Journal of Computational Finance
ISSN:
1460-1559 (print)
1755-2850 (online)
Editor-in-chief: Christoph Reisinger
Volume 4, Number 4 (Summer 2001)
Editor's Letter
Welcome to Volume 4, Issue 4 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘A non-exploding bushy tree technique and its application to the multifactor interest rate market model' by Y. Tang from Goldman & Sachs and J. Lange from Longitude, Inc.; ‘Performance of Dupire's implied diffusion approach under sparse and incomplete data' by Michael L. McIntyre from Carleton University; ‘Exercise boundaries and efficient approximations to American option prices and hedge parameters' by Farid AitSahlia from Financial Engines and Leung Tze Lai from Stanford University; and ‘A new PDE approach for pricing arithmetic average Asian options' by Jan Vecer from Columbia University.
Papers in this issue
Performance of Dupire's implied diffusion approach under sparse and incomplete data
A new PDE approach for pricing arithmetic average Asian options
Exercise boundaries and efficient approximations to American option prices and hedge parameters
A nonexploding bushy tree technique and its application to the multifactor interest rate market model
