Journal of Computational Finance
ISSN:
1460-1559 (print)
1755-2850 (online)
Editor-in-chief: Christoph Reisinger
Volume 13, Number 4 (June 2010)
Editor's Letter
Welcome to Volume 13, Issue 4 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘Numerical techniques for the valuation of basket options and their Greeks' by Corinna Hager and Stefan Hüeber from Universität Stuttgart and Barbara I. Wohlmuth from the Technische Universität München; ‘Unbiased Monte Carlo valuation of lookback, swing and barrier options with continuous monitoring under variance gamma models' by Martin Becker from Saarland University; ‘Calibrating volatility function bounds for an uncertain volatility model' by Thomas F. Coleman and Yuying Li from the University of Waterloo and Changhong He from JP Morgan Securities Inc.; and ‘Pricing and hedging American-style options: a simple simulation-based approach' by Yang Wang and Russell Caflisch from UCLA.
Papers in this issue
Numerical techniques for the valuation of basket options and their Greeks
Unbiased Monte Carlo valuation of lookback, swing and barrier options with continuous monitoring under variance gamma models
Pricing and hedging American-style options: a simple simulation-based approach
Calibrating volatility function bounds for an uncertain volatility model
