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~isPartOf:"Journal of mathematical finance"
~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~isPartOf:"The journal of finance : the journal of the American Finance Association"
~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
365
Optionspreistheorie
365
Theorie
148
Theory
148
Volatility
91
Volatilität
91
Option trading
85
Optionsgeschäft
85
Stochastic process
71
Stochastischer Prozess
71
Black-Scholes model
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Derivat
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Derivative
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USA
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24
Interest rate derivative
21
Portfolio selection
21
Portfolio-Management
21
Zinsderivat
21
Index futures
20
Index-Futures
20
Aktienoption
18
Stock option
18
Börsenkurs
15
Option Pricing
15
Share price
15
Swap
15
Simulation
14
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13
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13
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30
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Andersen, Torben
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Babsiri, Mohamed el
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Bakshi, Gurdip S.
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Bennett, Michael N.
1
Benzoni, Luca
1
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Dutt, Samir K.
1
Eldor, Rafi
1
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1
Gesser, Vincent
1
Ghamami, Samim
1
Grullon, Gustavo
1
Gu, Guiding
1
Hauser, Shmuel
1
Heston, Steven L.
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Journal of mathematical finance
The journal of derivatives : the official publication of the International Association of Financial Engineers
The journal of finance : the journal of the American Finance Association
The journal of computational finance
46
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
International review of financial analysis
8
Journal of econometrics
8
Journal of empirical finance
8
Applied economics
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Asia-Pacific financial markets
7
Decisions in economics and finance : DEF ; a journal of applied mathematics
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The review of financial studies
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Working paper
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Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
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International journal of economics and finance
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1
Uncovering the distribution of option implied risk aversion
Kyriacou, Maria
;
Olmo, Jose
;
Strittmatter, Marius
- In:
Journal of mathematical finance
9
(
2019
)
2
,
pp. 81-104
Persistent link: https://www.econbiz.de/10012116675
Saved in:
2
An empirical investigation of continuous-time equity return models
Andersen, Torben
;
Benzoni, Luca
;
Lund, Jesper
- In:
The journal of finance : the journal of the American …
57
(
2002
)
3
,
pp. 1239-1284
Persistent link: https://www.econbiz.de/10001684993
Saved in:
3
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:
4
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:
5
A computational approach to financial option pricing using quasi Monte Carlo methods via variance reduction techniques
Mehrdoust, Farshid
;
Vajargah, Kianoush Fathi
- In:
Journal of mathematical finance
2
(
2012
)
2
,
pp. 195-198
Persistent link: https://www.econbiz.de/10009719240
Saved in:
6
Relative option prices and risk-neutral skew as predictors of index returns
Ratcliff, Ryan
- In:
The journal of derivatives : the official publication …
21
(
2013
)
2
,
pp. 89-105
Persistent link: https://www.econbiz.de/10010358117
Saved in:
7
Variance reduction techniques of importance sampling Monte Carlo methods for pricing options
Zhao, Qiang
;
Liu, Guo
;
Gu, Guiding
- In:
Journal of mathematical finance
3
(
2013
)
4
,
pp. 431-436
Persistent link: https://www.econbiz.de/10010239518
Saved in:
8
A comparative study of equilibrium equity premium under discrete distributions of jump amplitudes
Mukupa, George M.
;
Offen, Elias R.
;
Kunda, Douglas
; …
- In:
Journal of mathematical finance
6
(
2016
)
1
,
pp. 232-246
Persistent link: https://www.econbiz.de/10011543918
Saved in:
9
A guide to FX options quoting conventions
Reiswich, Dimitri
;
Wystup, Uwe
- In:
The journal of derivatives : the official publication …
18
(
2010
)
2
,
pp. 58-68
Persistent link: https://www.econbiz.de/10008771850
Saved in:
10
Just-in-time Monte Carlo for path-dependent American options
Dutt, Samir K.
;
Welke, Gerd M.
- In:
The journal of derivatives : the official publication …
15
(
2008
)
4
,
pp. 29-47
Persistent link: https://www.econbiz.de/10003733222
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