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Explanatory factors and causality in the dynamics of volatility surfaces implied from OTC Asian-Pacific currency options
Chalamandaris, Georgios; Tsekrekos, Andrianos E. - In: Computational economics 41 (2013) 3, pp. 327-358
Persistent link: https://www.econbiz.de/10009711327
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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
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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
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New splitting scheme for pricing American options under the Heston model
Safaei, Maryam; Neisy, Abodolsadeh; Nematollahi, Nader - In: Computational economics 52 (2018) 2, pp. 405-420
Persistent link: https://www.econbiz.de/10012052953
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Pricing European options under fractional black-scholes model with a weak payoff function
Mehrdoust, Farshid; Najafi, Ali Reza - In: Computational economics 52 (2018) 2, pp. 685-706
Persistent link: https://www.econbiz.de/10012053023
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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
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Option implied risk-neutral density estimation : a robust and flexible method
Kundu, Arindam; Kumar, Sumit; Tomar, Nutan Kumar - In: Computational economics 54 (2019) 2, pp. 705-728
Persistent link: https://www.econbiz.de/10012134345
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A spectral approach to pricing of arbitrage-free sabr discrete barrier options
Thakoor, Nawdha; Tangman, Désiré Yannick; Bhuruth, Muddun - In: Computational economics 54 (2019) 3, pp. 1085-1111
Persistent link: https://www.econbiz.de/10012134509
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A hybrid Monte Carlo and finite difference method for option pricing
Jeong, Darae; Yoo, Minhyun; Yoo, Changwoo; Kim, Junseok - In: Computational economics 53 (2019) 1, pp. 111-124
Persistent link: https://www.econbiz.de/10012134544
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A stable and convergent finite difference method for fractional black-scholes model of American put option pricing
Kalantari, R.; Shahmorad, S. - In: Computational economics 53 (2019) 1, pp. 191-205
Persistent link: https://www.econbiz.de/10012134618