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Quantization-based Bermudan option pricing in the foreign exchange world
Fayolle, Jean-Michel; Lemaire, Vincent; Montes, Thibaut; … - In: The journal of computational finance 25 (2021) 2, pp. 87-128
Persistent link: https://www.econbiz.de/10012938894
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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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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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A Tree implementation of a credit spread model for credit derivatives
Schönbucher, Philipp J. - In: The journal of computational finance 6 (2002) 2, pp. 1-38
Persistent link: https://www.econbiz.de/10001740884
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An exit-probability-based approach for the valuation of defaultable securities
Caramellino, Lucia; Iovino, Maria Gabriella - In: The journal of computational finance 6 (2002) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10001704737
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Recovering volatility from option prices by evolutionary optimization
Hamida, Sana Ben; Cont, Rama - In: The journal of computational finance 8 (2004/2005) 4, pp. 43-76
Persistent link: https://www.econbiz.de/10002990524
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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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Fast valuation of financial derivatives
Schoenmakers, John; Heemink, A. W. - In: The journal of computational finance 1 (1997) 1, pp. 47-62
Persistent link: https://www.econbiz.de/10001633173
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Efficient pricing of constant maturity swap spread options in a stochastic volatility LIBOR market model
Kiesel, Rüdiger; Lutz, Matthias - In: The journal of computational finance 14 (2010/11) 4, pp. 37-72
Persistent link: https://www.econbiz.de/10009241255
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Pricing energy derivatives by linear programming : tolling agreement contracts
Ryabchenko, Valeriy; Uryasev, Stan - In: The journal of computational finance 14 (2010/11) 3, pp. 73-126
Persistent link: https://www.econbiz.de/10008989930