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isPartOf:"The journal of computational finance"
~isPartOf:"Finance research letters"
~subject:"American options"
~subject:"Black-Scholes-Modell"
~subject:"Markov-Kette"
~subject:"Mathematical finance"
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American options
Black-Scholes-Modell
Markov-Kette
Mathematical finance
Option trading
113
Optionsgeschäft
113
Option pricing theory
97
Optionspreistheorie
97
Volatility
32
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32
Stochastic process
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19
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Andersen, Leif B. G.
1
Bain, Alan
1
Bhatoo, Omishwary
1
Bi, Hongwei
1
Braouezec, Yann
1
Chen, Son-nan
1
Chevalier, Etienne
1
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1
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1
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1
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1
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1
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1
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1
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1
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1
Kraft, Holger
1
Lake, Mark
1
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1
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The journal of computational finance
Finance research letters
International journal of theoretical and applied finance
29
Review of derivatives research
18
Mathematical finance : an international journal of mathematics, statistics and financial theory
14
International journal of financial engineering
13
Applied mathematical finance
12
Computational economics
12
Quantitative finance
11
The North American journal of economics and finance : a journal of financial economics studies
10
The journal of derivatives : the official publication of the International Association of Financial Engineers
10
Journal of economic dynamics & control
9
The journal of futures markets
9
Finance and stochastics
7
Journal of banking & finance
7
Journal of mathematical finance
7
International journal of theoretical and applied finance : IJTAF
6
The European journal of finance
6
Annals of finance
5
Applied economics
5
Asia-Pacific financial markets
5
European journal of operational research : EJOR
5
Journal of derivatives & hedge funds
5
Journal of risk and financial management : JRFM
5
Decisions in economics and finance : DEF ; a journal of applied mathematics
4
International review of economics & finance : IREF
4
Investment management and financial innovations
4
Risks : open access journal
4
Journal of econometrics
3
Journal of emerging market finance
3
Journal of financial economics
3
Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
3
The journal of derivatives : JOD
3
Working paper series / Centre for Practical Quantitative Finance
3
Applied financial economics
2
Cogent economics & finance
2
De Gruyter studies in mathematics
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Discussion paper / B
2
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Finanzmarkt und Portfolio-Management
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ECONIS (ZBW)
21
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1
A critical analysis of the Weighted Least Squares Monte Carlo method for pricing American options
Reesor, R. Mark
;
Stentoft, Lars
;
Zhu, Xiaotian
- In:
Finance research letters
64
(
2024
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014531706
Saved in:
2
The pricing and static hedging of multi-step double barrier options
Lee, Hangsuck
;
Ko, Bangwon
;
Lee, Minha
- In:
Finance research letters
55
(
2023
)
1
,
pp. 1-8
Persistent link: https://www.econbiz.de/10014473264
Saved in:
3
Gradient boosting for quantitative finance
Davis, Jesse
;
Devos, Laurens
;
Reyners, Sofie
;
Schoutens, Wim
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 1-40
Persistent link: https://www.econbiz.de/10012544161
Saved in:
4
The CTMC–Heston model : calibration and exotic option pricing with SWIFT
Leitao, Álvaro
;
Kirkby, J. Lars
;
Ortiz-Garcia, Luis
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 71-114
Persistent link: https://www.econbiz.de/10012544164
Saved in:
5
Calibration of local-stochastic and path-dependent volatility models to vanilla and no-touch options
Bain, Alan
;
Mariapragassam, Matthieu
;
Reisinger, Christoph
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 115-161
Persistent link: https://www.econbiz.de/10012544167
Saved in:
6
Pricing American call options using the Black-Scholes equation with a nonlinear volatility function
Grossinho, Maria do Rosário
;
Kord, Yaser
;
Ševčovič, …
- In:
The journal of computational finance
23
(
2020
)
4
,
pp. 93-113
Persistent link: https://www.econbiz.de/10012212488
Saved in:
7
Pricing multiple barrier derivatives under stochastic volatility
Escobar, Marcos
;
Panz, Sven
;
Zagst, Rudi
- In:
The journal of computational finance
24
(
2020
)
2
,
pp. 77-101
Persistent link: https://www.econbiz.de/10012543622
Saved in:
8
Efficient conservative second-order central-upwind schemes for option-pricing problems
Bhatoo, Omishwary
;
Peer, Arshad Ahmud Iqbal
;
Tadmor, Eitan
- In:
The journal of computational finance
22
(
2018/2019
)
5
,
pp. 71-101
Persistent link: https://www.econbiz.de/10012042237
Saved in:
9
Path-dependent American options
Chevalier, Etienne
;
Ly Vath, Vathana
;
Mnif, Mohamed
- In:
The journal of computational finance
23
(
2019
)
1
,
pp. 61-95
Persistent link: https://www.econbiz.de/10012064988
Saved in:
10
Path independence of exotic options and convergence of binomial approximations
Leduc, Guillaume
;
Palmer, Kenneth J.
- In:
The journal of computational finance
23
(
2019
)
2
,
pp. 73-102
Persistent link: https://www.econbiz.de/10012111264
Saved in:
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