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Stochastic finance : a numeraire approach
Večeř, Jan - 2011
Persistent link: https://www.econbiz.de/10008810532
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Valuing American options using fast recursive projections
Cosma, Antonio; Galluccio, Stefano; Scaillet, Olivier - 2012
This paper introduces a new numerical option pricing method by fast recursive projections. The projection step consists in representing the payoff and the state price density with a fast discrete transform based on a simple grid sampling. The recursive step consists in transmitting coefficients...
Persistent link: https://www.econbiz.de/10009563383
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Numerical methods in finance with C++
Capiński, Maciej; Zastawniak, Tomasz - 2012 - 1. publ.
Persistent link: https://www.econbiz.de/10009574803
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A few insights into cliquet options
Guillaume, Tristan - In: International journal of business 17 (2012) 2, pp. 163-180
Persistent link: https://www.econbiz.de/10009550120
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Valuing American options using fast recursive projections
Cosma, Antonio; Galluccio, Stefano; Scaillet, Olivier - 2012
This paper introduces a new numerical option pricing method by fast recursive projections. The projection step consists in representing the payoff and the state price density with a fast discrete transform based on a simple grid sampling. The recursive step consists in transmitting coefficients...
Persistent link: https://www.econbiz.de/10009558308
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Numerical methods in finance : Bordeaux, June 2010
Carmona, René (ed.); Del Moral, Pierre (ed.); Hu, Peng (ed.) - 2012
Persistent link: https://www.econbiz.de/10009532927
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Efficient high-order numerical methods for pricing of options
Hajipour, Mojtaba; Malek, Alaeddin - In: Computational economics 45 (2015) 1, pp. 31-47
Persistent link: https://www.econbiz.de/10010511343
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Financial derivative and energy market valuation : theory and implementation in Matlab
Mastro, Michael A. - 2013
Persistent link: https://www.econbiz.de/10009732367
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Mathematical modeling and numerical methods in finance : special volume
Bensoussan, Alain (contributor);  … - 2009
Persistent link: https://www.econbiz.de/10003788950
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The convergence of binomial trees for pricing the American put
Joshi, Mark S. (contributor) - 2008
Persistent link: https://www.econbiz.de/10003797784