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Calibration and hedging under jump diffusion
He, Changhong; Kennedy, J. S.; Coleman, T. F.; Forsyth, … - In: Review of derivatives research 9 (2006) 1, pp. 1-35
Persistent link: https://www.econbiz.de/10003441126
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An object-oriented framework for valuing shout options on high-performance computer architectures
Windcliff, H.; Vetzal, Kenneth R.; Forsyth, Peter; Verma, A. - In: Journal of economic dynamics & control 27 (2003) 6, pp. 1133-1161
Persistent link: https://www.econbiz.de/10001734585
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Pricing methods and hedging strategies for volatility derivatives
Windcliff, H.; Forsyth, Peter; Vetzal, Kenneth R. - In: Journal of banking & finance 30 (2006) 2, pp. 409-431
Persistent link: https://www.econbiz.de/10003291280
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PDE methods for pricing barrier options
Zvan, R.; Vetzal, Kenneth R.; Forsyth, Peter - In: Journal of economic dynamics & control 24 (2000) 11/12, pp. 1563-1590
Persistent link: https://www.econbiz.de/10001508750
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Discrete Asian barrier options
Zvan, R.; Forsyth, Peter; Vetzal, Kenneth R. - In: The journal of computational finance 3 (1999) 1, pp. 41-67
Persistent link: https://www.econbiz.de/10001517411
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A finite element approach to the pricing of discrete lookbacks with stochasic volatility
Forsyth, Peter; Vetzal, Kenneth R.; Zvan, R. - In: Applied mathematical finance 6 (1999) 2, pp. 87-106
Persistent link: https://www.econbiz.de/10001449242
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Negative coefficients in two-factor option pricing models
Zvan, R.; Forsyth, Peter; Vetzal, Kenneth R. - In: The journal of computational finance 7 (2003) 1, pp. 37-73
Persistent link: https://www.econbiz.de/10001805445
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Convergence remedies for non-smooth payoffs in option pricing
Pooley, David M.; Vetzal, Kenneth R.; Forsyth, Peter - In: The journal of computational finance 6 (2003) 4, pp. 25-40
Persistent link: https://www.econbiz.de/10001782172
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Convergence of numerical methods for valuing path-dependent options using interpolation
Forsyth, Peter; Vetzal, Kenneth R.; Zvan, R. - In: Review of derivatives research 5 (2002) 3, pp. 273-314
Persistent link: https://www.econbiz.de/10001743284
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Robust numerical methods for PDE models of Asian options
Zvan, R.; Forsyth, Peter; Vetzal, Kenneth R. - In: The journal of computational finance 1 (1997/1998) 2, pp. 39-78
Persistent link: https://www.econbiz.de/10001633255