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~isPartOf:"International journal of theoretical and applied finance"
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Option pricing theory
467
Optionspreistheorie
467
Stochastic process
211
Stochastischer Prozess
211
Volatility
161
Volatilität
161
Theorie
115
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115
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103
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103
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85
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stochastic volatility
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Levendorskij, Sergej Z.
10
Kwok, Yue-Kuen
9
Benth, Fred Espen
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7
Elliott, Robert J.
6
Gapeev, Pavel V.
6
Jeanblanc, Monique
6
Joshi, Mark S.
6
Avellaneda, Marco
5
Bojarčenko, Svetlana I.
5
Fabozzi, Frank J.
5
Oosterlee, Cornelis W.
5
Siu, Tak Kuen
5
Brigo, Damiano
4
Ekström, Erik
4
Hess, Markus
4
Hui, Cho H.
4
Liu, Rui Hua
4
Lo, C. F.
4
Macrina, Andrea
4
Račev, Svetlozar T.
4
Wu, Lixin
4
Arai, Takuji
3
Belomestny, Denis
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Bernard, Carole
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Chiarella, Carl
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Hughston, Lane P.
3
Neumann, C. D. D.
3
Pallavicini, Andrea
3
Pistorius, Martijn
3
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3
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International journal of theoretical and applied finance
International journal of production research
570
European journal of operational research : EJOR
497
The journal of computational finance
273
The journal of futures markets
269
Journal of econometrics
261
Mathematical finance : an international journal of mathematics, statistics and financial theory
260
Applied mathematical finance
252
Journal of banking & finance
244
International journal of production economics
236
Finance and stochastics
233
Quantitative finance
225
Computational economics
222
Journal of economic dynamics & control
214
The journal of derivatives : the official publication of the International Association of Financial Engineers
208
Insurance / Mathematics & economics
183
NBER working paper series
174
Review of derivatives research
171
Discussion paper / Tinbergen Institute
166
Working paper
165
Working paper / National Bureau of Economic Research, Inc.
164
Economic modelling
153
Physica A: Statistical Mechanics and its Applications
151
Management Science
149
SpringerLink / Bücher
147
NBER Working Paper
146
Finance research letters
143
Economics letters
141
Risks : open access journal
138
Europäische Hochschulschriften / 5
134
Management science : journal of the Institute for Operations Research and the Management Sciences
130
International journal of financial engineering
123
Applied economics
122
Discussion paper / Center for Economic Research, Tilburg University
120
Energy economics
118
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
115
Journal of mathematical finance
114
Research paper series / Swiss Finance Institute
111
Operations research
110
EUROMOD working paper series
101
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ECONIS (ZBW)
494
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1
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494
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1
Conditional Monte Carlo scheme for stable greeks of worst-of autocallable notes
Rakhmonov, Firuz
;
Rakhmonov, Parviz
- In:
International journal of theoretical and applied finance
22
(
2019
)
6
,
pp. 1-13
Persistent link: https://www.econbiz.de/10012153309
Saved in:
2
Branching
particle pricers with heston examples
Kouritzin, Michael A.
;
MacKay, Anne
- In:
International journal of theoretical and applied finance
23
(
2020
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012270887
Saved in:
3
Explicit Heston solutions and stochastic approximation for path-dependent option pricing
Kouritzin, Michael A.
- In:
International journal of theoretical and applied finance
21
(
2018
)
1
,
pp. 1-45
Persistent link: https://www.econbiz.de/10011846484
Saved in:
4
A low-bias
simulation
scheme for the Sabr Stochastic Volatility model
Chen, Bin
;
Oosterlee, Cornelis W.
;
Weide, Hans van der
- In:
International journal of theoretical and applied finance
15
(
2012
)
2
,
pp. 1-37
Persistent link: https://www.econbiz.de/10009624504
Saved in:
5
Accelerating pathwise Greeks in the LIBOR market model
Joshi, Mark S.
;
Wiguna, Alexander
- In:
International journal of theoretical and applied finance
15
(
2012
)
2
,
pp. 1-33
Persistent link: https://www.econbiz.de/10009624523
Saved in:
6
The Heston stochastic-local volatility model : efficient Monte Carlo
simulation
Stoep, Anthonie W. van der
;
Grzelak, Lech A.
; …
- In:
International journal of theoretical and applied finance
17
(
2014
)
7
,
pp. 1-30
Persistent link: https://www.econbiz.de/10010498851
Saved in:
7
Nearly exact option price
simulation
using characteristic functions
Bernard, Carole
;
Cui, Zhenyu
;
McLeish, Don L.
- In:
International journal of theoretical and applied finance
15
(
2012
)
7
,
pp. 1-29
Persistent link: https://www.econbiz.de/10009685897
Saved in:
8
Sinh-acceleration: efficient evaluation of probability distributions, option pricing, and Monte Carlo simulations
Bojarčenko, Svetlana I.
;
Levendorskij, Sergej Z.
- In:
International journal of theoretical and applied finance
22
(
2019
)
3
,
pp. 1-49
Persistent link: https://www.econbiz.de/10012019776
Saved in:
9
Empirical exercise behavior of warrant holders and its consequences for warrant values
Koziol, Christian
- In:
International journal of theoretical and applied finance
9
(
2006
)
2
,
pp. 245-268
Persistent link: https://www.econbiz.de/10003312734
Saved in:
10
Pricing path-dependent options on state dependent volatility models with a Bessel bridge
Campolieti, Giuseppe
;
Makarov, Roman
- In:
International journal of theoretical and applied finance
10
(
2007
)
1
,
pp. 51-88
Persistent link: https://www.econbiz.de/10003415659
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