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isPartOf:"International journal of theoretical and applied finance"
~subject:"Markov chain"
~subject:"Monte Carlo methods"
~subject:"Stochastic process"
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Markov chain
Monte Carlo methods
Stochastic process
Monte Carlo simulation
42
Monte-Carlo-Simulation
42
Option pricing theory
28
Optionspreistheorie
28
Stochastischer Prozess
12
Volatility
11
Volatilität
11
Theorie
9
Theory
9
Derivat
7
Derivative
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Black-Scholes model
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Optionsgeschäft
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Kouritzin, Michael A.
2
Oosterlee, Cornelis W.
2
Benedetti, Giuseppe
1
Benth, Fred Espen
1
Bernard, Carole
1
Bojarčenko, Svetlana I.
1
Briani, Maya
1
Campolieti, Giuseppe
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Caramellino, Lucia
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Centanni, Silvia
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1
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1
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1
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1
Felten, Björn
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1
Jourdain, Benjamin
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1
Lapeyre, Bernard
1
Levendorskij, Sergej Z.
1
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1
MacKay, Anne
1
Makarov, Roman
1
McLeish, Don L.
1
Minozzo, Marco
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International journal of theoretical and applied finance
Journal of econometrics
51
Discussion paper / Tinbergen Institute
39
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
26
Working paper / Department of Econometrics and Business Statistics, Monash University
21
European journal of operational research : EJOR
20
Quantitative finance
20
Econometric reviews
19
Computational economics
18
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
16
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
15
The journal of computational finance
15
Série des documents de travail / Centre de Recherche en Économie et Statistique
14
Energy economics
13
Risks : open access journal
13
International journal of forecasting
11
Journal of risk and financial management : JRFM
11
Journal of the American Statistical Association : JASA
11
Working paper
11
Economics letters
10
Finance research letters
9
Journal of forecasting
9
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
8
Finance and stochastics
8
Insurance / Mathematics & economics
8
Journal of economic dynamics & control
8
Journal of empirical finance
8
Mathematics of operations research
8
Applied economics
7
CAMA working paper series
7
CEMMAP working papers / Centre for Microdata Methods and Practice
7
Econometric Institute research papers
7
Economic modelling
7
Journal of applied econometrics
7
GRIPS discussion papers
6
INFORMS journal on computing : JOC
6
Journal of financial econometrics : official journal of the Society for Financial Econometrics
6
Management science : journal of the Institute for Operations Research and the Management Sciences
6
SFB 649 discussion paper
6
Sveriges Riksbank working paper series
6
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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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