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isPartOf:"Applied mathematical finance"
~isPartOf:"International journal of financial engineering"
~isPartOf:"Operations research"
~isPartOf:"The journal of computational finance"
~subject:"Markov chain"
~subject:"Stochastic process"
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Search: subject_exact:"Optionsgeschäft"
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Markov chain
Stochastic process
Option trading
155
Optionsgeschäft
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Option pricing theory
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Optionspreistheorie
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Volatility
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Kirkby, J. Lars
4
Cai, Ning
2
Escobar, Marcos
2
Funahashi, Hideharu
2
Mehrdoust, Farshid
2
Zagst, Rudi
2
Aoudia, Djilali Ait
1
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Applied mathematical finance
International journal of financial engineering
Operations research
The journal of computational finance
International journal of theoretical and applied finance
31
Quantitative finance
23
The journal of futures markets
15
Review of derivatives research
12
Computational economics
11
Finance and stochastics
11
Journal of economic dynamics & control
11
European journal of operational research : EJOR
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Finance research letters
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The North American journal of economics and finance : a journal of financial economics studies
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Annals of finance
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Risks : open access journal
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The European journal of finance
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Advanced series on statistical science & applied probability
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Decisions in economics and finance : DEF ; a journal of applied mathematics
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International review of economics & finance : IREF
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Journal of financial economics
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Mathematical finance : an international journal of mathematics, statistics and financial economics
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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1
Exchange option pricing under variance gamma-like models
Gardini, Matteo
;
Sabino, Piergiacomo
- In:
Applied mathematical finance
29
(
2022
)
6
,
pp. 494-521
Persistent link: https://www.econbiz.de/10014390283
Saved in:
2
Pricing barrier options with deep backward stochastic differential equation methods
Ganesan, Narayan
;
Yu, Yajie
;
Hientzsch, Bernhard
- In:
The journal of computational finance
25
(
2022
)
4
,
pp. 1-25
Persistent link: https://www.econbiz.de/10014546284
Saved in:
3
Risk arbitrage opportunities for stock index options
Post, Thierry
;
Rodríguez Longarela, Iñaki
- In:
Operations research
69
(
2021
)
1
,
pp. 100-113
Persistent link: https://www.econbiz.de/10012523428
Saved in:
4
The CTMC–Heston model : calibration and exotic option pricing with SWIFT
Leitao, Álvaro
;
Kirkby, J. Lars
;
Ortiz-Garcia, Luis
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 71-114
Persistent link: https://www.econbiz.de/10012544164
Saved in:
5
Calibration of local-stochastic and path-dependent volatility models to vanilla and no-touch options
Bain, Alan
;
Mariapragassam, Matthieu
;
Reisinger, Christoph
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 115-161
Persistent link: https://www.econbiz.de/10012544167
Saved in:
6
Options portfolio selection
Guasoni, Paolo
;
Mayerhofer, Eberhard
- In:
Operations research
68
(
2020
)
3
,
pp. 733-740
Persistent link: https://www.econbiz.de/10012234441
Saved in:
7
Regime classification and stock loan valuation
Cai, Ning
;
Zhang, Wei
- In:
Operations research
68
(
2020
)
4
,
pp. 965-983
Persistent link: https://www.econbiz.de/10012288340
Saved in:
8
High-order approximations to call option prices in the Heston model
Gulisashvili, Archil
;
Lagunas-Merino, Marc
;
Merino, Raúl
; …
- In:
The journal of computational finance
24
(
2020
)
1
,
pp. 83-102
Persistent link: https://www.econbiz.de/10012421960
Saved in:
9
Pricing multiple barrier derivatives under stochastic volatility
Escobar, Marcos
;
Panz, Sven
;
Zagst, Rudi
- In:
The journal of computational finance
24
(
2020
)
2
,
pp. 77-101
Persistent link: https://www.econbiz.de/10012543622
Saved in:
10
Complexity reduction for calibration to American options
Burkovska, Olena
;
Glau, Kathrin
;
Mahlstedt, Mirco
; …
- In:
The journal of computational finance
23
(
2019
)
1
,
pp. 25-60
Persistent link: https://www.econbiz.de/10012064981
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