Editor: Mark Broadie
Published: 22 Jul 2004
Papers in this issue
by Grégory Rapuch, Thierry Roncalli
by Mark Broadie and Paul Glasserman
by Vadim Linetsky
by Athanassios N. Avramidis, Heinrich Matzinger
Welcome to Volume 7, Issue 4 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘A stochastic mesh method for pricing highdimensional American options' by Mark Broadie and Paul Glasserman from Columbia University; ‘Convergence of the stochastic mesh for pricing Bermudan options' by Athanassios N. Avramidis from Université de Montréal and Heinrich Matzinger from the University of Bielefeld; ‘Computing hitting time densities for CIR and OU diffusions: applications to meanreverting models' by Vadim Linetsky from Northwestern University; and ‘Technical note: Dependence and two-asset options pricing' by Grégory Rapuch from CREST & EHESS and Thierry Roncalli from Crédit Agricole SA, France.
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