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isPartOf:"International journal of theoretical and applied finance"
~subject:"Monte Carlo methods"
~subject:"Option trading"
~subject:"Stochastic process"
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Monte Carlo methods
Option trading
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
7
Black-Scholes model
6
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Mathematical analysis
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Monte Carlo simulations
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19
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Benth, Fred Espen
2
Kouritzin, Michael A.
2
Oosterlee, Cornelis W.
2
Benedetti, Giuseppe
1
Bernard, Carole
1
Bojarčenko, Svetlana I.
1
Briani, Maya
1
Campolieti, Giuseppe
1
Caramellino, Lucia
1
Centanni, Silvia
1
Chen, Bin
1
Cherif, Sidi Mohamed Lalaoui Ben
1
Cui, Zhenyu
1
Dahl, Lars O.
1
Dewynne, Jeff N.
1
Eddahbi, M'hamed
1
Felten, Björn
1
Grzelak, Lech A.
1
Hassan, Nadima el
1
Hvistendahl Karlsen, Kenneth
1
Joshi, Mark S.
1
Jourdain, Benjamin
1
Kiesel, Rüdiger
1
Kremer, Marcel
1
Lapeyre, Bernard
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Levendorskij, Sergej Z.
1
Liu, Chen
1
MacKay, Anne
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McLeish, Don L.
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Milʹstejn, Grigorij N.
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Minozzo, Marco
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Peng, Qidi
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Reiß, O.
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Sabino, Piergiacomo
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Schellhorn, Henry
1
Schoenmakers, John
1
Stoep, Anthonie W. van der
1
Takahashi, Akihiko
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International journal of theoretical and applied finance
The journal of computational finance
22
Quantitative finance
19
Discussion paper / Tinbergen Institute
16
Computational economics
15
Journal of econometrics
14
European journal of operational research : EJOR
13
Journal of risk and financial management : JRFM
13
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
13
Econometric reviews
12
Working paper / Department of Econometrics and Business Statistics, Monash University
10
Energy economics
9
Finance and stochastics
9
Finance research letters
9
Risks : open access journal
9
Mathematics of operations research
8
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
7
The North American journal of economics and finance : a journal of financial economics studies
7
Journal of economic dynamics & control
6
Journal of empirical finance
6
Journal of mathematical finance
6
Applied mathematical finance
5
CEMMAP working papers / Centre for Microdata Methods and Practice
5
Insurance / Mathematics & economics
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
Working paper
5
Applied economics
4
Asia-Pacific financial markets
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
Economic modelling
4
GRIPS discussion papers
4
INFORMS journal on computing : JOC
4
International journal of forecasting
4
Journal of financial econometrics : official journal of the Society for Financial Econometrics
4
Mathematical finance : an international journal of mathematics, statistics and financial theory
4
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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
The valuation of self-funding instalment warrants
Dewynne, Jeff N.
;
Hassan, Nadima el
- In:
International journal of theoretical and applied finance
20
(
2017
)
4
,
pp. 1-48
Persistent link: https://www.econbiz.de/10011687010
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 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:
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