Editor: Domingo Tavella
Published: 01 Apr 1998
Papers in this issue
by Robert L. McDonald, Mark D. Schroder
by Kristian R. Miltersen
by Jakob Sidenius
by Leif Andersen, Jesper Andreasen, and Rupert Brotherton-Ratcliffe
Welcome to Volume 1, Issue 3 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘A parity result for American options' by Robert L. McDonald from Northwestern University and Mark D. Schroder from the State University of New York; ‘The passport option' by Leif Andersen, Jesper Andreasen and Rupert Brotherton-Ratcliffe from General Re Financial Products Corp.; ‘Pricing of interest rate contingent claims: implementing a simulation approach' by Kristian R. Miltersen; and ‘Double barrier options: valuation by path counting' by Jakob Sidenius from Skandinaviska Enskilda Bank.
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