Journal: Int. J. Comput. Math.

Volume 86, Issue 6

939 -- 0Abdul-Qayyum M. Khaliq, Qin Sheng, David A. Voss. Editorial
955 -- 963Ken Jackson, Wanhe Zhang. Valuation of forward-starting CDOs
964 -- 981P. Eloe, R. H. Liu, J. Y. Sun. Double barrier option under regime-switching exponential mean-reverting process
982 -- 991Pascal Heider. A second-order Nyström-type discretization for the early-exercise curve of American put options
992 -- 1008B. Hofmann, R. Krämer, M. Richter. Some aspects of parameter identification in a mean reverting financial asset model with time-dependent volatility
1009 -- 1023Wenyuan Liao, Abdul Q. M. Khaliq. High-order compact scheme for solving nonlinear Black-Scholes equation with transaction cost
1040 -- 1053M. C. Mariani, J. D. Libbin, K. J. Martin, E. Ncheuguim, M. P. Beccar Varela, V. Kumar Mani, C. A. Erickson, Delia J. Valles-Rosales. Levy models and long correlations applied to the study of exchange traded funds
1054 -- 1067M. Yousuf. A fourth-order smoothing scheme for pricing barrier options under stochastic volatility
1068 -- 1081Jungmin Choi, Max Gunzburger. Option pricing in the presence of random arbitrage return
1082 -- 1092R. H. Liu. Analytical approximation method of option pricing under geometric mean-reverting process