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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://ebvufind01.dmz1.zbw.eu/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://ebvufind01.dmz1.zbw.eu/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://ebvufind01.dmz1.zbw.eu/10002126759
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A high-order front-tracking finite difference method for pricing American options under jump-diffusion models
Toivanen, Jari - In: The journal of computational finance 13 (2009/10) 3, pp. 61-79
Persistent link: https://ebvufind01.dmz1.zbw.eu/10003971914
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Calibrating volatility function bounds for an uncertain volatility model
Coleman, Thomas F.; He, Changhong; Li, Yuying - In: The journal of computational finance 13 (2009/10) 4, pp. 63-93
Persistent link: https://ebvufind01.dmz1.zbw.eu/10003996075
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The evaluation of American compound option prices under stochastic volatility and stochastic interest rates
Chiarella, Carl; Kang, Boda - In: The journal of computational finance 17 (2013) 1, pp. 71-92
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010337816
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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://ebvufind01.dmz1.zbw.eu/10011988188
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Local variance gamma revisited
Falck, Markus; Deryabin, Mikhail - In: The journal of computational finance 22 (2018) 2, pp. 73-99
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011976666
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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://ebvufind01.dmz1.zbw.eu/10011689675
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An efficient convergant lattice method for Asian option pricing with superlinear complexity
Lu, Ling; Xu, Wei; Qian, Zhehui - In: The journal of computational finance 20 (2016/2017) 4, pp. 1-38
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011691626