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isPartOf:"International journal of theoretical and applied finance"
~subject:"Experiment"
~subject:"Monte Carlo methods"
~subject:"Stochastic process"
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Experiment
Monte Carlo methods
Stochastic process
Monte Carlo simulation
42
Monte-Carlo-Simulation
42
Option pricing theory
28
Optionspreistheorie
28
Stochastischer Prozess
12
Volatility
11
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9
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Kouritzin, Michael A.
2
Oosterlee, Cornelis W.
2
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1
Benth, Fred Espen
1
Bernard, Carole
1
Bojarčenko, Svetlana I.
1
Briani, Maya
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Campolieti, Giuseppe
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1
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International journal of theoretical and applied finance
Discussion paper / Tinbergen Institute
17
Quantitative finance
17
Computational economics
15
Journal of econometrics
15
The journal of computational finance
14
Econometric reviews
13
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
13
Energy economics
12
European journal of operational research : EJOR
12
Journal of risk and financial management : JRFM
11
Working paper / Department of Econometrics and Business Statistics, Monash University
10
Finance and stochastics
8
Finance research letters
8
Mathematics of operations research
8
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
7
Risks : open access journal
7
Journal of empirical finance
6
Working paper
6
CEMMAP working papers / Centre for Microdata Methods and Practice
5
Economic modelling
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
5
International journal of financial engineering
5
SFB 649 discussion paper
5
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
5
Applied economics
4
Applied mathematical finance
4
CAMA working paper series
4
Computers & operations research : and their applications to problems of world concern ; an international journal
4
Discussion paper / Center for Economic Research, Tilburg University
4
Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics
4
GRIPS discussion papers
4
INFORMS journal on computing : JOC
4
Insurance / Mathematics & economics
4
International journal of forecasting
4
Journal of economic dynamics & control
4
Journal of financial econometrics : official journal of the Society for Financial Econometrics
4
Journal of mathematical finance
4
The North American journal of economics and finance : a journal of financial economics studies
4
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
3
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ECONIS (ZBW)
15
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1
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:
2
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:
3
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:
4
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:
5
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:
6
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:
7
On the calculation of risk measures using least-squares Monte Carlo
Benedetti, Giuseppe
- In:
International journal of theoretical and applied finance
20
(
2017
)
3
,
pp. 1-14
Persistent link: https://www.econbiz.de/10011686897
Saved in:
8
Computation of Greeks for jump-diffusion models
Eddahbi, M'hamed
;
Cherif, Sidi Mohamed Lalaoui Ben
; …
- In:
International journal of theoretical and applied finance
18
(
2015
)
6
,
pp. 1-30
Persistent link: https://www.econbiz.de/10011403918
Saved in:
9
The Heston stochastic-local volatility model : efficient Monte Carlo simulation
Stoep, Anthonie W. van der
;
Grzelak, Lech A.
; …
- In:
International journal of theoretical and applied finance
17
(
2014
)
7
,
pp. 1-30
Persistent link: https://www.econbiz.de/10010498851
Saved in:
10
Nearly exact option price simulation using characteristic functions
Bernard, Carole
;
Cui, Zhenyu
;
McLeish, Don L.
- In:
International journal of theoretical and applied finance
15
(
2012
)
7
,
pp. 1-29
Persistent link: https://www.econbiz.de/10009685897
Saved in:
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