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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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Valuation of options on discretely sampled variance : a general analytic approximation
Drimus, Gabriel; Farkas, Walter; Gourier, Elise - In: The journal of computational finance 20 (2016) 2, pp. 39-66
Persistent link: https://www.econbiz.de/10011656703
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Accelerated trinomial trees applied to American basket options and American options under the Bates model
O'Sullivan, Conall; O'Sullivan, Stephen - In: The journal of computational finance 19 (2016) 4, pp. 29-72
Persistent link: https://www.econbiz.de/10011603176
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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 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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Multicurrency extension of the quasi-Gaussian stochastic volatility interest rate model
Ng, Leslie - In: The journal of computational finance 18 (2014/15) 3, pp. 59-98
Persistent link: https://www.econbiz.de/10011298899
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A novel Fourier transform B-spline method for option pricing
Haslip, Gareth G.; Kaishev, Vladimir K. - In: The journal of computational finance 19 (2015) 1, pp. 41-74
Persistent link: https://www.econbiz.de/10011480709
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B-spline techniques for volatility modeling
Corlay, Sulvain - In: The journal of computational finance 19 (2016) 3, pp. 97-135
Persistent link: https://www.econbiz.de/10011563492
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A hybrid tree/finite-difference approach for Heston-Hull-White-type models
Briani, Maya; Caramellino, Lucia; Zanette, Antonino - In: The journal of computational finance 21 (2017/2018) 3, pp. 1-45
Persistent link: https://www.econbiz.de/10011848334
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Finite difference techniques for arbitrage-free SABR
Le Floc'h, Fabien; Kennedy, Gary - In: The journal of computational finance 20 (2016/2017) 3, pp. 51-79
Persistent link: https://www.econbiz.de/10011689679