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Efficient estimation of sensitivities for counterparty credit risk with the finite difference Monte Carlo method
Graaf, Cornelis S. L. de; Kandhai, Drona; Sloot, Peter M. A. - In: The journal of computational finance 21 (2017) 1, pp. 83-113
Persistent link: https://www.econbiz.de/10011691615
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Valuation of barrier options using sequential Monte Carlo
Shevchenko, Pavel V.; Del Moral, Pierre - In: The journal of computational finance 20 (2016/2017) 4, pp. 107-135
Persistent link: https://www.econbiz.de/10011691638
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Efficient conservative second-order central-upwind schemes for option-pricing problems
Bhatoo, Omishwary; Peer, Arshad Ahmud Iqbal; Tadmor, Eitan - In: The journal of computational finance 22 (2018/2019) 5, pp. 71-101
Persistent link: https://www.econbiz.de/10012042237
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Pricing multiple barrier derivatives under stochastic volatility
Escobar, Marcos; Panz, Sven; Zagst, Rudi - In: The journal of computational finance 24 (2020) 2, pp. 77-101
Persistent link: https://www.econbiz.de/10012543622
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Calibration of local-stochastic and path-dependent volatility models to vanilla and no-touch options
Bain, Alan; Mariapragassam, Matthieu; Reisinger, Christoph - In: The journal of computational finance 24 (2021) 4, pp. 115-161
Persistent link: https://www.econbiz.de/10012544167
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Pricing barrier options with deep backward stochastic differential equation methods
Ganesan, Narayan; Yu, Yajie; Hientzsch, Bernhard - In: The journal of computational finance 25 (2022) 4, pp. 1-25
Persistent link: https://www.econbiz.de/10014546284
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Pricing near the barrier : the case of discrete knock-out options
Steiner, Manfred; Wallmeier, Martin; Hafner, Reinhold - In: The journal of computational finance 3 (1999) 1, pp. 69-90
Persistent link: https://www.econbiz.de/10001517413
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A new integral representation of the early exercise boundary for American put options
Little, Thomas; Pant, Vijay; Hou, Chunli - In: The journal of computational finance 3 (2000) 3, pp. 73-96
Persistent link: https://www.econbiz.de/10001517427
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On the valuation of double-barrier options : computational aspects
Schröder, Michael - In: The journal of computational finance 3 (2000) 4, pp. 5-33
Persistent link: https://www.econbiz.de/10001517429
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Pricing discretely monitored barrier options
Sullivan, Michael A. - In: The journal of computational finance 3 (2000) 4, pp. 35-52
Persistent link: https://www.econbiz.de/10001517430