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~isPartOf:"Discussion papers / CEPR"
~isPartOf:"Research paper / Quantitative Finance Research Centre, University of Technology Sydney"
~subject:"Monte Carlo simulation"
~subject:"Portfolio-Management"
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Option Prices with Stochastic...
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Monte Carlo simulation
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Option pricing theory
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Chiarella, Carl
7
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5
Kang, Boda
4
Schlögl, Erik
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Fanelli, Viviana
2
Heath, David C.
2
Musti, Silvana
2
Rendek, Renata
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Aase Nielsen, Jørgen
1
Beyna, Ingo
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1
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Discussion papers / CEPR
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
International journal of theoretical and applied finance
68
The journal of computational finance
48
Quantitative finance
42
Finance and stochastics
37
Mathematical finance : an international journal of mathematics, statistics and financial theory
34
Insurance / Mathematics & economics
33
Journal of economic dynamics & control
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28
European journal of operational research : EJOR
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International journal of financial engineering
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The North American journal of economics and finance : a journal of financial economics studies
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Finance research letters
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International review of financial analysis
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SpringerLink / Bücher
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Operations research letters
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Astin bulletin : the journal of the International Actuarial Association
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Decisions in economics and finance : DEF ; a journal of applied mathematics
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Mathematical finance : an international journal of mathematics, statistics and financial economics
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Scandinavian actuarial journal
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The journal of derivatives : JOD
7
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Simulation of diversified portfolios in a continuous financial market
Platen, Eckhard
;
Rendek, Renata
-
2009
Persistent link: https://www.econbiz.de/10008662353
Saved in:
2
Simulation of diversified portfolios in a continuous financial market
Platen, Eckhard
;
Rendek, Renata
-
2010
Persistent link: https://www.econbiz.de/10008663093
Saved in:
3
Equity-linked pension schemes with guarantees
Aase Nielsen, Jørgen
;
Sandmann, Klaus
;
Schlögl, Erik
-
2010
Persistent link: https://www.econbiz.de/10008662192
Saved in:
4
The evaluation of barrier option prices under stochastic volatility
Chiarella, Carl
;
Kang, Boda
;
Meyer, Gunter H.
-
2010
Persistent link: https://www.econbiz.de/10008662205
Saved in:
5
Modelling the evolution of credit spreads using the Cox process within the HJM framework : a CDS option pricing model
Chiarella, Carl
;
Fanelli, Viviana
;
Musti, Silvana
-
2009
Persistent link: https://www.econbiz.de/10008662364
Saved in:
6
Modelling the evolution of credit spreads using the Cox process within the HUM framework : a CDS option pricing model
Chiarella, Carl
;
Fanelli, Viviana
;
Musti, Silvana
-
2008
Persistent link: https://www.econbiz.de/10003857131
Saved in:
7
The evaluation of American compound option prices under stochastic volatility using the sparse grid approach
Chiarella, Carl
;
Kang, Boda
-
2009
Persistent link: https://www.econbiz.de/10003857524
Saved in:
8
Less expensive pricing and hedging of long-dated equity index options when interest rates are stochastic
Fergusson, Kevin
;
Platen, Eckhard
-
2015
Persistent link: https://www.econbiz.de/10011344299
Saved in:
9
A Monte Carlo method using PDE expansions for a diversifed equity index model
Heath, David C.
;
Platen, Eckhard
-
2014
Persistent link: https://www.econbiz.de/10011344801
Saved in:
10
Investigating time-efficient methods to price compound options in the Heston Model
Chiarella, Carl
;
Griebsch, Susanne
;
Kang, Boda
-
2013
Persistent link: https://www.econbiz.de/10009744645
Saved in:
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