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Option pricing theory
22
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22
Stochastic process
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Stochastischer Prozess
21
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19
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19
stochastic volatility
16
option pricing
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The journal of computational finance
International journal of theoretical and applied finance
73
International Journal of Theoretical and Applied Finance (IJTAF)
69
Physica A: Statistical Mechanics and its Applications
59
Working Paper
59
Quantitative finance
57
MPRA Paper
56
Finance and Stochastics
52
CREATES Research Papers
49
Journal of econometrics
46
Tinbergen Institute Discussion Papers
43
Applied Mathematical Finance
40
CIRANO Working Papers
34
Discussion paper / Tinbergen Institute
34
Quantitative Finance
34
Review of Derivatives Research
34
Computational economics
33
Tinbergen Institute Discussion Paper
31
Finance
30
Journal of economic dynamics & control
29
Applied mathematical finance
27
Management Science
27
Finance research letters
26
European journal of operational research : EJOR
25
International journal of financial engineering
25
The journal of futures markets
25
Journal of mathematical finance
24
Risks : open access journal
24
Discussion Paper Serie B
23
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
23
The North American journal of economics and finance : a journal of financial economics studies
23
Working paper
23
Journal of Risk and Financial Management
22
Journal of banking & finance
22
Review of derivatives research
22
Journal of risk and financial management : JRFM
21
CEPR Discussion Papers
20
Economic modelling
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Economics Series Working Papers / Department of Economics, Oxford University
20
SFB 649 Discussion Papers
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ECONIS (ZBW)
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1
A novel Fourier transform B-spline method for option pricing
Haslip, Gareth G.
;
Kaishev, Vladimir K.
- In:
The journal of computational finance
19
(
2015
)
1
,
pp. 41-74
Persistent link: https://www.econbiz.de/10011480709
Saved in:
2
Numerical simulation and applications of the convection-diffusion-reaction equation with the radial basis function in a finite-difference mode
Mollapourasl, Reza
;
Haghi, Majid
;
Heryudono, Alfa
- In:
The journal of computational finance
23
(
2020
)
5
,
pp. 33-73
Persistent link: https://www.econbiz.de/10012295864
Saved in:
3
The CTMC–Heston model : calibration and exotic option pricing with SWIFT
Leitao, Álvaro
;
Kirkby, J. Lars
;
Ortiz-Garcia, Luis
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 71-114
Persistent link: https://www.econbiz.de/10012544164
Saved in:
4
Robust product Markovian quantization
Rudd, Ralph
;
McWalter, Thomas A.
;
Kienitz, Jörg
; …
- In:
The journal of computational finance
25
(
2022
)
4
,
pp. 55-78
Persistent link: https://www.econbiz.de/10014546287
Saved in:
5
Probabilistic machine learning for local volatility
Tegnér, Martin
;
Roberts, Stephen
- In:
The journal of computational finance
25
(
2021
)
3
,
pp. 1-50
Persistent link: https://www.econbiz.de/10012873079
Saved in:
6
High-order approximations to call option prices in the Heston model
Gulisashvili, Archil
;
Lagunas-Merino, Marc
;
Merino, Raúl
; …
- In:
The journal of computational finance
24
(
2020
)
1
,
pp. 83-102
Persistent link: https://www.econbiz.de/10012421960
Saved in:
7
A reduced basis method for parabolic partial differential equations with parameter functions and application to option pricing
Mayerhofer, Antonia Christine
;
Urban, Karsten
- In:
The journal of computational finance
20
(
2016/2017
)
4
,
pp. 71-106
Persistent link: https://www.econbiz.de/10011691633
Saved in:
8
Valuation of barrier options using sequential Monte Carlo
Shevchenko, Pavel V.
;
Del Moral, Pierre
- In:
The journal of computational finance
20
(
2016/2017
)
4
,
pp. 107-135
Persistent link: https://www.econbiz.de/10011691638
Saved in:
9
A new improvement scheme for approximation methods of probability density functions
Takahashi, Akihiko
;
Tsuzuki, Yukihiro
- In:
The journal of computational finance
19
(
2016
)
4
,
pp. 73-94
Persistent link: https://www.econbiz.de/10011603189
Saved in:
10
Importance sampling applied to Greeks for jump : diffusion models with stochastic volatility
De Diego, Sergio
;
Ferreira, Eva
;
Nualart, Eulàlia
- In:
The journal of computational finance
22
(
2018
)
1
,
pp. 79-105
Persistent link: https://www.econbiz.de/10011890181
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