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Option pricing theory
199
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199
Volatility
105
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105
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103
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103
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53
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Bayer, Christian
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Felpel, Mike
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Quantitative finance
International journal of theoretical and applied finance
514
Mathematical finance : an international journal of mathematics, statistics and financial theory
322
The journal of futures markets
275
Finance and stochastics
265
The journal of computational finance
265
Applied mathematical finance
261
Journal of economic dynamics & control
242
Journal of banking & finance
234
The journal of derivatives : the official publication of the International Association of Financial Engineers
224
NBER working paper series
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Working paper / National Bureau of Economic Research, Inc.
197
Review of derivatives research
178
NBER Working Paper
158
Insurance / Mathematics & economics
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Discussion paper / Centre for Economic Policy Research
143
European journal of operational research : EJOR
138
Finance research letters
127
Computational economics
122
Journal of economic theory
121
International journal of financial engineering
118
Journal of mathematical economics
116
Journal of mathematical finance
113
Research paper series / Swiss Finance Institute
107
Economic theory : official journal of the Society for the Advancement of Economic Theory
102
Risks : open access journal
102
Working paper
99
Journal of financial economics
94
Asia-Pacific financial markets
90
The review of financial studies
89
The European journal of finance
87
The North American journal of economics and finance : a journal of financial economics studies
87
Economics letters
83
CESifo working papers
79
The journal of finance : the journal of the American Finance Association
79
Economic modelling
78
Journal of econometrics
78
Energy economics
71
Journal of financial and quantitative analysis : JFQA
69
Journal of monetary economics
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ECONIS (ZBW)
202
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1
Short-dated smile under rough volatility : asymptotics and numerics
Friz, Peter K.
;
Gassiat, Paul
;
Pigato, Paolo
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 463-480
Persistent link: https://www.econbiz.de/10013167770
Saved in:
2
A revised option pricing formula with the underlying being banned from short selling
He, Xin-Jiang
;
Zhu, Song-Ping
- In:
Quantitative finance
20
(
2020
)
6
,
pp. 935-948
Persistent link: https://www.econbiz.de/10012262638
Saved in:
3
Machine learning for quantitative finance : fast derivative pricing, hedging and fitting
De Spiegeleer, Jan
;
Madan, Dilip B.
;
Reyners, Sofie
; …
- In:
Quantitative finance
18
(
2018
)
10
,
pp. 1635-1643
Persistent link: https://www.econbiz.de/10012259802
Saved in:
4
A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility
Huh, Jeonggyu
;
Jeon, Jaegi
;
Kim, Jeong-Hoon
;
Park, Hyejin
- In:
Quantitative finance
19
(
2019
)
1
,
pp. 155-175
Persistent link: https://www.econbiz.de/10012194627
Saved in:
5
Implied stopping rules for American basket options from Markovian projection
Bayer, Christian
;
Häppölä, Juho
;
Tempone, Raúl
- In:
Quantitative finance
19
(
2019
)
3
,
pp. 371-390
Persistent link: https://www.econbiz.de/10012194659
Saved in:
6
Short-time near-the-money skew in rough fractional volatility models
Bayer, Christian
;
Friz, Peter K.
;
Gulisashvili, Archil
; …
- In:
Quantitative finance
19
(
2019
)
5
,
pp. 779-798
Persistent link: https://www.econbiz.de/10012194716
Saved in:
7
Real options under a double exponential jump-diffusion model with regime switching and partial information
Luo, Pengfei
;
Xiong, Jie
;
Yang, Jinqiang
;
Yang, Zhaojun
- In:
Quantitative finance
19
(
2019
)
6
,
pp. 1061-1073
Persistent link: https://www.econbiz.de/10012194743
Saved in:
8
The QLBS Q-Learner goes NuQLear : fitted Q iteration, inverse RL, and option portfolios
Halperin, Igor
- In:
Quantitative finance
19
(
2019
)
9
,
pp. 1543-1553
Persistent link: https://www.econbiz.de/10012194805
Saved in:
9
American-type basket option pricing : a simple two-dimensional partial differential equation
Hanbali, Hamza
;
Linders, Daniel
- In:
Quantitative finance
19
(
2019
)
10
,
pp. 1689-1704
Persistent link: https://www.econbiz.de/10012194817
Saved in:
10
A PDE method for estimation of implied volatility
Matić, Ivan
;
Radoičić, Radoš
;
Stefanica, Dan
- In:
Quantitative finance
20
(
2020
)
3
,
pp. 393-408
Persistent link: https://www.econbiz.de/10012194873
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