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Trinomial or binomial : accelerating American put option price on trees
Chan, Juin Hong; Joshi, Mark S.; Tang, Robert; Chao Yang - 2008
Persistent link: https://www.econbiz.de/10003797820
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Trinomial or binomial : accelerating American put option price on trees
Chan, Jiun Hong; Joshi, Mark S.; Tang, Robert; Chao Yang - In: The journal of futures markets 29 (2009) 9, pp. 826-839
Persistent link: https://www.econbiz.de/10003900848
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Fast and accurate pricing and hedging of long-dated CMS spread options
Joshi, Mark S.; Chao Yang - In: International journal of theoretical and applied finance 13 (2010) 6, pp. 839-865
Persistent link: https://www.econbiz.de/10008905112
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Fast Gamma computations for CDO tranches
Joshi, Mark S.; Chao Yang - 2010
Persistent link: https://www.econbiz.de/10008806581
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Fast and accurate pricing and hedging of long-dated CMS spread options
Joshi, Mark S.; Chao Yang - 2009
Persistent link: https://www.econbiz.de/10003924254
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Efficient Greek estimation in generic market models
Joshi, Mark S.; Chao Yang - 2009
Persistent link: https://www.econbiz.de/10003924270
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Fast delta computations in the swap market model
Joshi, Mark S.; Chao Yang - 2009
Persistent link: https://www.econbiz.de/10003924295
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Fast delta computations in the swap-rate market model
Joshi, Mark S.; Chao Yang - In: Journal of economic dynamics & control 35 (2011) 5, pp. 764-775
Persistent link: https://www.econbiz.de/10009240554
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Fourier transforms, option pricing and controls
Joshi, Mark S.; Chao Yang - 2011
Persistent link: https://www.econbiz.de/10009419875
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Accelerating the gradient projection algorithm for solving the non-additive traffic equilibrium problem with the Barzilai-Borwein step size
Tan, Heqing; Du, Muqing; Chen, Anthony - In: Computers & operations research : and their … 141 (2022), pp. 1-18
Persistent link: https://www.econbiz.de/10013185145