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Option pricing theory
196
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Stochastic process
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108
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Bayer, Christian
7
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Radoičić, Radoš
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Tempone, Raúl
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Chan, Tat Lung
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Felpel, Mike
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International Conference on Stochastic Programming <15., 2019, Trondheim>
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Quantitative finance
European journal of operational research : EJOR
2,598
Computers & operations research : and their applications to problems of world concern ; an international journal
1,404
International journal of production research
877
Operations research letters
679
International journal of theoretical and applied finance
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INFORMS journal on computing : JOC ; charting new directions in operations research and computer science ; a journal of the Institute for Operations Research and the Management Sciences
179
Operational research : an international journal
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Review of derivatives research
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OR spectrum : quantitative approaches in management
170
Discussion paper / Center for Economic Research, Tilburg University
169
RAIRO / Operations research
162
International transactions in operational research : ITOR ; a journal of the International Federation of Operational Research Societies (IFORS)
148
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1
Turbocharging Monte Carlo pricing for the rough Bergomi model
McCrickerd, Ryan
;
Pakkanen, Mikko S.
- In:
Quantitative finance
18
(
2018
)
11
,
pp. 1877-1886
Persistent link: https://www.econbiz.de/10012262858
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2
Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing
Bayer, Christian
;
Ben Hammouda, Chiheb
;
Tempone, Raúl
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 209-227
Persistent link: https://www.econbiz.de/10014232621
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3
Deep weighted Monte Carlo : a hybrid option pricing framework using neural networks
Kunsági-Máté, Sándor
;
Fáth, Gábor
;
Csabai, István
; …
- In:
Quantitative finance
23
(
2023
)
4
,
pp. 615-629
Persistent link: https://www.econbiz.de/10014304287
Saved in:
4
Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles : practical applications of the KLNV-scheme
Shinozaki, Yuji
- In:
Quantitative finance
21
(
2021
)
7
,
pp. 1147-1161
Persistent link: https://www.econbiz.de/10012588029
Saved in:
5
Pricing high-dimensional American options by kernel ridge regression
Hu, Wenbin
;
Zastawniak, Tomasz
- In:
Quantitative finance
20
(
2020
)
5
,
pp. 851-865
Persistent link: https://www.econbiz.de/10012262630
Saved in:
6
Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model
Bayer, Christian
;
Ben Hammouda, Chiheb
;
Tempone, Raúl
- In:
Quantitative finance
20
(
2020
)
9
,
pp. 1457-1473
Persistent link: https://www.econbiz.de/10012295614
Saved in:
7
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
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8
Calibration and advanced simulation schemes for the Wishart stochastic volatility model
La Bua, Gaetano
;
Marazzina, Daniele
- In:
Quantitative finance
19
(
2019
)
6
,
pp. 997-1016
Persistent link: https://www.econbiz.de/10012194737
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9
Artificial neural network for option pricing with and without asymptotic correction
Funahashi, Hideharu
- In:
Quantitative finance
21
(
2021
)
4
,
pp. 575-592
Persistent link: https://www.econbiz.de/10012483840
Saved in:
10
Dynamic programming for optimal stopping via pseudo-regression
Bayer, Christian
;
Redmann, Martin
;
Schoenmakers, John
- In:
Quantitative finance
21
(
2021
)
1
,
pp. 29-44
Persistent link: https://www.econbiz.de/10012424631
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