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subject:"Schätzung"
~person:"Caramellino, Lucia"
~subject:"Optionspreistheorie"
~subject:"Statistical distribution"
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Search: subject_exact:"Monte Carlo method"
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Schätzung
Optionspreistheorie
Statistical distribution
Monte Carlo simulation
6
Monte-Carlo-Simulation
6
Option pricing theory
6
Option trading
3
Optionsgeschäft
3
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2
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2
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tree methods
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Caramellino, Lucia
Joshi, Mark S.
21
Dijk, Herman K. van
16
Stentoft, Lars
15
Koopman, Siem Jan
14
Frühwirth-Schnatter, Sylvia
11
Chiarella, Carl
10
Weber, Andrea
10
Gerlach, Richard
9
Pesaran, M. Hashem
9
Schoenmakers, John
9
Wang, Xiaoqun
9
Winter-Ebmer, Rudolf
9
Casarin, Roberto
8
Grzelak, Lech A.
8
Hoogerheide, Lennart
8
Kano, Kazuko
8
Kano, Takashi
8
Oosterlee, Cornelis W.
8
Reesor, R. Mark
8
Takechi, Kazutaka
8
Willis, Jonathan L.
8
Chen, Cathy W. S.
7
Fischer, Manfred M.
7
Korn, Ralf
7
Lesage, James P.
7
Mertens, Elmar
7
Nakajima, Jouchi
7
Pamminger, Christoph
7
Ravazzolo, Francesco
7
Belomestny, Denis
6
Ghamami, Samim
6
Herbst, Edward P.
6
Inoue, Atsushi
6
Kapetanios, George
6
Kilian, Lutz
6
McAleer, Michael
6
Omori, Yasuhiro
6
Price, Simon
6
Sabino, Piergiacomo
6
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The journal of computational finance
2
Decisions in economics and finance : DEF ; a journal of applied mathematics
1
International journal of theoretical and applied finance
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Risk and decision analysis
1
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ECONIS (ZBW)
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1
Numerical stability of a hybrid method for pricing options
Briani, Maya
;
Caramellino, Lucia
;
Terenzi, Giulia
; …
- In:
International journal of theoretical and applied finance
22
(
2019
)
7
,
pp. 1-46
Persistent link: https://www.econbiz.de/10012153319
Saved in:
2
A hybrid tree/finite-difference approach for Heston-Hull-White-type models
Briani, Maya
;
Caramellino, Lucia
;
Zanette, Antonino
- In:
The journal of computational finance
21
(
2017/2018
)
3
,
pp. 1-45
Persistent link: https://www.econbiz.de/10011848334
Saved in:
3
Monte Carlo methods for pricing and hedging American options in high dimension
Caramellino, Lucia
;
Zanette, Antonino
- In:
Risk and decision analysis
2
(
2010/11
)
4
,
pp. 207-220
Persistent link: https://www.econbiz.de/10009537820
Saved in:
4
A mixed PDE-Monte Carlo approcha for pricing credit default index swaptions
Bally, Vlad
;
Caramellino, Lucia
;
Zanette, Antonino
- In:
Decisions in economics and finance : DEF ; a journal of …
29
(
2006
)
2
,
pp. 121-137
Persistent link: https://www.econbiz.de/10003835675
Saved in:
5
An exit-probability-based approach for the valuation of defaultable securities
Caramellino, Lucia
;
Iovino, Maria Gabriella
- In:
The journal of computational finance
6
(
2002
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10001704737
Saved in:
6
Pricing general barrier options : a numerical approach using sharp large deviations
Baldi, Paolo
;
Caramellino, Lucia
;
Iovino, Maria Gabriella
- In:
Mathematical finance : an international journal of …
9
(
1999
)
3
,
pp. 293-322
Persistent link: https://www.econbiz.de/10001444185
Saved in:
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