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Option pricing theory
254
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254
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92
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The journal of computational finance
Journal of banking & finance
925
European journal of operational research : EJOR
769
NBER working paper series
761
Finance research letters
749
International journal of theoretical and applied finance
685
Working paper / National Bureau of Economic Research, Inc.
644
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International review of financial analysis
409
Journal of economic dynamics & control
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Journal of financial economics
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Journal of econometrics
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The journal of futures markets
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Applied economics
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Economics letters
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Discussion paper / Tinbergen Institute
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International journal of production research
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The journal of finance : the journal of the American Finance Association
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ECONIS (ZBW)
297
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1
Importance
sampling
for jump processes and applications to finance
Badouraly Kassim, Laetitia
;
Lelong, Jérôme
; …
- In:
The journal of computational finance
19
(
2015/2016
)
2
,
pp. 109-139
Persistent link: https://www.econbiz.de/10011442676
Saved in:
2
Monte Carlo payoff smoothing for pricing autocallable instruments
Koster, Frank
;
Rehmet, Achim
- In:
The journal of computational finance
21
(
2017/2018
)
4
,
pp. 59-77
Persistent link: https://www.econbiz.de/10011848407
Saved in:
3
Importance
sampling
for jump-diffusions via cross-entropy
Rieke, Rebecca
;
Sun, Weifeng
;
Wang, Hui
- In:
The journal of computational finance
22
(
2018
)
1
,
pp. 107-130
Persistent link: https://www.econbiz.de/10011890185
Saved in:
4
Stratified approximations for the pricing of options on average
Privault, Nicolas
;
Yu, Jiadong
- In:
The journal of computational finance
19
(
2016
)
4
,
pp. 95-113
Persistent link: https://www.econbiz.de/10011603193
Saved in:
5
Efficient estimation of sensitivities for counterparty credit risk with the finite difference Monte Carlo method
Graaf, Cornelis S. L. de
;
Kandhai, Drona
;
Sloot, Peter M. A.
- In:
The journal of computational finance
21
(
2017
)
1
,
pp. 83-113
Persistent link: https://www.econbiz.de/10011691615
Saved in:
6
Portfolio optimization for American options
Zeng, Yaxiong
;
Klabjan, Diego
- In:
The journal of computational finance
22
(
2018
)
3
,
pp. 37-64
Persistent link: https://www.econbiz.de/10011988191
Saved in:
7
Variance optimal hedging with application to electricity markets
Warin, Xavier
- In:
The journal of computational finance
23
(
2019
)
3
,
pp. 33-59
Persistent link: https://www.econbiz.de/10012162373
Saved in:
8
A generalized risk budgeting approach to portfolio construction
Haugh, Martin B.
;
Iyengar, Garud
;
Song, Irene
- In:
The journal of computational finance
21
(
2017/2018
)
2
,
pp. 29-60
Persistent link: https://www.econbiz.de/10011848310
Saved in:
9
Latin hypercube
sampling
with dependence and applications in finance
Packham, Natalie
;
Schmidt, Wolfgang M.
- In:
The journal of computational finance
13
(
2009/10
)
3
,
pp. 81-111
Persistent link: https://www.econbiz.de/10003971915
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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