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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
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Hedging of options in the presence of jump clustering
Hainaut, Donatien; Moraux, Franck - In: The journal of computational finance 22 (2018) 3, pp. 1-35
Persistent link: https://www.econbiz.de/10011988188
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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
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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
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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
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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
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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
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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
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Arbitrage-free estimation of the risk-neutral density from the implied volatility smile
Brunner, Bernhard; Hafner, Reinhold - In: The journal of computational finance 7 (2003) 1, pp. 75-106
Persistent link: https://www.econbiz.de/10001805446
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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