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person:"Forsyth, Peter A."
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Option pricing theory
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Forsyth, Peter A.
Madan, Dilip B.
90
Cui, Zhenyu
73
Fabozzi, Frank J.
67
Joshi, Mark S.
66
Härdle, Wolfgang
64
Carr, Peter
60
Takahashi, Akihiko
59
Schoutens, Wim
57
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53
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52
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48
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46
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39
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38
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37
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36
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34
Lee, Cheng F.
34
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34
Kim, Young Shin
33
Chesney, Marc
32
Fusai, Gianluca
32
Wang, Xingchun
32
Christoffersen, Peter F.
31
Siu, Tak Kuen
31
Zhang, Jin E.
31
Ewald, Christian-Oliver
30
Platen, Eckhard
30
Račev, Svetlozar T.
30
Barone-Adesi, Giovanni
29
Schwartz, Eduardo S.
29
Jacquier, Antoine (Jack)
28
Nguyen, Duy
28
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28
Wong, Hoi Ying
28
Wystup, Uwe
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Yang, Zhaojun
28
Alghalith, Moawia
27
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The journal of computational finance
6
Applied mathematical finance
2
Journal of economic dynamics & control
2
Review of derivatives research
2
Journal of banking & finance
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ECONIS (ZBW)
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1
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
Saved in:
2
Robust numerical valuation of European and American options under the CGMY process
Wang, Iris R.
;
Wan, Justin W. L.
;
Forsyth, Peter A.
- In:
The journal of computational finance
10
(
2006/07
)
4
,
pp. 31-69
Persistent link: https://www.econbiz.de/10003542262
Saved in:
3
Calibration and hedging under jump diffusion
He, Changhong
;
Kennedy, J. S.
;
Coleman, T. F.
;
Forsyth, …
- In:
Review of derivatives research
9
(
2006
)
1
,
pp. 1-35
Persistent link: https://www.econbiz.de/10003441126
Saved in:
4
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
Saved in:
5
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
Saved in:
6
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
Saved in:
7
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
Saved in:
8
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
Saved in:
9
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
Saved in:
10
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
Saved in:
11
Discrete Asian barrier options
Zvan, R.
;
Forsyth, Peter A.
;
Vetzal, Kenneth R.
- In:
The journal of computational finance
3
(
1999
)
1
,
pp. 41-67
Persistent link: https://www.econbiz.de/10001517411
Saved in:
12
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
Saved in:
13
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
Saved in:
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