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Sparse wavelet methods for option pricing under stochastic volatility
Hilber, Norbert; Matache, Ana-Maria; Schwab, Christoph - In: The journal of computational finance 8 (2004/2005) 4, pp. 1-42
Persistent link: https://www.econbiz.de/10002990514
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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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Calibrating volatility function bounds for an uncertain volatility model
Coleman, Thomas F.; He, Changhong; Li, Yuying - In: The journal of computational finance 13 (2009/10) 4, pp. 63-93
Persistent link: https://www.econbiz.de/10003996075
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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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The uncertain volatility model : a Monte Carlo apporach
Guyon, Julien; Henry-Labordère, Pierre - In: The journal of computational finance 14 (2010/11) 3, pp. 37-71
Persistent link: https://www.econbiz.de/10008989934
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The evaluation of American compound option prices under stochastic volatility and stochastic interest rates
Chiarella, Carl; Kang, Boda - In: The journal of computational finance 17 (2013) 1, pp. 71-92
Persistent link: https://www.econbiz.de/10010337816
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An efficient pricing algorithm for swing options based on Fourier cosine expansions
Zhang, B.; Oosterlee, C. W. - In: The journal of computational finance 16 (2012/13) 4, pp. 3-34
Persistent link: https://www.econbiz.de/10009776264
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Fast and accurate long-stepping simulation of the Heston stochastic volatility model
Chan, Jiun Hong; Joshi, Mark S. - In: The journal of computational finance 16 (2012/13) 3, pp. 47-97
Persistent link: https://www.econbiz.de/10009740107
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Pricing options on realized variance in the Heston model with jumps in returns and volatility : part II: an approximite distribution of discrete variance
Sepp, Artur - In: The journal of computational finance 16 (2012/13) 2, pp. 3-32
Persistent link: https://www.econbiz.de/10009702584