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~isPartOf:"European journal of operational research : EJOR"
~subject:"Finance"
~subject:"Risikomanagement"
~subject:"Simulation"
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European journal of operational research : EJOR
Quantitative finance
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Advances in finance and stochastics : essays in honour of Dieter Sondermann
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1
Model risk in the over-the-counter market
Lazar, Emese
;
Qi, Shuyuan
- In:
European journal of operational research : EJOR
298
(
2022
)
2
,
pp. 769-784
Persistent link: https://www.econbiz.de/10013206897
Saved in:
2
Pricing discretely-monitored double barrier options with small probabilities of execution
Kontosakos, Vasileios E.
;
Mendonca, Keegan
;
Pantelous, …
- In:
European journal of operational research : EJOR
290
(
2021
)
1
,
pp. 313-330
Persistent link: https://www.econbiz.de/10012436366
Saved in:
3
The complete Gaussian kernel in the multi-factor Heston model : option pricing and implied volatility applications
Recchioni, Maria Cristina
;
Iori, Giulia
;
Tedeschi, Gabriele
- In:
European journal of operational research : EJOR
293
(
2021
)
1
,
pp. 336-360
Persistent link: https://www.econbiz.de/10012502484
Saved in:
4
Option valuation under no-arbitrage constraints with neural networks
Cao, Yi
;
Liu, Xiaoquan
;
Zhai, Jia
- In:
European journal of operational research : EJOR
293
(
2021
)
1
,
pp. 361-374
Persistent link: https://www.econbiz.de/10012502485
Saved in:
5
Recursive lower and dual upper bounds for Bermudan-style options
Ibáñez, Alfredo
;
Velasco, Carlos
- In:
European journal of operational research : EJOR
280
(
2020
)
2
,
pp. 730-740
Persistent link: https://www.econbiz.de/10012132467
Saved in:
6
General lattice methods for arithmetic Asian options
Gambaro, Anna Maria
;
Kyriakou, Ioannis
;
Fusai, Gianluca
- In:
European journal of operational research : EJOR
282
(
2020
)
3
,
pp. 1185-1199
Persistent link: https://www.econbiz.de/10012161893
Saved in:
7
General multilevel Monte Carlo methods for pricing discretely monitored Asian options
Kahalé, Nabil
- In:
European journal of operational research : EJOR
287
(
2020
)
2
,
pp. 739-748
Persistent link: https://www.econbiz.de/10012293946
Saved in:
8
VIX derivatives, hedging and vol-of-vol risk
Kaeck, Andreas
;
Seeger, Norman
- In:
European journal of operational research : EJOR
283
(
2020
)
2
,
pp. 767-782
Persistent link: https://www.econbiz.de/10012294919
Saved in:
9
A general framework for pricing Asian options under stochastic volatility on parallel architecture
Corsaro, Stefania
;
Kyriakou, Ioannis
;
Marazzina, Daniele
; …
- In:
European journal of operational research : EJOR
272
(
2019
)
3
,
pp. 1082-1095
Persistent link: https://www.econbiz.de/10011942796
Saved in:
10
An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options
Xie, Fei
;
He, Zhijian
;
Wang, Xiaoqun
- In:
European journal of operational research : EJOR
274
(
2019
)
2
,
pp. 759-772
Persistent link: https://www.econbiz.de/10011990222
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