The Journal of Computational Finance

Option valuation using the fast Fourier transform

Peter Carr, Dilip B. Madan · 1999 · 2.3K citations

Business, Economics, Finance +17

Valuation of mortgage-backed securities using Brownian bridges to reduce effective dimension

Russel E. Caflisch, William J. Morokoff, Art B. Owen · 1997 · 523 citations

Business, Economics, Finance +13

A stochastic mesh method for pricing high-dimensional American options

Mark Broadie, Paul Glasserman · 2004 · 378 citations

Business, Finance, Financial Economics +14

Option pricing by transform methods: extensions, unification and error control

Roger Lee · 2004 · 350 citations

Natural Sciences, Computational Engineering, Financial Econometrics +16

Simple and efficient simulation of the Heston stochastic volatility model

Leif B. G. Andersen · 2008 · 289 citations

Business, Finance, Financial Economics +16