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Flexible-forward pricing through Leisen-Reimer trees : implementation and performance comparison with traditional Markov chains
Giribone, Pier Giuseppe; Ligato, Simone - In: International journal of financial engineering 3 (2016) 2, pp. 1-21
Persistent link: https://www.econbiz.de/10011577108
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Error analysis in Fourier methods for option pricing
Crocce, Fabián; Häppölä, Juho; Kiessling, Jonas; … - In: The journal of computational finance 21 (2017) 1, pp. 53-82
Persistent link: https://www.econbiz.de/10011691613
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A numerical method for discrete single barrier option pricing with time-dependent parameters
Farnoosh, Rahman; Rezazadeh, Hamidreza; Sobhani, Amirhossein - In: Computational economics 48 (2016) 1, pp. 131-145
Persistent link: https://www.econbiz.de/10011646608
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Wiener chaos expansion and numerical solutions of the Heath-Jarrow-Morton interest rate model
Kalpinelli, Evangelia A.; Frangos, Nikolaos E.; … - In: The journal of computational finance 19 (2016) 4, pp. 1-27
Persistent link: https://www.econbiz.de/10011603168
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Convex regularization of local volatility estimation
Albani, Vinícius; Cezaro, Adriano de; Zubelli, Jorge P. - In: International journal of theoretical and applied finance 20 (2017) 1, pp. 1-37
Persistent link: https://www.econbiz.de/10011686808
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Pricing vulnerable options with jump clustering
Ma, Yong; Shrestha, Keshab; Xu, Weidong - In: The journal of futures markets 37 (2017) 12, pp. 1155-1178
Persistent link: https://www.econbiz.de/10011951026
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The source of error behavior for the solution of Black-Scholes PDE by finite difference and finite element methods
Özer, H. Ünsal; Duran, Ahmet - In: International journal of financial engineering 5 (2018) 3, pp. 1-22
Persistent link: https://www.econbiz.de/10011923061
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A study on numerical solution of Black-Scholes model
Anwar, Md. Nurul; Andallah, Laek Sazzad - In: Journal of mathematical finance 8 (2018) 2, pp. 372-381
Persistent link: https://www.econbiz.de/10011874785
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American option valuation methods
Zhao, Jinsha - In: International journal of economics and finance 10 (2018) 5, pp. 1-13
Persistent link: https://www.econbiz.de/10011861003
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Numerical method for model-free pricing of exotic derivatives in discrete time using rough path signatures
Lyons, Terry; Nejad, Sina; Arribas, Imanol Perez - In: Applied mathematical finance 26 (2019) 6, pp. 583-597
Persistent link: https://www.econbiz.de/10012210427