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isPartOf:"International journal of theoretical and applied finance"
~subject:"Monte Carlo methods"
~subject:"Monte Carlo"
~subject:"Stochastic process"
~type:"article"
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Monte Carlo methods
Monte Carlo
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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Oosterlee, Cornelis W.
3
Grzelak, Lech A.
2
Kouritzin, Michael A.
2
Stoep, Anthonie W. van der
2
Aistleitner, Christoph
1
Benedetti, Giuseppe
1
Benth, Fred Espen
1
Bernard, Carole
1
Bojarčenko, Svetlana I.
1
Briani, Maya
1
Campolieti, Giuseppe
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Centanni, Silvia
1
Chen, Bin
1
Cherif, Sidi Mohamed Lalaoui Ben
1
Cui, Zhenyu
1
Eddahbi, M'hamed
1
Felten, Björn
1
Hofer, Markus
1
Jourdain, Benjamin
1
Kiesel, Rüdiger
1
Kremer, Marcel
1
Lapeyre, Bernard
1
Levendorskij, Sergej Z.
1
Liu, Chen
1
MacKay, Anne
1
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1
McLeish, Don L.
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1
Takahashi, Akihiko
1
Takehara, Kohta
1
Terenzi, Giulia
1
Tichy, Robert F.
1
Weide, Hans van der
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International journal of theoretical and applied finance
The journal of computational finance
22
Computational economics
20
Quantitative finance
19
Journal of econometrics
17
Econometric reviews
14
Journal of risk and financial management : JRFM
14
European journal of operational research : EJOR
13
Journal of economic dynamics & control
12
Energy economics
11
Finance and stochastics
9
Finance research letters
9
Mathematics of operations research
9
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
9
Applied economics
8
Economics letters
8
International journal of forecasting
8
Risks : open access journal
8
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
7
Econometrics : open access journal
6
Economic modelling
6
INFORMS journal on computing : JOC
6
International journal of financial engineering
6
Journal of empirical finance
6
Applied mathematical finance
5
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
5
Insurance / Mathematics & economics
5
Journal of time series econometrics
5
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
4
Applied economics letters
4
Computers & operations research : and their applications to problems of world concern ; an international journal
4
Econometric theory
4
Journal of financial econometrics : official journal of the Society for Financial Econometrics
4
Journal of mathematical finance
4
Operations research
4
The North American journal of economics and finance : a journal of financial economics studies
4
Transportation science : a journal of the Institute for Operations Research and the Management Sciences
4
Asia-Pacific financial markets
3
Computational management science
3
IMA journal of management mathematics
3
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ECONIS (ZBW)
18
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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
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:
5
Conditional Monte Carlo scheme for stable greeks of worst-of autocallable notes
Rakhmonov, Firuz
;
Rakhmonov, Parviz
- In:
International journal of theoretical and applied finance
22
(
2019
)
6
,
pp. 1-13
Persistent link: https://www.econbiz.de/10012153309
Saved in:
6
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:
7
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:
8
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:
9
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:
10
The time-dependent FX-SABR model : efficient calibration based on effective parameters
Stoep, Anthonie W. van der
;
Grzelak, Lech A.
; …
- In:
International journal of theoretical and applied finance
18
(
2015
)
6
,
pp. 1-38
Persistent link: https://www.econbiz.de/10011403947
Saved in:
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