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The journal of computational finance
London : Infopro Digital Risk; früher: London : Risk …; … - 1.1998 -
Persistent link: https://www.econbiz.de/10000662860
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Valuation of options on several risky assets when there are transactions costs
Boyle, Phelim P. - In: Advances in futures and options research : a research annual 9 (1997), pp. 111-127
Persistent link: https://www.econbiz.de/10001226768
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Fast numerical valuation of American, exotic and complex options
Dempster, Michael A. H. - In: Applied mathematical finance 4 (1997) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10001226776
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An LP approach to synthetic option replication with transaction costs and multiple security selection
Dennis, Patrick - In: Advances in futures and options research : a research annual 8 (1995), pp. 53-84
Persistent link: https://www.econbiz.de/10001211317
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A model for designing callable bonds and its solution using tabu search
Consiglio, Andrea - In: Journal of economic dynamics & control 21 (1997) 8, pp. 1445-1470
Persistent link: https://www.econbiz.de/10001222037
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Finite element modeling of exotic options
Topper, Jürgen - 1998 - Version December 28, 1998
The Finite Element Method is a well-studied and well-understood method of solving partial differential equations. It's applicability to financial models formulated as PDEs is demonstrated. It's advantage concerning the computation of accurate "Greeks" is delineated. This is demonstrated with...
Persistent link: https://www.econbiz.de/10011526581
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Transformation methods for evaluating approximations to the optimal exercise boundary for a linear and nonlinear Black-Scholes equation
Ševčovič, Daniel - In: Nonlinear models in mathematical finance : new research …, (pp. 173-218). 2008
Persistent link: https://www.econbiz.de/10011954443
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Special issue: High-performance computing for financial planning
Zenios, Stauros Andrea (contributor) - 2003
Persistent link: https://www.econbiz.de/10001734597
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Mathematical pseudo-completion of the BGM model
Yasuoka, Takashi - In: International journal of theoretical and applied finance 4 (2001) 3, pp. 375-401
Persistent link: https://www.econbiz.de/10001584358