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isPartOf:"The journal of computational finance"
~isPartOf:"The journal of derivatives : JOD"
~subject:"Black-Scholes-Modell"
~subject:"Markov-Kette"
~subject:"Mathematical finance"
~type_genre:"Aufsatz in Zeitschrift"
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Black-Scholes-Modell
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Mathematical finance
Option trading
76
Optionsgeschäft
76
Option pricing theory
73
Optionspreistheorie
73
Stochastic process
21
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17
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Bain, Alan
1
Bhatoo, Omishwary
1
Chevalier, Etienne
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1
Davis, Jesse
1
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1
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The journal of computational finance
The journal of derivatives : JOD
International journal of theoretical and applied finance
25
Review of derivatives research
13
Applied mathematical finance
12
Computational economics
12
International journal of financial engineering
12
Mathematical finance : an international journal of mathematics, statistics and financial theory
12
The journal of derivatives : the official publication of the International Association of Financial Engineers
10
Quantitative finance
9
The North American journal of economics and finance : a journal of financial economics studies
9
Journal of economic dynamics & control
8
The journal of futures markets
8
Finance and stochastics
7
Journal of mathematical finance
7
Finance research letters
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Annals of finance
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Applied economics
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Asia-Pacific financial markets
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Journal of banking & finance
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Journal of derivatives & hedge funds
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Decisions in economics and finance : DEF ; a journal of applied mathematics
4
European journal of operational research : EJOR
4
International journal of theoretical and applied finance : IJTAF
4
Journal of risk and financial management : JRFM
4
The European journal of finance
4
International review of economics & finance : IREF
3
Investment management and financial innovations
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Journal of econometrics
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Journal of emerging market finance
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Risks : open access journal
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Cogent economics & finance
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Finanzmarkt und Portfolio-Management
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International review of financial analysis
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ECONIS (ZBW)
17
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1
American option pricing and filtering with a hidden regime-switching jump diffusion
Siu, Tak Kuen
;
Elliott, Robert J.
- In:
The journal of derivatives : JOD
29
(
2022
)
3
,
pp. 106-123
Persistent link: https://www.econbiz.de/10013174827
Saved in:
2
Pricing barrier options with deep backward stochastic differential equation methods
Ganesan, Narayan
;
Yu, Yajie
;
Hientzsch, Bernhard
- In:
The journal of computational finance
25
(
2022
)
4
,
pp. 1-25
Persistent link: https://www.econbiz.de/10014546284
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 discretely monitored barrier options under Markov processes through markov chain approximation
Cui, Zhenyu
;
Taylor, Stephen
- In:
The journal of derivatives : JOD
28
(
2021
)
3
,
pp. 8-33
Persistent link: https://www.econbiz.de/10012486028
Saved in:
7
Bias correction for bond option greeks via jackknife
Zhang, Jinyu
;
Gao, Kang
;
Li, Yong
- In:
The journal of derivatives : JOD
28
(
2021
)
4
,
pp. 45-63
Persistent link: https://www.econbiz.de/10012612919
Saved in:
8
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:
9
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:
10
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
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