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~isPartOf:"Applied economics letters"
~isPartOf:"Operations research letters"
~subject:"Credit risk"
~subject:"Monte Carlo simulation"
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Option Prices with Stochastic...
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Credit risk
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Real options analysis
Option pricing theory
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Applied economics letters
Operations research letters
International journal of theoretical and applied finance
100
The journal of computational finance
55
Quantitative finance
53
European journal of operational research : EJOR
45
Finance and stochastics
42
Journal of economic dynamics & control
42
Mathematical finance : an international journal of mathematics, statistics and financial theory
41
Insurance / Mathematics & economics
39
Applied mathematical finance
38
Journal of banking & finance
32
International journal of financial engineering
30
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Finance research letters
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Review of derivatives research
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International review of financial analysis
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Research paper series / Swiss Finance Institute
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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Asia-Pacific financial markets
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Decisions in economics and finance : DEF ; a journal of applied mathematics
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1
A new class of dual upper bounds for early exercisable derivatives encompassing both the additive and multiplicative bounds
Joshu, Mark S.
- In:
Operations research letters
43
(
2015
)
6
,
pp. 581-585
Persistent link: https://www.econbiz.de/10011416308
Saved in:
2
The instantaneous return and volatility of a covered call position
Edwards, Craig Steven
- In:
Applied economics letters
22
(
2015
)
13/15
,
pp. 1059-1063
Persistent link: https://www.econbiz.de/10011312207
Saved in:
3
Non-linear equity portfolio variance reduction under a mean-variance framework : a delta-gamma approach
Jewell, Sean W.
;
Li, Yang
;
Pirvu, Traian A.
- In:
Operations research letters
41
(
2013
)
6
,
pp. 694-700
Persistent link: https://www.econbiz.de/10010236034
Saved in:
4
On the complexity of the single machine scheduling problem minimizing total weighted delay penalty
Vásquez, Óscar C.
- In:
Operations research letters
42
(
2014
)
5
,
pp. 343-347
Persistent link: https://www.econbiz.de/10010404393
Saved in:
5
Pricing black-scholes options with correlated credit risk and jump risk
Xu, Weidong
;
Xu, Weijun
;
Xiao, Weilin
- In:
Applied economics letters
22
(
2015
)
1/3
,
pp. 87-93
Persistent link: https://www.econbiz.de/10010482058
Saved in:
6
Incorporating views on marginal distributions in the calibration of risk models
Dey, Santanu
;
Juneja, Sandeep
;
Murthy, Karthyek R. A.
- In:
Operations research letters
43
(
2015
)
1
,
pp. 46-51
Persistent link: https://www.econbiz.de/10010486359
Saved in:
7
Default probability anomalies in the momentum startegies
Lee, Nicholas Rueilin
;
Liu, Jung-Fang
;
Lin, Wei-Yu
- In:
Applied economics letters
21
(
2014
)
16/18
,
pp. 1206-1209
Persistent link: https://www.econbiz.de/10010465679
Saved in:
8
Computational complexity analysis of least-squares Monte Carlo (LSM) for pricing US derivatives
Chen, A.-S.
;
Shen, P.-F.
- In:
Applied economics letters
10
(
2003
)
4
,
pp. 223-229
Persistent link: https://www.econbiz.de/10001748973
Saved in:
9
Pricing European basket warrants with default risk under stochastic volatility models
Wang, Xingchun
- In:
Applied economics letters
29
(
2022
)
3
,
pp. 253-260
Persistent link: https://www.econbiz.de/10012803500
Saved in:
10
Financial derivatives and default dependence : a time-varying copula approach
Zhang, Xuan
;
Liu, Ding
;
Zhao, Yang
;
Zhang, Zhekai
- In:
Applied economics letters
28
(
2021
)
11
,
pp. 958-963
Persistent link: https://www.econbiz.de/10012589711
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