent link: https://www.econbiz.de/10011298899
Saved in:
8
Pricing options on realized variance in the Heston model with jumps in returns and
volatility
: part II: an approximite distribution of discrete variance
Sepp, Artur
- In:
The journal of computational finance
16
(
2012/13
)
2
,
pp. 3-32
Persistent link: https://www.econbiz.de/10009702584
Saved in:
9
The evaluation of American compound option prices under stochastic
volatility
and stochastic interest rates
Chiarella, Carl
;
Kang, Boda
- In:
The journal of computational finance
17
(
2013
)
1
,
pp. 71-92
Persistent link: https://www.econbiz.de/10010337816
Saved in:
10
A novel Fourier transform B-spline method for option pricing
Haslip, Gareth G.
;
Kaishev, Vladimir K.
- In:
The journal of computational finance
19
(
2015
)
1
,
pp. 41-74
Persistent link: https://www.econbiz.de/10011480709
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