The waterline tree for separable local-volatility models-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

The waterline tree for separable local-volatility models

Published:2017-02 Issue:4 Volume:73 Page:537-559
ISSN:0898-1221
Container-title:Computers & Mathematics with Applications
language:en
Short-container-title:Computers & Mathematics with Applications

Author:

Lok U Hou^ORCID,Lyuu Yuh-Dauh

Funder

Ministry of Science and Technology, Taiwan

Publisher

Elsevier BV

Subject

Computational Mathematics,Computational Theory and Mathematics,Modelling and Simulation

Reference56 articles.

1. The pricing of options and corporate liabilities;Black;J. Polit. Econ.,1973

2. Implied binomial tree;Rubinstein;J. Finance,1994

3. Volatility and Correlation;Rebonato,2004

4. Financial Engineering and Computation: Principles, Mathematics, Algorithms;Lyuu,2002

5. Options, Futures and Other Derivatives;Hull,2012

Cited by 4 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. An alternative tree method for calibration of the local volatility;Journal of Industrial & Management Optimization;2022

2. A Valid and Efficient Trinomial Tree for General Local-Volatility Models;Computational Economics;2021-08-06

3. Entropy binomial tree method and calibration for the volatility smile;Inverse Problems in Science and Engineering;2020-04-23

4. Efficient trinomial trees for local‐volatility models in pricing double‐barrier options;Journal of Futures Markets;2019-12-03

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP