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isPartOf:"The journal of computational finance"
~subject:"American options"
~subject:"Black-Scholes-Modell"
~subject:"Markov-Kette"
~subject:"Mathematical finance"
~subject:"Portfolio selection"
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American options
Black-Scholes-Modell
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60
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60
Option pricing theory
58
Optionspreistheorie
58
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Andersen, Leif B. G.
1
Bain, Alan
1
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1
Chevalier, Etienne
1
Davis, Jesse
1
Devos, Laurens
1
Dubois, François
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The journal of computational finance
International journal of theoretical and applied finance
33
Review of derivatives research
24
Mathematical finance : an international journal of mathematics, statistics and financial theory
17
International journal of financial engineering
16
The journal of futures markets
15
Applied mathematical finance
14
Journal of economic dynamics & control
14
Quantitative finance
14
The journal of derivatives : the official publication of the International Association of Financial Engineers
14
Computational economics
13
Finance and stochastics
12
Journal of banking & finance
12
The North American journal of economics and finance : a journal of financial economics studies
12
Journal of mathematical finance
11
European journal of operational research : EJOR
8
The European journal of finance
8
Finance research letters
7
Insurance / Mathematics & economics
7
The review of financial studies
7
International journal of theoretical and applied finance : IJTAF
6
International review of economics & finance : IREF
6
Research paper series / Swiss Finance Institute
6
The journal of derivatives : JOD
6
Annals of finance
5
Applied economics
5
Asia-Pacific financial markets
5
Cogent economics & finance
5
Decisions in economics and finance : DEF ; a journal of applied mathematics
5
Finanzmarkt und Portfolio-Management
5
Investment management and financial innovations
5
Journal of derivatives & hedge funds
5
Journal of financial economics
5
Journal of risk and financial management : JRFM
5
Managerial finance
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SpringerLink / Bücher
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Working paper / National Bureau of Economic Research, Inc.
5
Economic modelling
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Risks : open access journal
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Swiss Finance Institute Research Paper
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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
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:
6
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:
7
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:
8
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:
9
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:
10
Portfolio optimization for American options
Zeng, Yaxiong
;
Klabjan, Diego
- In:
The journal of computational finance
22
(
2018
)
3
,
pp. 37-64
Persistent link: https://www.econbiz.de/10011988191
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