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Liang, Yijuan, Xu, Chenglong (2020) An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate. International Journal of Computer Mathematics, 97. 638-655 doi:10.1080/00207160.2019.1584671

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Reference TypeJournal (article/letter/editorial)
TitleAn efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate
JournalInternational Journal of Computer Mathematics
AuthorsLiang, YijuanAuthor
Xu, ChenglongAuthor
Year2020 (March 3)Volume97
PublisherInforma UK Limited
DOIdoi:10.1080/00207160.2019.1584671Search in ResearchGate
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Mindat Ref. ID6647570Long-form Identifiermindat:1:5:6647570:9
GUID0
Full ReferenceLiang, Yijuan, Xu, Chenglong (2020) An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate. International Journal of Computer Mathematics, 97. 638-655 doi:10.1080/00207160.2019.1584671
Plain TextLiang, Yijuan, Xu, Chenglong (2020) An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate. International Journal of Computer Mathematics, 97. 638-655 doi:10.1080/00207160.2019.1584671
In(n.d.) International Journal of Computer Mathematics Vol. 97. Informa UK Limited

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Sang, Jin Yan, Zhang, Na, Jian, Ming (2014) European Option Pricing under the Double Exponential Jump Model with Stochastic Interest Rate, Stochastic Volatility and Stochastic Intensity. Applied Mechanics and Materials, 631. 1325-1328 doi:10.4028/www.scientific.net/amm.631-632.1325
Jiang, Le, Xu, Chenglong (2023) A new options pricing method: semi-stochastic kernel regression method with constraints. International Journal of Computer Mathematics, 100 (8) 1809-1820 doi:10.1080/00207160.2023.2217302
He, Xin-Jiang, Zhu, Song-Ping (2018) A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate. Computers & Mathematics with Applications, 76. 2223-2234 doi:10.1016/j.camwa.2018.08.022
Lin, Sha, Zhu, Song-Ping (2020) Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor–corrector scheme. Computers & Mathematics with Applications, 79. 1393-1419 doi:10.1016/j.camwa.2019.09.003
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