Editor: Domingo Tavella
Published: 01 Aug 2002
Papers in this issue
by J. P. Heritage
by Bjørn Fredrik Nielsen, Ola Skavhaug and Aslak Tveito
by Yi Su and Michael C. Fu
by Leif B. G. Andersen, Jesper Andreasen, David Eliezer
Welcome to Volume 5, Issue 4 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘Static replication of barrier options: some general results' by Leif B. G. Andersen and David Eliezer from the Banc of America Securities and Jesper Andreasen from Nordea Markets; ‘Optimal importance sampling in securities pricing' by Yi Su and Michael C. Fu from the University of Maryland; ‘Pricing moving barrier options' by J. P. Heritage from the University of Bath; ‘Penalty and front-fixing methods for the numerical solution of American option problems' by Fredrik Bjørn Nielsen, Ola Skavhaug and Aslak Tveito from the Simula Research Laboratory.
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