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~isPartOf:"Applied economics letters"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~subject:"Credit risk"
~subject:"Monte Carlo simulation"
~subject:"Portfolio-Management"
~subject:"Real options analysis"
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Option Prices with Stochastic...
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Credit risk
Monte Carlo simulation
Portfolio-Management
Real options analysis
Option pricing theory
116
Optionspreistheorie
116
Volatility
47
Volatilität
47
Option trading
45
Optionsgeschäft
45
Stochastic process
38
Stochastischer Prozess
38
Derivat
33
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Wang, Xingchun
7
Bao, Ying
2
Kim, Geonwoo
2
McAleer, Michael
2
Peng, Cheng
2
Zhao, Yanlong
2
Akuzawa, Toshinao
1
Bajo, Emanuele
1
Barbi, Massimiliano
1
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1
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1
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Applied economics letters
The North American journal of economics and finance : a journal of financial economics studies
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
Journal of mathematical finance
26
Finance research letters
24
Review of derivatives research
24
The European journal of finance
24
Risks : open access journal
23
Energy economics
22
The journal of futures markets
22
Computational economics
21
International review of financial analysis
20
Journal of risk and financial management : JRFM
19
Research paper series / Swiss Finance Institute
17
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
16
The journal of derivatives : the official publication of the International Association of Financial Engineers
16
Asia-Pacific financial markets
15
Management science : journal of the Institute for Operations Research and the Management Sciences
14
SpringerLink / Bücher
14
Decisions in economics and finance : DEF ; a journal of applied mathematics
11
Economic modelling
11
Mathematics and financial economics
11
Mathematics of operations research
11
Annals of finance
10
Applied economics
10
Mathematical finance : an international journal of mathematics, statistics and financial economics
10
Mathematical methods of operations research
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Operations research letters
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9
Discussion paper / Tinbergen Institute
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1
Is the nonlinear hedge of options more effective? : evidence from the SSE 50 ETF options in China
Yu, Xiao-Jian
;
Wang, Zi-Ling
;
Xiao, Wei-Lin
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-9
Persistent link: https://www.econbiz.de/10012665985
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
State-dependent jump risks for American gold futures option pricing
Lian, Yu-Min
;
Liao, Szu-Lang
;
Chen, Jun-Home
- In:
The North American journal of economics and finance : a …
33
(
2015
),
pp. 115-133
Persistent link: https://www.econbiz.de/10011534881
Saved in:
4
Variance-constrained canonical least-squares Monte Carlo : an accurate method for pricing American options
Liu, Qiang
;
Guo, Shuxin
- In:
The North American journal of economics and finance : a …
28
(
2014
),
pp. 77-89
Persistent link: https://www.econbiz.de/10010461176
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
Optimal corporate hedging using options with basis and production risk
Bajo, Emanuele
;
Barbi, Massimiliano
;
Romagnoli, Silvia
- In:
The North American journal of economics and finance : a …
30
(
2014
),
pp. 56-71
Persistent link: https://www.econbiz.de/10010463594
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
Valuation of callable accreting interest rate swaps : least squares Monte-Carlo method under Hull-White interest rate model
Tang, Kin Boon
;
Zheng, Wen-Jie
;
Lin, Chao-Yang
;
Lin, …
- In:
The North American journal of economics and finance : a …
56
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012821303
Saved in:
10
Valuation of options on the maximum of two prices with default risk under GARCH models
Wang, Xingchun
- In:
The North American journal of economics and finance : a …
57
(
2021
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012822187
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