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~isPartOf:"European journal of operational research : EJOR"
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Option pricing theory
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Cui, Zhenyu
5
Fusai, Gianluca
5
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4
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4
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4
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4
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European journal of operational research : EJOR
Journal of economic behavior & organization : JEBO
1,514
NBER working paper series
1,105
Discussion paper series / IZA
1,039
Working paper / National Bureau of Economic Research, Inc.
919
NBER Working Paper
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CESifo working papers
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Energy economics
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Finance research letters
692
Economics letters
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637
Games and economic behavior
596
International journal of theoretical and applied finance
582
IZA Discussion Paper
579
Journal of behavioral and experimental economics
568
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566
The journal of futures markets
553
Journal of banking & finance
551
Management science : journal of the Institute for Operations Research and the Management Sciences
517
Working paper
513
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506
Journal of economic psychology : research in economic psychology and behavioral economics
498
Discussion paper / Centre for Economic Policy Research
470
International review of financial analysis
463
Applied economics letters
444
IZA Discussion Papers
429
International review of economics & finance : IREF
405
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402
Economic modelling
400
Journal of econometrics
399
CESifo Working Paper
377
The North American journal of economics and finance : a journal of financial economics studies
374
European economic review : EER
352
Journal of economic dynamics & control
352
CESifo Working Paper Series
330
Mathematical finance : an international journal of mathematics, statistics and financial theory
315
Quantitative finance
306
Applied financial economics
302
Journal of empirical finance
293
Applied mathematical finance
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ECONIS (ZBW)
285
USB Cologne (EcoSocSci)
1
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1
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:
2
Robust option pricing
Bandi, Chaithanya
;
Bertsimas, Dimitris
- In:
European journal of operational research : EJOR
239
(
2014
)
3
,
pp. 842-853
Persistent link: https://www.econbiz.de/10010411468
Saved in:
3
Wavelet-based option pricing : an empirical study
Liu, Xiaoquan
;
Cao, Yi
;
Ma, Chenghu
;
Shen, Liya
- In:
European journal of operational research : EJOR
272
(
2019
)
3
,
pp. 1132-1142
Persistent link: https://www.econbiz.de/10011942861
Saved in:
4
Smiles & smirks :
volatility
and leverage by jumps
Ballotta, Laura
;
Rayée, Grégory
- In:
European journal of operational research : EJOR
298
(
2022
)
3
,
pp. 1145-1161
Persistent link: https://www.econbiz.de/10013206930
Saved in:
5
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:
6
Option pricing with mean reversion and stochastic
volatility
Wong, Hoi Ying
;
Lo, Yu Wai
- In:
European journal of operational research : EJOR
197
(
2009
)
1
,
pp. 179-187
Persistent link: https://www.econbiz.de/10003828865
Saved in:
7
Efficient simulation of generalized SABR and stochastic local
volatility
models based on Markov chain approximations
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
290
(
2021
)
3
,
pp. 1046-1062
Persistent link: https://www.econbiz.de/10012495249
Saved in:
8
A practical finite difference method for the three-dimensional Black-Scholes equation
Kim, Junseok
;
Kim, Taekkeun
;
Jo, Jaehyun
;
Choi, Yongho
; …
- In:
European journal of operational research : EJOR
252
(
2016
)
1
,
pp. 183-190
Persistent link: https://www.econbiz.de/10011449164
Saved in:
9
Fluctuation identities with continuous monitoring and their application to the pricing of barrier options
Phelan, Carolyn E.
;
Marazzina, Daniele
;
Fusai, Gianluca
; …
- In:
European journal of operational research : EJOR
271
(
2018
)
1
,
pp. 210-223
Persistent link: https://www.econbiz.de/10011882800
Saved in:
10
An explicitly solvable Heston model with stochastic interest rate
Recchioni, M. C.
;
Sun, Y.
- In:
European journal of operational research : EJOR
249
(
2016
)
1
,
pp. 359-377
Persistent link: https://www.econbiz.de/10011435870
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