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Convergence of Numerical Methods for Valuing Path-Dependent Options Using Interpolation
Forsyth, P.A.; Vetzal, K.R.; Zvan, R. - In: Review of derivatives research 5 (2002) 3, pp. 273
Persistent link: https://www.econbiz.de/10005939887
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PAPERS - A finite element approach to the pricing of discrete lookbacks with stochastic volatility
Forsyth, P.A.; Vetzal, K.R.; Zvan, R. - In: Applied mathematical finance 6 (1999) 2, pp. 87-106
Persistent link: https://www.econbiz.de/10008218055
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Wireless network capacity management: A real options approach
d'Halluin, Y.; Forsyth, P.A.; Vetzal, K.R. - In: European Journal of Operational Research 176 (2007) 1, pp. 584-609
Persistent link: https://www.econbiz.de/10005151535
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Pricing methods and hedging strategies for volatility derivatives
Windcliff, H.; Forsyth, P.A.; Vetzal, K.R. - In: Journal of banking & finance 30 (2006) 2, pp. 409-432
Persistent link: https://www.econbiz.de/10005878635
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Valuation of Convertible Bonds With Credit Risk
Ayache, E.; Forsyth, P.A.; Vetzal, K.R. - In: The journal of derivatives : the official publication … 11 (2003) 1, pp. 9-29
Persistent link: https://www.econbiz.de/10005932634
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Valuation of segregated funds: shout options with maturity extensions
Windcliff, H.; Forsyth, P.A.; Vetzal, K.R. - In: Insurance / Mathematics & economics 29 (2001) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10006900666
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Dynamic Hedging Under Jump Diffusion with Transaction Costs
Kennedy, J.S.; Forsyth, P.A.; Vetzal, K.R. - In: Operations research : the journal of the Operations … 57 (2009) 3, pp. 541-559
Persistent link: https://www.econbiz.de/10008267471
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A numerical PDE approach for pricing callable bonds
D'Halluin, Y.; Forsyth, P.A.; Vetzal, K.R.; Labahn, G. - In: Applied mathematical finance 8 (2001) 1, pp. 49
Persistent link: https://www.econbiz.de/10008216765
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Unstructured meshing for two asset barrier options
Pooley, D.M.; Forsyth, P.A.; Vetzal, K.R.; Simpson, R.B. - In: Applied mathematical finance 7 (2000) 1, pp. 33-60
Persistent link: https://www.econbiz.de/10008217386
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Numerical Methods and Volatility Models for Valuing Cliquet Options
Windcliff, H.A.; Forsyth, P.A.; Vetzal, K.R. - In: Applied mathematical finance 13 (2006) 4, pp. 353
Persistent link: https://www.econbiz.de/10008222264