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Simulations for hedging financial contracts with optimal decisions
Windcliff, H.; Forsyth, Peter A.; Vetzal, Kenneth R.; … - In: Computational methods in decision-making, economics and …, (pp. 271-296). 2010
Persistent link: https://www.econbiz.de/10009153080
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An object-oriented framework for valuing shout options on high-performance computer architectures
Windcliff, H.; Vetzal, Kenneth R.; Forsyth, Peter A.; … - In: Journal of economic dynamics & control 27 (2003) 6, pp. 1133-1161
Persistent link: https://www.econbiz.de/10001734585
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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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An optimal stochastic control framework for determining the cost of hedging of variable annuities
Forsyth, Peter A.; Vetzal, Kenneth R. - In: Journal of economic dynamics & control 44 (2014), pp. 29-53
Persistent link: https://www.econbiz.de/10010470085
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Robust numerical methods for PDE models of Asian options
Zvan, R.; Forsyth, Peter A.; Vetzal, Kenneth R. - In: The journal of computational finance 1 (1997/1998) 2, pp. 39-78
Persistent link: https://www.econbiz.de/10001633255
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Convergence remedies for non-smooth payoffs in option pricing
Pooley, David M.; Vetzal, Kenneth R.; Forsyth, Peter A. - In: The journal of computational finance 6 (2003) 4, pp. 25-40
Persistent link: https://www.econbiz.de/10001782172
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Convergence of numerical methods for valuing path-dependent options using interpolation
Forsyth, Peter A.; Vetzal, Kenneth R.; Zvan, R. - In: Review of derivatives research 5 (2002) 3, pp. 273-314
Persistent link: https://www.econbiz.de/10001743284
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Valuation of convertible bonds with credit risk
Ayache, E.; Forsyth, Peter A.; Vetzal, Kenneth R. - In: The journal of derivatives : the official publication … 11 (2003) 1, pp. 9-29
Persistent link: https://www.econbiz.de/10001798981
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Negative coefficients in two-factor option pricing models
Zvan, R.; Forsyth, Peter A.; Vetzal, Kenneth R. - In: The journal of computational finance 7 (2003) 1, pp. 37-73
Persistent link: https://www.econbiz.de/10001805445
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PDE methods for pricing barrier options
Zvan, R.; Vetzal, Kenneth R.; Forsyth, Peter A. - In: Journal of economic dynamics & control 24 (2000) 11/12, pp. 1563-1590
Persistent link: https://www.econbiz.de/10001508750