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isPartOf:"The journal of computational finance"
~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
58
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Option pricing theory
56
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56
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16
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Aufsatz in Zeitschrift
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Bain, Alan
1
Bhatoo, Omishwary
1
Chevalier, Etienne
1
Davis, Jesse
1
Devos, Laurens
1
Dubois, François
1
Escobar, Marcos
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Fusai, Gianluca
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Grossinho, Maria do Rosário
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Heritage, J. P.
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Saib, Aslam Aly El Faidal
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Schoutens, Wim
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The journal of computational finance
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
6
Annals of finance
5
Applied economics
5
Asia-Pacific financial markets
5
Journal of banking & finance
5
Journal of derivatives & hedge funds
5
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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The journal of derivatives : JOD
3
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Finanzmarkt und Portfolio-Management
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International review of financial analysis
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ECONIS (ZBW)
13
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1
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:
2
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:
3
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:
4
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:
5
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:
6
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:
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
The forward smile in local-stochastic volatility models
Mazzon, Andrea
;
Pascucci, Andrea
- In:
The journal of computational finance
20
(
2016/2017
)
3
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011689675
Saved in:
10
Volatility risk structure for options depending on extrema
Nakatsu, Tomonori
- In:
The journal of computational finance
21
(
2017/2018
)
3
,
pp. 105-122
Persistent link: https://www.econbiz.de/10011848359
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