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~isPartOf:"Applied economics letters"
~isPartOf:"The journal of computational finance"
~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~person:"Broadie, Mark"
~person:"Ehrhardt, Matthias"
~type_genre:"Aufsatz in Zeitschrift"
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Option pricing theory
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electricity price
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Broadie, Mark
Ehrhardt, Matthias
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Applied economics letters
The journal of computational finance
The journal of derivatives : the official publication of the International Association of Financial Engineers
International journal of theoretical and applied finance
3
Journal of economic dynamics & control
3
Mathematical finance : an international journal of mathematics, statistics and financial theory
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Decisions in economics and finance : a journal of applied mathematics
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ECONIS (ZBW)
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Enhanced Monte Carlo estimates for American option prices
Broadie, Mark
- In:
The journal of derivatives : the official publication …
5
(
1997
)
1
,
pp. 25-44
Persistent link: https://www.econbiz.de/10001226468
Saved in:
2
The two-dimensional tree-grid method
Kossaczký, Igor
;
Ehrhardt, Matthias
;
Günther, Michael
- In:
The journal of computational finance
23
(
2019
)
2
,
pp. 29-57
Persistent link: https://www.econbiz.de/10012111259
Saved in:
3
Pricing swing options in electricity markets with two stochastic factors using a partial differential equation approach
Calvo-Garrido, M. C.
;
Ehrhardt, Matthias
;
Vázquez, Carlos
- In:
The journal of computational finance
20
(
2016/2017
)
3
,
pp. 81-107
Persistent link: https://www.econbiz.de/10011689686
Saved in:
4
Hybrid finite-difference/pseudospectral methods for the Heston and Heston-Hull-White partial differential equations
Hendricks, Christian
;
Ehrhardt, Matthias
;
Günther, Michael
- In:
The journal of computational finance
21
(
2017/2018
)
5
,
pp. 1-33
Persistent link: https://www.econbiz.de/10011860891
Saved in:
5
A stochastic mesh method for pricing high-dimensional American options
Broadie, Mark
;
Glasserman, Paul
- In:
The journal of computational finance
7
(
2004
)
4
,
pp. 35-72
Persistent link: https://www.econbiz.de/10002126763
Saved in:
6
Pricing and hedging volatility derivatives
Broadie, Mark
;
Jain, Ashish
- In:
The journal of derivatives : the official publication …
15
(
2008
)
3
,
pp. 7-24
Persistent link: https://www.econbiz.de/10003673338
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