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Option pricing theory
254
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254
Stochastic process
94
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94
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81
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81
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80
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Madan, Dilip B.
7
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6
Rebonato, Riccardo
6
Coleman, Thomas F.
5
Reisinger, Christoph
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Grzelak, Lech A.
3
Kirkby, J. Lars
3
Korn, Ralf
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Le Floc'h, Fabien
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Oosterlee, Cornelis W.
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Schoenmakers, John
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Zvan, R.
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2
Fu, Michael
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Glau, Kathrin
2
Grossinho, Maria do Rosário
2
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The journal of computational finance
NBER working paper series
898
Finance research letters
853
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823
Journal of banking & finance
774
Energy economics
709
NBER Working Paper
702
The journal of futures markets
687
International journal of theoretical and applied finance
618
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567
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521
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487
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476
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437
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425
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404
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Economics letters
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359
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The European journal of finance
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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Pacific-Basin finance journal
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Journal of risk and financial management : JRFM
267
Research paper series / Swiss Finance Institute
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Discussion paper / Tinbergen Institute
263
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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ECONIS (ZBW)
275
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1
Recovering
volatility
from option prices by evolutionary optimization
Hamida, Sana Ben
;
Cont, Rama
- In:
The journal of computational finance
8
(
2004/2005
)
4
,
pp. 43-76
Persistent link: https://www.econbiz.de/10002990524
Saved in:
2
Arbitrage-free estimation of the risk-neutral density from the implied
volatility
smile
Brunner, Bernhard
;
Hafner, Reinhold
- In:
The journal of computational finance
7
(
2003
)
1
,
pp. 75-106
Persistent link: https://www.econbiz.de/10001805446
Saved in:
3
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:
4
Accelerated trinomial trees applied to American basket options and American options under the Bates model
O'Sullivan, Conall
;
O'Sullivan, Stephen
- In:
The journal of computational finance
19
(
2016
)
4
,
pp. 29-72
Persistent link: https://www.econbiz.de/10011603176
Saved in:
5
The forward smile in local-stochastic
volatility
models
Mazzon, Andrea
;
Pascucci, Andrea
- In:
The journal of computational finance
20
(
2016/2017
)
3
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011689675
Saved in:
6
American and exotic option pricing with jump diffusions and other Lévy processes
Kirkby, J. Lars
- In:
The journal of computational finance
22
(
2018
)
3
,
pp. 89-148
Persistent link: https://www.econbiz.de/10011988194
Saved in:
7
Volatility
risk structure for options depending on extrema
Nakatsu, Tomonori
- In:
The journal of computational finance
21
(
2017/2018
)
3
,
pp. 105-122
Persistent link: https://www.econbiz.de/10011848359
Saved in:
8
Pricing American call options using the Black-Scholes equation with a nonlinear
volatility
function
Grossinho, Maria do Rosário
;
Kord, Yaser
;
Ševčovič, …
- In:
The journal of computational finance
23
(
2020
)
4
,
pp. 93-113
Persistent link: https://www.econbiz.de/10012212488
Saved in:
9
Pricing multiple barrier derivatives under stochastic
volatility
Escobar, Marcos
;
Panz, Sven
;
Zagst, Rudi
- In:
The journal of computational finance
24
(
2020
)
2
,
pp. 77-101
Persistent link: https://www.econbiz.de/10012543622
Saved in:
10
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
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