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~isPartOf:"Computational economics"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Conference paper"
~type_genre:"Forschungsbericht"
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Search: subject_exact:"Stochastic process"
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Stochastic process
107
Stochastischer Prozess
107
Option pricing theory
46
Optionspreistheorie
46
Volatility
46
Volatilität
46
Theorie
43
Theory
43
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14
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14
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106
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Aufsatz in Zeitschrift
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107
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107
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Li, Yong
4
Boubaker, Heni
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3
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2
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Huh, Jeonggyu
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2
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2
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2
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2
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2
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2
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2
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1
Adl, A.
1
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1
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1
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1
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Computational economics
European journal of operational research : EJOR
613
International journal of theoretical and applied finance
324
Insurance / Mathematics & economics
282
Journal of econometrics
217
Finance and stochastics
196
Computers & operations research : and their applications to problems of world concern ; an international journal
180
Operations research
165
Operations research letters
164
International journal of production research
162
Quantitative finance
158
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153
Journal of economic dynamics & control
139
Risks : open access journal
124
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123
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119
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115
The journal of computational finance
102
Economics letters
95
Journal of mathematical finance
89
Econometric reviews
84
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
83
Economic modelling
81
Energy economics
81
Management science : journal of the Institute for Operations Research and the Management Sciences
80
Transportation research / E : an international journal
80
INFORMS journal on computing : JOC
79
International journal of financial engineering
79
Transportation science : a journal of the Institute for Operations Research and the Management Sciences
79
Finance research letters
74
Journal of banking & finance
71
Journal of economic theory
71
Mathematical methods of operations research
71
Computational Management Science : CMS
70
Omega : the international journal of management science
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Annals of finance
68
Annals of operations research
64
Econometric theory
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Scandinavian actuarial journal
56
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ECONIS (ZBW)
107
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1
Derivation and application of some fractional black-scholes equations driven by fractional G-Brownian motion
Guo, Changhong
;
Fang, Shaomei
;
He, Yong
- In:
Computational economics
61
(
2023
)
4
,
pp. 1681-1705
Persistent link: https://www.econbiz.de/10014327122
Saved in:
2
Modeling tail dependence using stochastic volatility model
Kim, See-Woo
;
Ma, Yong-Ki
;
Necula, Ciprian
- In:
Computational economics
62
(
2023
)
1
,
pp. 129-147
Persistent link: https://www.econbiz.de/10014327243
Saved in:
3
Optimal limit order book trading strategies with stochastic volatility in the underlying asset
Aydoğan, Burcu
;
Uğur, Ömür
;
Aksoy, Ümit
- In:
Computational economics
62
(
2023
)
1
,
pp. 289-324
Persistent link: https://www.econbiz.de/10014327497
Saved in:
4
Quasi-Monte Carlo-based conditional Malliavin method for continuous-time Asian option Greeks
Yu, Chao
;
Wang, Xiaoqun
- In:
Computational economics
62
(
2023
)
1
,
pp. 325-360
Persistent link: https://www.econbiz.de/10014327500
Saved in:
5
A novel high dimensional fitted scheme for stochastic optimal control problems
Dleuna Nyoumbi, Christelle
;
Tambue, Antoine
- In:
Computational economics
61
(
2023
)
1
,
pp. 1-34
Persistent link: https://www.econbiz.de/10014228389
Saved in:
6
A method to pre-compile numerical integrals when solving stochastic dynamic problems
Arapakis, Karolos
- In:
Computational economics
61
(
2023
)
2
,
pp. 593-610
Persistent link: https://www.econbiz.de/10014228454
Saved in:
7
Bayesian inference for mixed Gaussian GARCH-type model by Hamiltonian Monte Carlo algorithm
Liang, Rubing
;
Qin, Binbin
;
Xia, Qiang
- In:
Computational economics
63
(
2024
)
1
,
pp. 193-220
Persistent link: https://www.econbiz.de/10014472071
Saved in:
8
Simulating and pricing CAT bonds using the spectral method based on Chebyshev basis
Aghdam, Y. Esmaeelzade
;
Neisy, A.
;
Adl, A.
- In:
Computational economics
63
(
2024
)
1
,
pp. 423-435
Persistent link: https://www.econbiz.de/10014472268
Saved in:
9
A time-dependent Markovian model of a limit order book
Chávez Casillas, Jonathan A.
- In:
Computational economics
63
(
2024
)
2
,
pp. 679-709
Persistent link: https://www.econbiz.de/10014472546
Saved in:
10
A bilinear pseudo-spectral method for solving two-asset European and American pricing options
Khasi, M.
;
Rashidinia, J.
- In:
Computational economics
63
(
2024
)
2
,
pp. 893-918
Persistent link: https://www.econbiz.de/10014475075
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