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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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Arbitrage-free market models for option prices : the multi-strike case
Schweizer, Martin; Wissel, Johannes - In: Finance and stochastics 12 (2008) 4, pp. 469-505
Persistent link: https://www.econbiz.de/10003899262
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American and European options in multi-factor jump-diffusion models, near expiry
Levendorskij, Sergej Z. - In: Finance and stochastics 12 (2008) 4, pp. 541-560
Persistent link: https://www.econbiz.de/10003899270
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Additive and multiplicative duals for American option pricing
Chen, Nan; Glasserman, Paul - In: Finance and stochastics 11 (2007) 2, pp. 153-179
Persistent link: https://www.econbiz.de/10003439750
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Option pricing by mathematical programming
Flåm, Sjur Didrik (contributor) - 2007
Persistent link: https://www.econbiz.de/10003472999
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A dual approach to multiple exercise option problems under constraints
Aleksandrov, N.; Hambly, Ben - In: Mathematical methods of operations research 71 (2010) 3, pp. 503-533
Persistent link: https://www.econbiz.de/10003990392
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Dual pricing of multi-exercise options under volume constraints
Bender, Christian - In: Finance and stochastics 15 (2011) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10008824146
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Pricing related projects
Flam, S. D.; Gassmann, H. I. - In: Coping with uncertainty : modeling and policy issues, (pp. 301-313). 2006
Persistent link: https://www.econbiz.de/10003394901
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Local time and the pricing of time-dependent barrier
Mijatovi´c, Aleksandar - In: Finance and stochastics 14 (2010) 1, pp. 13-48
Persistent link: https://www.econbiz.de/10003924781
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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