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isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"Economic modelling"
~isPartOf:"International journal of financial engineering"
~subject:"Monte Carlo methods"
~subject:"Stochastic process"
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Search: subject_exact:"Monte Carlo method"
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Monte Carlo methods
Stochastic process
Monte Carlo simulation
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Monte-Carlo-Simulation
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Option pricing theory
36
Optionspreistheorie
36
Theorie
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Kouritzin, Michael A.
2
Oosterlee, Cornelis W.
2
Artavia, Marco
1
Benedetti, Giuseppe
1
Benth, Fred Espen
1
Bernard, Carole
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Gao, Xin
1
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1
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International journal of theoretical and applied finance
Economic modelling
International journal of financial engineering
Discussion paper / Tinbergen Institute
16
The journal of computational finance
15
Computational economics
14
Journal of econometrics
14
Quantitative finance
14
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
13
Econometric reviews
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European journal of operational research : EJOR
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Journal of risk and financial management : JRFM
10
Working paper / Department of Econometrics and Business Statistics, Monash University
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Finance research letters
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Mathematics of operations research
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Risks : open access journal
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SFB 649 discussion paper
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Applied mathematical finance
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CAMA working paper series
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Computers & operations research : and their applications to problems of world concern ; an international journal
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Discussion paper / Center for Economic Research, Tilburg University
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GRIPS discussion papers
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INFORMS journal on computing : JOC
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Insurance / Mathematics & economics
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International journal of forecasting
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Journal of economic dynamics & control
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of mathematical finance
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The North American journal of economics and finance : a journal of financial economics studies
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Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
3
Asia-Pacific financial markets
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1
Sequential Bayesian analysis for semiparametric stochastic volatility model with applications
Wang, Nianling
;
Lou, Zhusheng
- In:
Economic modelling
123
(
2023
),
pp. 1-10
Persistent link: https://www.econbiz.de/10014462582
Saved in:
2
Investment certificates pricing using a Quasi-Monte Carlo framework : case-studies based on the Italian market
Bottasso, Anna
;
Fusaro, Michelangelo
;
Giribone, Pier …
- In:
International journal of financial engineering
10
(
2023
)
3
,
pp. 1-39
Persistent link: https://www.econbiz.de/10014444661
Saved in:
3
Branching particle pricers with heston examples
Kouritzin, Michael A.
;
MacKay, Anne
- In:
International journal of theoretical and applied finance
23
(
2020
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012270887
Saved in:
4
Volatility and liquidity on high-frequency electricity futures markets : empirical analysis and stochastic modeling
Kremer, Marcel
;
Benth, Fred Espen
;
Felten, Björn
; …
- In:
International journal of theoretical and applied finance
23
(
2020
)
4
,
pp. 1-38
Persistent link: https://www.econbiz.de/10012271026
Saved in:
5
Sinh-acceleration: efficient evaluation of probability distributions, option pricing, and Monte Carlo simulations
Bojarčenko, Svetlana I.
;
Levendorskij, Sergej Z.
- In:
International journal of theoretical and applied finance
22
(
2019
)
3
,
pp. 1-49
Persistent link: https://www.econbiz.de/10012019776
Saved in:
6
American option pricing with regression : convergence analysis
Liu, Chen
;
Schellhorn, Henry
;
Peng, Qidi
- In:
International journal of theoretical and applied finance
22
(
2019
)
8
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012183261
Saved in:
7
Numerical stability of a hybrid method for pricing options
Briani, Maya
;
Caramellino, Lucia
;
Terenzi, Giulia
; …
- In:
International journal of theoretical and applied finance
22
(
2019
)
7
,
pp. 1-46
Persistent link: https://www.econbiz.de/10012153319
Saved in:
8
Explicit Heston solutions and stochastic approximation for path-dependent option pricing
Kouritzin, Michael A.
- In:
International journal of theoretical and applied finance
21
(
2018
)
1
,
pp. 1-45
Persistent link: https://www.econbiz.de/10011846484
Saved in:
9
Finite element based Monte Carlo simulation of options on Lévy driven assets
Karlsson, Patrik
- In:
International journal of financial engineering
5
(
2018
)
1
,
pp. 1-23
Persistent link: https://www.econbiz.de/10011922968
Saved in:
10
Pricing multi-asset American option under Heston stochastic volatility model
Samimi, Oldouz
;
Mehrdoust, Farshid
- In:
International journal of financial engineering
5
(
2018
)
3
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011923057
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