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Updating the option implied probability of default methodology
Vilsmeier, Johannes - In: The journal of computational finance 19 (2016) 3, pp. 1-27
Persistent link: https://www.econbiz.de/10011563457
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A new improvement scheme for approximation methods of probability density functions
Takahashi, Akihiko; Tsuzuki, Yukihiro - In: The journal of computational finance 19 (2016) 4, pp. 73-94
Persistent link: https://www.econbiz.de/10011603189
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Option pricing in exponential Lévy models with transaction cost
Cantarutti, Nicola; Guerra, Manuel; Guerra, João; … - In: The journal of computational finance 23 (2020) 5, pp. 1-31
Persistent link: https://www.econbiz.de/10012295860
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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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Computing tails of compound distributions using direct numerical integration
Luo, Xiaolin; Shevchenko, Pavel V. - In: The journal of computational finance 13 (2009/10) 2, pp. 73-111
Persistent link: https://www.econbiz.de/10003949897
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The probability of backtest overfitting
Bailey, David H.; Borwein, Jonathan M.; López de … - In: The journal of computational finance 20 (2016/2017) 4, pp. 39-69
Persistent link: https://www.econbiz.de/10011691629
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Calculate tail quantiles of compound distributions
Abdymomunov, Azamat; Curti, Filippo; Kane, Hayden - In: The journal of computational finance 22 (2018/2019) 5, pp. 41-70
Persistent link: https://www.econbiz.de/10012042235
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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
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Saddlepoint methods for option pricing
Carr, Peter; Madan, Dilip B. - In: The journal of computational finance 13 (2009/10) 1, pp. 49-61
Persistent link: https://www.econbiz.de/10003969743
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Pricing and hedging gap risk
Tankov, Peter - In: The journal of computational finance 13 (2009/10) 3, pp. 33-59
Persistent link: https://www.econbiz.de/10003971913