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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
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Nonparametric estimation of an implied volatility surface
Bodurtha, James N.; Jermakyan, Martin - In: The journal of computational finance 2 (1999) 4, pp. 29-60
Persistent link: https://www.econbiz.de/10001517296
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Option valuation using the fast Fourier transform
Carr, Peter; Madan, Dilip B. - In: The journal of computational finance 2 (1999) 4, pp. 61-73
Persistent link: https://www.econbiz.de/10001517298
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An analytical approximation for the GARCH option pricing model
Duan, Jin-Chuan; Gauthier, Geneviève; Simonato, Jean-Guy - In: The journal of computational finance 2 (1999) 4, pp. 75-116
Persistent link: https://www.econbiz.de/10001517300
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Fast greeks by simulation in forward LIBOR models
Glasserman, Paul; Zhao, Xiaoliang - In: The journal of computational finance 3 (1999) 1, pp. 5-39
Persistent link: https://www.econbiz.de/10001517406
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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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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
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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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Hopscotch methods for two-state financial models
Kurpiel, Adam; Roncalli, Thierry - In: The journal of computational finance 3 (1999/2000) 2, pp. 53-89
Persistent link: https://www.econbiz.de/10001517421
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An application of natural resource evaluation using a simulation-dynamic programming approach
Castillo-Ramírez, Augusto - In: The journal of computational finance 3 (1999/2000) 2, pp. 91-107
Persistent link: https://www.econbiz.de/10001517422