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Multilevel Monte Carlo simulation for VIX options in the rough Bergomi model
Bourgey, Florian; De Marco, Stefano - In: The journal of computational finance 26 (2022) 2, pp. 53-82
Persistent link: https://www.econbiz.de/10013549658
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A tree-based method to price American options in the Heston model
Vellekoop, Michel; Nieuwenhuis, J. H. - In: The journal of computational finance 13 (2009/10) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10003969727
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Pricing barrier and average options in a stochastic volatility environment
Shiraya, Kenichiro; Takahashi, Akihiko; Toda, Masashi - In: The journal of computational finance 15 (2011/12) 2, pp. 111-148
Persistent link: https://www.econbiz.de/10009424800
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On the application of spectral filters in a Fourier option pricing technique
Ruijter, Marjon; Versteegh, M.; Oosterlee, Cornelis … - In: The journal of computational finance 19 (2015) 1, pp. 75-106
Persistent link: https://www.econbiz.de/10011480718
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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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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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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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Volatility risk structure for options depending on extrema
Nakatsu, Tomonori - In: The journal of computational finance 21 (2017/2018) 3, pp. 105-122
Persistent link: https://www.econbiz.de/10011848359
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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