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isPartOf:"The journal of computational finance"
~subject:"American options"
~subject:"Black-Scholes-Modell"
~subject:"Heston model"
~subject:"Markov-Kette"
~subject:"Mathematical finance"
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American options
Black-Scholes-Modell
Heston model
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Mathematical finance
Option trading
60
Optionsgeschäft
60
Option pricing theory
58
Optionspreistheorie
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Andersen, Leif B. G.
1
Bain, Alan
1
Bhatoo, Omishwary
1
Burkovska, Olena
1
Chevalier, Etienne
1
Davis, Jesse
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The journal of computational finance
International journal of theoretical and applied finance
30
Review of derivatives research
18
Applied mathematical finance
14
Computational economics
14
Mathematical finance : an international journal of mathematics, statistics and financial theory
14
International journal of financial engineering
13
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
Journal of banking & finance
8
Finance and stochastics
7
Finance research letters
7
Journal of mathematical finance
7
European journal of operational research : EJOR
6
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
Decisions in economics and finance : DEF ; a journal of applied mathematics
5
Journal of derivatives & hedge funds
5
Journal of risk and financial management : JRFM
5
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
Operations research letters
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
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Applied financial economics
2
Cogent economics & finance
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De Gruyter studies in mathematics
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ECONIS (ZBW)
17
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1
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:
2
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:
3
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:
4
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:
5
High-order approximations to call option prices in the Heston model
Gulisashvili, Archil
;
Lagunas-Merino, Marc
;
Merino, Raúl
; …
- In:
The journal of computational finance
24
(
2020
)
1
,
pp. 83-102
Persistent link: https://www.econbiz.de/10012421960
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
Complexity reduction for calibration to American options
Burkovska, Olena
;
Glau, Kathrin
;
Mahlstedt, Mirco
; …
- In:
The journal of computational finance
23
(
2019
)
1
,
pp. 25-60
Persistent link: https://www.econbiz.de/10012064981
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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