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Static replication of barrier options : some general results
Andersen, Leif B. G.; Andreasen, Jesper Fredborg; … - In: The journal of computational finance 5 (2002) 4, pp. 1-25
Persistent link: https://www.econbiz.de/10001695829
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Simple and efficient simulation of the Heston stochastic volatility model
Andersen, Leif B. G. - In: The journal of computational finance 11 (2007/08) 3, pp. 1-42
Persistent link: https://www.econbiz.de/10003699934
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The passport option
Andersen, Leif B. G.; Andreasen, Jesper Fredborg; … - In: The journal of computational finance 1 (1998) 3, pp. 15-36
Persistent link: https://www.econbiz.de/10001632699
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Calibration and implementation of convertible bond models
Andersen, Leif B. G.; Buffum, Dan - In: The journal of computational finance 7 (2003/2004) 2, pp. 1-34
Persistent link: https://www.econbiz.de/10001908028
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The equity option volatility smile : an implicit finite-difference approach
Andersen, Leif B. G.; Brotherton-Ratcliffe, Rupert - In: The journal of computational finance 1 (1997/1998) 2, pp. 5-37
Persistent link: https://www.econbiz.de/10001633250
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Extended Libor market models with stochastic volatility
Andersen, Leif B. G.; Brotherton-Ratcliffe, Rupert - In: The journal of computational finance 9 (2005) 1, pp. 1-40
Persistent link: https://www.econbiz.de/10003191097
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High-performance American option pricing
Andersen, Leif B. G.; Lake, Mark; Offengenden, Dimitri - In: The journal of computational finance 20 (2016) 1, pp. 39-87
Persistent link: https://www.econbiz.de/10011639531
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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