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Option pricing with quadratic volatility : a revisit

Andersen, Leif B. G. - In: Finance and stochastics 15 (2011) 2, pp. 191-219

Persistent link: https://www.econbiz.de/10009159127

Volatility skews and extensions of the libor market model

Andersen, Leif B. G.; Andreasen, Jesper Fredborg - In: Applied mathematical finance 7 (2000) 1, pp. 1-32

Persistent link: https://www.econbiz.de/10001546115

Factor dependence of Bermudan swaptions : factor or fiction?

Andersen, Leif B. G.; Andreasen, Jesper Fredborg - In: Journal of financial economics 62 (2001) 1, pp. 3-37

Persistent link: https://www.econbiz.de/10001608806

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

Spike and hike modeling for interest rate derivatives : with an application to SOFR caplets

Andersen, Leif B. G.; Bang, Dominique - In: Quantitative finance 24 (2024) 8, pp. 1017-1033

Persistent link: https://www.econbiz.de/10015196868

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

Asymptotics for exponential Lévy processes and their volatility smile : survey and new results

Andersen, Leif B. G.; Lipton, Alexander - In: International journal of theoretical and applied finance 16 (2013) 1, pp. 1-98

Persistent link: https://www.econbiz.de/10009725096

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

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

High Performance American Option Pricing

Andersen, Leif B. G. - 2020

We develop a new high-performance spectral collocation method for the computation of American put and call option prices. The proposed algorithm involves a carefully posed Jacobi-Newton iteration for the optimal exercise boundary, aided by Gauss-Legendre quadrature and Chebyshev polynomial...

Persistent link: https://www.econbiz.de/10012856384