Narrow search
Showing 1 - 10 of 15
Cover Image
Option pricing and distribution characteristics
Mauler, David J.; McDonald, James B. - In: Computational economics 45 (2015) 4, pp. 579-595
Persistent link: https://www.econbiz.de/10011440962
Cover Image
Investigating the performance of non-gaussian stochastic intensity models in the calibration of credit default swap spreads
Bianchi, Michele Leonardo; Fabozzi, Frank J. - In: Computational economics 46 (2015) 2, pp. 243-273
Persistent link: https://www.econbiz.de/10011478467
Cover Image
Enhancing quasi-Monte Carlo simulation by minimizing effective dimension for derivative pricing
Xiao, Ye; Wang, Xiaoqun - In: Computational economics 54 (2019) 1, pp. 343-366
Persistent link: https://www.econbiz.de/10012134177
Cover Image
Increment variance reduction techniques with an application to multi-name credit derivatives
Rostan, Pierre; Rostan, Alexandra; Racicot, François-Éric - In: Computational economics 55 (2020) 1, pp. 1-35
Persistent link: https://www.econbiz.de/10012222571
Cover Image
Utility-based pricing, timing and hedging of an American call option under an incomplete market with partial information
Song, Dandan; Yang, Zhaojun - In: Computational economics 44 (2014) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10010396234
Cover Image
Wind derivatives : modeling and pricing
Alexandridis, A.; Zapranis, Achilleas - In: Computational economics 41 (2013) 3, pp. 299-326
Persistent link: https://www.econbiz.de/10009711330
Cover Image
Valuation of standard call options using the Euler-Maruyama method with strong approximation
Suescún-Díaz, Daniel; Girón, Luis Eduardo - In: Computational economics 61 (2023) 4, pp. 1545-1560
Persistent link: https://www.econbiz.de/10014327069
Cover Image
Simulating and pricing CAT bonds using the spectral method based on Chebyshev basis
Aghdam, Y. Esmaeelzade; Neisy, A.; Adl, A. - In: Computational economics 63 (2024) 1, pp. 423-435
Persistent link: https://www.econbiz.de/10014472268
Cover Image
Numerical approximation to a variable-order time-fractional Black-Scholes model with applications in option pricing
Zhang, Meihui; Zheng, Xiangcheng - In: Computational economics 62 (2023) 3, pp. 1155-1175
Persistent link: https://www.econbiz.de/10014382889
Cover Image
About long-term cross-currency Bermuda swaption pricing
Erkan, Bünyamin; Prigent, Jean-Luc - In: Computational economics 56 (2020) 1, pp. 239-262
Persistent link: https://www.econbiz.de/10012272028