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Heston model
8
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The journal of computational finance
International journal of theoretical and applied finance
20
The journal of futures markets
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Physica A: Statistical Mechanics and its Applications
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ECONIS (ZBW)
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1
Sharp L¹-approximation of the log-Heston stochastic differential equation by Euler-type methods
Mickel, Annalena
;
Neuenkirch, Andreas
- In:
The journal of computational finance
26
(
2023
)
4
,
pp. 67-100
Persistent link: https://www.econbiz.de/10014342066
Saved in:
2
Automatic differentiation for diffusion operator integral variance reduction
Auster, Johan
- In:
The journal of computational finance
25
(
2022
)
4
,
pp. 27-53
Persistent link: https://www.econbiz.de/10014546286
Saved in:
3
The CTMC–Heston model : calibration and exotic option pricing with SWIFT
Leitao, Álvaro
;
Kirkby, J. Lars
;
Ortiz-Garcia, Luis
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 71-114
Persistent link: https://www.econbiz.de/10012544164
Saved in:
4
High-order approximations to call option prices in the Heston model
Gulisashvili, Archil
;
Lagunas-Merino, Marc
;
Merino, Raúl
; …
- In:
The journal of computational finance
24
(
2020
)
1
,
pp. 83-102
Persistent link: https://www.econbiz.de/10012421960
Saved in:
5
Numerical techniques for the Heston collocated volatility model
Le Floc'h, Fabien
;
Oosterlee, Cornelis Willebrordus
- In:
The journal of computational finance
24
(
2020
)
3
,
pp. 59-110
Persistent link: https://www.econbiz.de/10012544158
Saved in:
6
Complexity reduction for calibration to American options
Burkovska, Olena
;
Glau, Kathrin
;
Mahlstedt, Mirco
; …
- In:
The journal of computational finance
23
(
2019
)
1
,
pp. 25-60
Persistent link: https://www.econbiz.de/10012064981
Saved in:
7
A reduced basis method for parabolic partial differential equations with parameter functions and application to option pricing
Mayerhofer, Antonia Christine
;
Urban, Karsten
- In:
The journal of computational finance
20
(
2016/2017
)
4
,
pp. 71-106
Persistent link: https://www.econbiz.de/10011691633
Saved in:
8
Pricing multidimensional financial derivatives with stochastic volatilities using the dimensional-adaptive combination technique
Benk, Janos
;
Pflüger, Dirk
- In:
The journal of computational finance
21
(
2017/2018
)
3
,
pp. 75-104
Persistent link: https://www.econbiz.de/10011848349
Saved in:
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