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Numerical methods and volatility models for valuing cliquet options
Windcliff, H. A.; Forsyth, Peter A.; Vetzal, Kenneth R. - In: Applied mathematical finance 13 (2006) 4, pp. 353-386
Persistent link: https://www.econbiz.de/10003396217
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Pricing methods and hedging strategies for volatility derivatives
Windcliff, H.; Forsyth, Peter A.; Vetzal, Kenneth R. - In: Journal of banking & finance 30 (2006) 2, pp. 409-431
Persistent link: https://www.econbiz.de/10003291280
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A finite element approach to the pricing of discrete lookbacks with stochasic volatility
Forsyth, Peter A.; Vetzal, Kenneth R.; Zvan, R. - In: Applied mathematical finance 6 (1999) 2, pp. 87-106
Persistent link: https://www.econbiz.de/10001449242
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Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous-time mean-variance asset allocation under stochastic volatility
Ma, K.; Forsyth, Peter A. - In: The journal of computational finance 20 (2016) 1, pp. 1-37
Persistent link: https://www.econbiz.de/10011639504