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~isPartOf:"Journal of econometrics"
~isPartOf:"The journal of computational finance"
~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~subject:"Currency option"
~subject:"Kapitaleinkommen"
~subject:"Monte Carlo simulation"
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Option Prices with Stochastic...
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Currency option
Kapitaleinkommen
Monte Carlo simulation
Option pricing theory
523
Optionspreistheorie
523
Theorie
193
Theory
193
Volatility
147
Volatilität
147
Stochastic process
132
Stochastischer Prozess
132
Option trading
123
Optionsgeschäft
123
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72
Black-Scholes-Modell
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Derivat
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Derivative
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Simulation
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Analysis
18
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Nichtparametrisches Verfahren
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Bollerslev, Tim
2
Caramellino, Lucia
2
Fu, Michael
2
Harrach, Bastian von
2
Korn, Ralf
2
Shevchenko, Pavel V.
2
Xu, Wei
2
Alm, Thomas
1
Almeida, Caio
1
Asghari, Naser M.
1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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Journal of econometrics
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
39
Quantitative finance
34
The journal of futures markets
26
Journal of banking & finance
20
Journal of financial economics
20
Applied mathematical finance
19
Computational economics
19
Finance and stochastics
18
Mathematical finance : an international journal of mathematics, statistics and financial theory
16
European journal of operational research : EJOR
15
Journal of risk and financial management : JRFM
15
Energy economics
14
Finance research letters
14
The North American journal of economics and finance : a journal of financial economics studies
14
Journal of economic dynamics & control
12
Review of derivatives research
12
Working paper series / Centre for Practical Quantitative Finance
12
International journal of financial engineering
11
Management science : journal of the Institute for Operations Research and the Management Sciences
11
Risks : open access journal
11
Insurance / Mathematics & economics
10
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
10
Journal of financial and quantitative analysis : JFQA
9
Research paper series / Swiss Finance Institute
9
Review of quantitative finance and accounting
9
The European journal of finance
9
The journal of finance : the journal of the American Finance Association
9
International review of financial analysis
8
Journal of empirical finance
8
Applied economics
7
Asia-Pacific financial markets
7
Decisions in economics and finance : DEF ; a journal of applied mathematics
7
Journal of mathematical finance
7
The review of financial studies
7
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7
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
7
International journal of economics and finance
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1
The uncertain volatility model : a Monte Carlo apporach
Guyon, Julien
;
Henry-Labordère, Pierre
- In:
The journal of computational finance
14
(
2010/11
)
3
,
pp. 37-71
Persistent link: https://www.econbiz.de/10008989934
Saved in:
2
Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
Bollerslev, Tim
;
Gibson, Michael S.
;
Zhou, Hao
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 235-245
Persistent link: https://www.econbiz.de/10009242522
Saved in:
3
A Gaussian approximation scheme for computation of option prices in stochastic volatility models
Cheng, Ai-ru Meg
;
Gallant, A. Ronald
;
Ji, Chuanshu
; …
- In:
Journal of econometrics
146
(
2008
)
1
,
pp. 44-58
Persistent link: https://www.econbiz.de/10003778206
Saved in:
4
Unbiased Monte Carlo valuation of lookback, swing and barrier options with continous monitoring under variance gamma models
Becker, Martin
- In:
The journal of computational finance
13
(
2009/10
)
4
,
pp. 35-61
Persistent link: https://www.econbiz.de/10003996072
Saved in:
5
Gas storage valuation using a Monte Carlo method
Boogert, Alexander
;
Jong, Cyriel de
- In:
The journal of derivatives : the official publication …
15
(
2008
)
3
,
pp. 81-98
Persistent link: https://www.econbiz.de/10003673367
Saved in:
6
Efficient Monte Carlo barrier option pricing when the underlying security price follows a jump-diffusion process
Ross, Sheldon M.
;
Ghamami, Samim
- In:
The journal of derivatives : the official publication …
17
(
2009/10
)
3
,
pp. 45-52
Persistent link: https://www.econbiz.de/10003961017
Saved in:
7
Calibration and Monte Carlo pricing of the SABR–Hull–White model for long-maturity equity derivatives
Chen, Bin
;
Grzelak, Lech A.
;
Oosterlee, Cornelis W.
- In:
The journal of computational finance
15
(
2011/12
)
4
,
pp. 79-113
Persistent link: https://www.econbiz.de/10009575387
Saved in:
8
A bias-reduction technique for Monte Carlo pricing of early- exercise options
Whitehead, Tyson
;
Reesor, R. Mark
;
Davison, Matt
- In:
The journal of computational finance
15
(
2011/12
)
3
,
pp. 33-69
Persistent link: https://www.econbiz.de/10009534169
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9
Variance dynamics : joint evidence from options and high-frequency returns
Wu, Liuren
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 280-287
Persistent link: https://www.econbiz.de/10009242518
Saved in:
10
An efficient Monte Carlo method for discrete variance contracts
Merener, Nicolas
;
Vicchi, Leonardo
- In:
The journal of computational finance
18
(
2014/15
)
3
,
pp. 1-25
Persistent link: https://www.econbiz.de/10011298488
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