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~isPartOf:"The journal of computational 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
512
Optionspreistheorie
512
Theorie
220
Theory
220
Volatility
122
Volatilität
122
Option trading
118
Optionsgeschäft
118
Stochastic process
111
Stochastischer Prozess
111
Black-Scholes model
67
Black-Scholes-Modell
67
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64
United States
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Derivat
59
Derivative
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Yield curve
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Hedging
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Interest rate derivative
35
Zinsderivat
35
Swap
26
Statistical distribution
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Statistische Verteilung
25
Simulation
24
CAPM
23
Aktienoption
19
Index futures
19
Index-Futures
19
Stock option
19
Analysis
17
Credit risk
17
Kreditrisiko
17
Mathematical analysis
17
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17
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69
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Caramellino, Lucia
2
Fu, Michael
2
Harrach, Bastian von
2
Korn, Ralf
2
Shevchenko, Pavel V.
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Xu, Wei
2
Alm, Thomas
1
Andersen, Torben
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Asghari, Naser M.
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1
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1
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1
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1
Bourgey, Florian
1
Brenner, Menachem
1
Briani, Maya
1
Cakici, Nusret
1
Chateauneuf, Alain
1
Chen, Bin
1
Chen, Xi
1
Chen, Zhiwu
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Coleman, Thomas F.
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The journal of computational 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
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
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Asia-Pacific financial markets
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Decisions in economics and finance : DEF ; a journal of applied mathematics
7
Journal of mathematical 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
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
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:
4
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:
5
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:
6
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:
7
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
Saved in:
8
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
Saved in:
9
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:
10
A Monte Carlo pricing algorithm for autocallables that allows for stable differentiation
Alm, Thomas
;
Harrach, Bastian von
;
Harrach, Daphne
; …
- In:
The journal of computational finance
17
(
2013
)
1
,
pp. 43-70
Persistent link: https://www.econbiz.de/10010337818
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