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Stratified approximations for the pricing of options on average
Privault, Nicolas; Yu, Jiadong - In: The journal of computational finance 19 (2016) 4, pp. 95-113
Persistent link: https://www.econbiz.de/10011603193
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Monte Carlo pathwise sensitivities for barrier options
Gerstner, Thomas; Harrach, Bastian von; Roth, Daniel - In: The journal of computational finance 23 (2020) 5, pp. 75-99
Persistent link: https://www.econbiz.de/10012295868
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A novel partial integrodifferential equation-based framework for pricing interest rate derivatives under jump-extended short-rate models
Coonjobeharry, Radha Krishn; Tangman, Désiré Yannick; … - In: The journal of computational finance 18 (2014/2015) 4, pp. 129-161
Persistent link: https://www.econbiz.de/10011441273
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Pricing corporate bonds in an arbitraty jump-diffusion model based on an improved Brownian-bridge algorithm
Ruf, Johannes; Scherer, Matthias - In: The journal of computational finance 14 (2010/11) 3, pp. 127-145
Persistent link: https://www.econbiz.de/10008989928
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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
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A new integral representation of the early exercise boundary for American put options
Little, Thomas; Pant, Vijay; Hou, Chunli - In: The journal of computational finance 3 (2000) 3, pp. 73-96
Persistent link: https://www.econbiz.de/10001517427
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On the valuation of double-barrier options : computational aspects
Schröder, Michael - In: The journal of computational finance 3 (2000) 4, pp. 5-33
Persistent link: https://www.econbiz.de/10001517429
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Pricing discretely monitored barrier options
Sullivan, Michael A. - In: The journal of computational finance 3 (2000) 4, pp. 35-52
Persistent link: https://www.econbiz.de/10001517430
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Approximating American options and other financial contracts using barrier derivatives
Ingersoll, Jonathan E. - In: The journal of computational finance 2 (1998) 1, pp. 85-112
Persistent link: https://www.econbiz.de/10001447240
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Accurate approximations for European-style Asian options
Chalasani, Prasad; Jha, Somesh; Varikooty, Ashok - In: The journal of computational finance 1 (1998) 4, pp. 11-30
Persistent link: https://www.econbiz.de/10001366213