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A new nonlinear partial differential equation in finance and a method of its solution
Itkin, Andrey - In: The journal of computational finance 21 (2017/2018) 4, pp. 1-21
Persistent link: https://www.econbiz.de/10011848371
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Efficient solution of backward jump-diffusion partial integro-differential equations with splitting and matrix exponentials
Itkin, Andrey - In: The journal of computational finance 19 (2016) 3, pp. 29-70
Persistent link: https://www.econbiz.de/10011563465
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Deriving derivatives of derivative securities
Carr, Peter - In: The journal of computational finance 4 (2000/2001) 2, pp. 5-29
Persistent link: https://www.econbiz.de/10001553928
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Option valuation using the fast Fourier transform
Carr, Peter; Madan, Dilip B. - In: The journal of computational finance 2 (1999) 4, pp. 61-73
Persistent link: https://www.econbiz.de/10001517298
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Saddlepoint methods for option pricing
Carr, Peter; Madan, Dilip B. - In: The journal of computational finance 13 (2009/10) 1, pp. 49-61
Persistent link: https://www.econbiz.de/10003969743
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Adjusting exponential Lévy models toward the simultaneous calibration of market prices for crash cliquets
Carr, Peter; Khanna, Ajay; Madan, Dilip B. - In: The journal of computational finance 20 (2016) 1, pp. 89-111
Persistent link: https://www.econbiz.de/10011639593