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Dual quantization for random walks with application to credit derivatives
Pagès, Gilles; Wilbertz, Benedikt - In: The journal of computational finance 16 (2012/13) 2, pp. 33-60
Persistent link: https://www.econbiz.de/10009702578
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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
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The pricing of floating rate instruments
Cathcart, Lara - In: The journal of computational finance 1 (1998) 4, pp. 31-51
Persistent link: https://www.econbiz.de/10001366221
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A parity result for American options
McDonald, Robert L.; Schroder, Mark D. - In: The journal of computational finance 1 (1998) 3, pp. 5-13
Persistent link: https://www.econbiz.de/10001632663
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Valuing moving barrier options
Rogers, Leonard C. G.; Zane, O. - In: The journal of computational finance 1 (1997) 1, pp. 5-11
Persistent link: https://www.econbiz.de/10001632717
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Finite sample comparison of alternative estimators of Itô diffusion processes : a Monte Carlo study
Jiang, George J.; Knight, John L. - In: The journal of computational finance 2 (1999) 3, pp. 5-38
Persistent link: https://www.econbiz.de/10001638577
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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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American options and the LSM alorithm : quasi-random sequences and Brownian bridges
Chaudhary, Suneal K. - In: The journal of computational finance 8 (2004/2005) 4, pp. 101-115
Persistent link: https://www.econbiz.de/10002990534
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Computing hitting time densities for CIR and OU diffusions : applications to mean-reverting models
Linetsky, Vadim - In: The journal of computational finance 7 (2004) 4, pp. 1-22
Persistent link: https://www.econbiz.de/10002126756
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Non-parametric calibration of jump-diffusion option pricing models
Cont, Rama; Tankov, Peter - In: The journal of computational finance 7 (2004) 3, pp. 1-49
Persistent link: https://www.econbiz.de/10002060727