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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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Hedging of options in the presence of jump clustering
Hainaut, Donatien; Moraux, Franck - In: The journal of computational finance 22 (2018) 3, pp. 1-35
Persistent link: https://www.econbiz.de/10011988188
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Portfolio optimization for American options
Zeng, Yaxiong; Klabjan, Diego - In: The journal of computational finance 22 (2018) 3, pp. 37-64
Persistent link: https://www.econbiz.de/10011988191
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Polynomial upper and lower bounds for financial derivative price functions under regime-switching
Bhim, Louis; Kawai, Reiichiro - In: The journal of computational finance 22 (2018) 2, pp. 35-71
Persistent link: https://www.econbiz.de/10011976660
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The forward smile in local-stochastic volatility models
Mazzon, Andrea; Pascucci, Andrea - In: The journal of computational finance 20 (2016/2017) 3, pp. 1-29
Persistent link: https://www.econbiz.de/10011689675
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Efficient estimation of sensitivities for counterparty credit risk with the finite difference Monte Carlo method
Graaf, Cornelis S. L. de; Kandhai, Drona; Sloot, Peter M. A. - In: The journal of computational finance 21 (2017) 1, pp. 83-113
Persistent link: https://www.econbiz.de/10011691615
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Accelerated trinomial trees applied to American basket options and American options under the Bates model
O'Sullivan, Conall; O'Sullivan, Stephen - In: The journal of computational finance 19 (2016) 4, pp. 29-72
Persistent link: https://www.econbiz.de/10011603176
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Valuation of options on discretely sampled variance : a general analytic approximation
Drimus, Gabriel; Farkas, Walter; Gourier, Elise - In: The journal of computational finance 20 (2016) 2, pp. 39-66
Persistent link: https://www.econbiz.de/10011656703
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Pricing American call options using the Black-Scholes equation with a nonlinear volatility function
Grossinho, Maria do Rosário; Kord, Yaser; Ševčovič, … - In: The journal of computational finance 23 (2020) 4, pp. 93-113
Persistent link: https://www.econbiz.de/10012212488
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The Chebyshev method for the implied volatility
Glau, Kathrin; Herold, Paul; Madan, Dilip B.; Pötz, … - In: The journal of computational finance 23 (2019) 3, pp. 1-31
Persistent link: https://www.econbiz.de/10012162365