Narrow search
Showing 1 - 10 of 256
Cover Image
Nonparametric estimation of an implied volatility surface
Bodurtha, James N.; Jermakyan, Martin - In: The journal of computational finance 2 (1999) 4, pp. 29-60
Persistent link: https://www.econbiz.de/10001517296
Cover Image
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
Cover Image
An analytical approximation for the GARCH option pricing model
Duan, Jin-Chuan; Gauthier, Geneviève; Simonato, Jean-Guy - In: The journal of computational finance 2 (1999) 4, pp. 75-116
Persistent link: https://www.econbiz.de/10001517300
Cover Image
Fast greeks by simulation in forward LIBOR models
Glasserman, Paul; Zhao, Xiaoliang - In: The journal of computational finance 3 (1999) 1, pp. 5-39
Persistent link: https://www.econbiz.de/10001517406
Cover Image
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
Cover Image
A simple approach to the pricing of Bermudan swaptions in the multifactor LIBOR market model
Andersen, Leif - In: The journal of computational finance 3 (1999/2000) 2, pp. 5-32
Persistent link: https://www.econbiz.de/10001517417
Cover Image
A canonical optimal stopping problem for American options and its numerical solution
AitSahlia, Farid; Lai, Tze Leung - In: The journal of computational finance 3 (1999/2000) 2, pp. 33-52
Persistent link: https://www.econbiz.de/10001517419
Cover Image
Hopscotch methods for two-state financial models
Kurpiel, Adam; Roncalli, Thierry - In: The journal of computational finance 3 (1999/2000) 2, pp. 53-89
Persistent link: https://www.econbiz.de/10001517421
Cover Image
An application of natural resource evaluation using a simulation-dynamic programming approach
Castillo-Ramírez, Augusto - In: The journal of computational finance 3 (1999/2000) 2, pp. 91-107
Persistent link: https://www.econbiz.de/10001517422
Cover Image
The reduction of forward rate dependent volatility HJM models to Markovian form : pricing European bond options
Bhar, Ramaprasad (contributor) - In: The journal of computational finance 3 (2000) 3, pp. 47-72
Persistent link: https://www.econbiz.de/10001517426