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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

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

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

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

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

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

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

Continuous Time Mean-Variance Optimal Portfolio Allocation Under Jump Diffusion : An Numerical Impulse Control Approach

Dang, Duy-Minh - 2013

We present efficient partial differential equation (PDE) methods for continuous time mean-variance portfolio allocation problems when the underlying risky asset follows a jump-diffusion. The standard formulation of mean-variance optimal portfolio allocation problems, where the total wealth is...

Persistent link: https://www.econbiz.de/10013084034

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

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