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Trinomial or binomial : accelerating American put option price on trees
Chan, Jiun Hong; Joshi, Mark S.; Tang, Robert; Chao Yang - In: The journal of futures markets 29 (2009) 9, pp. 826-839
Persistent link: https://www.econbiz.de/10003900848
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Fast and accurate pricing and hedging of long-dated CMS spread options
Joshi, Mark S.; Chao Yang - In: International journal of theoretical and applied finance 13 (2010) 6, pp. 839-865
Persistent link: https://www.econbiz.de/10008905112
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Fast delta computations in the swap-rate market model
Joshi, Mark S.; Chao Yang - In: Journal of economic dynamics & control 35 (2011) 5, pp. 764-775
Persistent link: https://www.econbiz.de/10009240554