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Black-Scholes model
32
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Option pricing theory
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The journal of computational finance
International journal of theoretical and applied finance
76
Mathematical finance : an international journal of mathematics, statistics and financial theory
40
Applied mathematical finance
39
The journal of futures markets
33
Computational economics
31
Finance and stochastics
29
The journal of derivatives : the official publication of the International Association of Financial Engineers
28
Review of derivatives research
25
Quantitative finance
23
International journal of financial engineering
22
Journal of mathematical finance
22
Journal of banking & finance
19
Asia-Pacific financial markets
18
The North American journal of economics and finance : a journal of financial economics studies
14
Finance research letters
13
Journal of economic dynamics & control
13
Journal of econometrics
12
Options : classic approaches to pricing and modelling
11
The European journal of finance
11
Decisions in economics and finance : DEF ; a journal of applied mathematics
10
CoFE discussion papers
9
Review of quantitative finance and accounting
9
Risks : open access journal
9
The review of financial studies
9
CoFE Discussion Paper
8
European journal of operational research : EJOR
8
International review of financial analysis
8
Research paper series / Swiss Finance Institute
8
The journal of risk and insurance : the journal of the American Risk and Insurance Association
8
Advances in futures and options research : a research annual
7
Journal of derivatives & hedge funds
7
Journal of risk and financial management : JRFM
7
The journal of finance : the journal of the American Finance Association
7
Wirtschaftswissenschaftliches Studium : WiSt ; Zeitschrift für Studium und Forschung
7
Annals of financial economics
6
Applied economics
6
Applied financial economics
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Discussion paper / B
6
Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz
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ECONIS (ZBW)
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1
Efficient numerical valuation of European options under the two-asset Kou jump-diffusion model
Hout, Karel J. in 't
;
Lamotte, Pieter
- In:
The journal of computational finance
26
(
2023
)
4
,
pp. 101-137
Persistent link: https://www.econbiz.de/10014342075
Saved in:
2
Pricing barrier options with deep backward stochastic differential equation methods
Ganesan, Narayan
;
Yu, Yajie
;
Hientzsch, Bernhard
- In:
The journal of computational finance
25
(
2022
)
4
,
pp. 1-25
Persistent link: https://www.econbiz.de/10014546284
Saved in:
3
Estimating risks of European option books using neural stochastic differential equation market models
Cohen, Samuel N.
;
Reisinger, Christoph
;
Wang, Sheng
- In:
The journal of computational finance
26
(
2022
)
3
,
pp. 33-72
Persistent link: https://www.econbiz.de/10014314556
Saved in:
4
Probabilistic machine learning for local volatility
Tegnér, Martin
;
Roberts, Stephen
- In:
The journal of computational finance
25
(
2021
)
3
,
pp. 1-50
Persistent link: https://www.econbiz.de/10012873079
Saved in:
5
Gradient boosting for quantitative finance
Davis, Jesse
;
Devos, Laurens
;
Reyners, Sofie
;
Schoutens, Wim
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 1-40
Persistent link: https://www.econbiz.de/10012544161
Saved in:
6
Penalty methods for bilateral XVA pricing in European and American contingent claims by a partial differential equation model
Chen, Yuwei
;
Christara, Christiana C.
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 41-70
Persistent link: https://www.econbiz.de/10012544162
Saved in:
7
Calibration of local-stochastic and path-dependent volatility models to vanilla and no-touch options
Bain, Alan
;
Mariapragassam, Matthieu
;
Reisinger, Christoph
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 115-161
Persistent link: https://www.econbiz.de/10012544167
Saved in:
8
Pricing American call options using the Black-Scholes equation with a nonlinear volatility function
Grossinho, Maria do Rosário
;
Kord, Yaser
;
Ševčovič, …
- In:
The journal of computational finance
23
(
2020
)
4
,
pp. 93-113
Persistent link: https://www.econbiz.de/10012212488
Saved in:
9
Pricing multiple barrier derivatives under stochastic volatility
Escobar, Marcos
;
Panz, Sven
;
Zagst, Rudi
- In:
The journal of computational finance
24
(
2020
)
2
,
pp. 77-101
Persistent link: https://www.econbiz.de/10012543622
Saved in:
10
Nowcasting networks
Chataigner, Marc
;
Crépey, Stéphane
;
Pu, Jiang
- In:
The journal of computational finance
24
(
2020
)
3
,
pp. 1-39
Persistent link: https://www.econbiz.de/10012543628
Saved in:
11
Path-dependent American options
Chevalier, Etienne
;
Ly Vath, Vathana
;
Mnif, Mohamed
- In:
The journal of computational finance
23
(
2019
)
1
,
pp. 61-95
Persistent link: https://www.econbiz.de/10012064988
Saved in:
12
The two-dimensional tree-grid method
Kossaczký, Igor
;
Ehrhardt, Matthias
;
Günther, Michael
- In:
The journal of computational finance
23
(
2019
)
2
,
pp. 29-57
Persistent link: https://www.econbiz.de/10012111259
Saved in:
13
Path independence of exotic options and convergence of binomial approximations
Leduc, Guillaume
;
Palmer, Kenneth J.
- In:
The journal of computational finance
23
(
2019
)
2
,
pp. 73-102
Persistent link: https://www.econbiz.de/10012111264
Saved in:
14
The Chebyshev method for the implied volatility
Glau, Kathrin
;
Herold, Paul
;
Madan, Dilip B.
;
Pötz, …
- In:
The journal of computational finance
23
(
2019
)
3
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012162365
Saved in:
15
The extended SSVI volatility surface
Hendriks, Sebas
;
Martini, Claude
- In:
The journal of computational finance
22
(
2018/2019
)
5
,
pp. 25-39
Persistent link: https://www.econbiz.de/10012042223
Saved in:
16
Efficient conservative second-order central-upwind schemes for option-pricing problems
Bhatoo, Omishwary
;
Peer, Arshad Ahmud Iqbal
;
Tadmor, Eitan
- In:
The journal of computational finance
22
(
2018/2019
)
5
,
pp. 71-101
Persistent link: https://www.econbiz.de/10012042237
Saved in:
17
A nonparametric local volatility model for swaptions smile
Gatarek, Dariusz
;
Jabłecki, Juliusz
- In:
The journal of computational finance
21
(
2017/2018
)
5
,
pp. 35-62
Persistent link: https://www.econbiz.de/10011860899
Saved in:
18
Local variance gamma revisited
Falck, Markus
;
Deryabin, Mikhail
- In:
The journal of computational finance
22
(
2018
)
2
,
pp. 73-99
Persistent link: https://www.econbiz.de/10011976666
Saved in:
19
The forward smile in local-stochastic volatility models
Mazzon, Andrea
;
Pascucci, Andrea
- In:
The journal of computational finance
20
(
2016/2017
)
3
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011689675
Saved in:
20
Volatility risk structure for options depending on extrema
Nakatsu, Tomonori
- In:
The journal of computational finance
21
(
2017/2018
)
3
,
pp. 105-122
Persistent link: https://www.econbiz.de/10011848359
Saved in:
21
The damped Crank-Nicolson time-marching scheme for the adaptive solution of the Black-Scholes equation
Goll, Christian
;
Rannacher, Rolf
;
Wollner, Winnifried
- In:
The journal of computational finance
18
(
2015
)
4
,
pp. 1-37
Persistent link: https://www.econbiz.de/10011441255
Saved in:
22
The uncertain volatility model : a Monte Carlo apporach
Guyon, Julien
;
Henry-Labordère, Pierre
- In:
The journal of computational finance
14
(
2010/11
)
3
,
pp. 37-71
Persistent link: https://www.econbiz.de/10008989934
Saved in:
23
Calibrating volatility function bounds for an uncertain volatility model
Coleman, Thomas F.
;
He, Changhong
;
Li, Yuying
- In:
The journal of computational finance
13
(
2009/10
)
4
,
pp. 63-93
Persistent link: https://www.econbiz.de/10003996075
Saved in:
24
Technical note : dependence and two-asset options pricing
Rapuch, Grégory
;
Roncalli, Thierry
- In:
The journal of computational finance
7
(
2004
)
4
,
pp. 23-33
Persistent link: https://www.econbiz.de/10002126759
Saved in:
25
Analysis of the stability of the linear boundary condition for the Black-Scholes equation
Windcliff, Heath
;
Forsyth, Peter A.
;
Vetzal, Ken R.
- In:
The journal of computational finance
8
(
2004
)
1
,
pp. 65-92
Persistent link: https://www.econbiz.de/10002390573
Saved in:
26
Pricing moving average barrier options
Heritage, J. P.
- In:
The journal of computational finance
5
(
2002
)
4
,
pp. 51-67
Persistent link: https://www.econbiz.de/10001695833
Saved in:
27
Penalty and front-fixing methods for the numerical solution of American option problems
Nielsen, Bjørn Fredrik
;
Skavhaug, Ola
;
Tveito, Aslak
- In:
The journal of computational finance
5
(
2002
)
4
,
pp. 69-97
Persistent link: https://www.econbiz.de/10001695837
Saved in:
28
Deriving derivatives of derivative securities
Carr, Peter
- In:
The journal of computational finance
4
(
2000/2001
)
2
,
pp. 5-29
Persistent link: https://www.econbiz.de/10001553928
Saved in:
29
A PDE method for computing moments
Little, Thomas
;
Pant, Vijay
- In:
The journal of computational finance
4
(
2000
)
1
,
pp. 5-20
Persistent link: https://www.econbiz.de/10001528149
Saved in:
30
A mathematical programming with equilibrium constraints approach to the implied volatility surface of American options
Huang, Jacqueline
;
Pang, Jong-shi
- In:
The journal of computational finance
4
(
2000
)
1
,
pp. 21-56
Persistent link: https://www.econbiz.de/10001528153
Saved in:
31
Computation of deterministic volatility surfaces
Jackson, Nicolas
;
Süli, Endre
;
Howison, Sam
- In:
The journal of computational finance
2
(
1998/1999
)
2
,
pp. 5-32
Persistent link: https://www.econbiz.de/10001633258
Saved in:
32
The singularity-separating method for two-factor convertible bonds
Zhu, You-Ian
;
Sun, Yingjun
- In:
The journal of computational finance
3
(
1999
)
1
,
pp. 91-110
Persistent link: https://www.econbiz.de/10001517415
Saved in:
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