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Option pricing theory
254
Optionspreistheorie
254
Theorie
101
Theory
101
Stochastic process
93
Stochastischer Prozess
93
Volatility
69
Volatilität
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stochastic volatility
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option pricing
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Madan, Dilip B.
7
Andersen, Leif B. G.
6
Forsyth, Peter A.
6
Reisinger, Christoph
6
Carr, Peter
4
Coleman, Thomas F.
4
Joshi, Mark S.
4
Oosterlee, Cornelis Willebrordus
4
Rebonato, Riccardo
4
Vetzal, Kenneth R.
4
Warin, Xavier
4
Brotherton-Ratcliffe, Rupert
3
Ehrhardt, Matthias
3
Fouque, Jean-Pierre
3
Glasserman, Paul
3
Grzelak, Lech A.
3
Kirkby, J. Lars
3
Korn, Ralf
3
Le Floc'h, Fabien
3
Li, Yuying
3
Oosterlee, Cornelis W.
3
Pagès, Gilles
3
Schoenmakers, John
3
Tangman, Désiré Yannick
3
Tankov, Peter
3
Zvan, R.
3
AitSahlia, Farid
2
Andreasen, Jesper Fredborg
2
Cakici, Nusret
2
Caramellino, Lucia
2
Christara, Christina C.
2
Cont, Rama
2
Crépey, Stéphane
2
Dang, Duy Minh
2
Escobar, Marcos
2
Fries, Christian
2
Fu, Michael
2
Glau, Kathrin
2
Grossinho, Maria do Rosário
2
Guerra, João
2
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The journal of computational finance
Journal of banking & finance
1,013
The journal of futures markets
963
NBER working paper series
781
International journal of theoretical and applied finance
767
Finance research letters
711
Working paper / National Bureau of Economic Research, Inc.
696
European journal of operational research : EJOR
647
NBER Working Paper
582
Insurance / Mathematics & economics
543
Journal of financial economics
455
SpringerLink / Bücher
453
Mathematical finance : an international journal of mathematics, statistics and financial theory
450
Finance and stochastics
443
International review of financial analysis
437
The journal of finance : the journal of the American Finance Association
421
Quantitative finance
411
Journal of economic dynamics & control
407
Journal of financial and quantitative analysis : JFQA
356
Applied economics
342
Applied mathematical finance
338
Management science : journal of the Institute for Operations Research and the Management Sciences
335
Energy economics
334
The review of financial studies
331
Research paper series / Swiss Finance Institute
329
The European journal of finance
328
The journal of derivatives : the official publication of the International Association of Financial Engineers
323
International review of economics & finance : IREF
319
Economics letters
312
Risks : open access journal
308
Discussion paper / Centre for Economic Policy Research
306
Journal of empirical finance
297
IMF Working Papers
295
The journal of asset management
286
Economic modelling
283
The North American journal of economics and finance : a journal of financial economics studies
283
The journal of portfolio management : a publication of Institutional Investor
278
Working paper
266
Journal of risk and financial management : JRFM
257
Applied financial economics
245
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ECONIS (ZBW)
300
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1
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:
2
Hedging
of
options
in the presence of jump clustering
Hainaut, Donatien
;
Moraux, Franck
- In:
The journal of computational finance
22
(
2018
)
3
,
pp. 1-35
Persistent link: https://www.econbiz.de/10011988188
Saved in:
3
Gaussian process regression for
derivative
portfolio modeling and application to credit valuation adjustment computations
Crépey, Stéphane
;
Dixon, Matthew F.
- In:
The journal of computational finance
24
(
2020
)
1
,
pp. 47-81
Persistent link: https://www.econbiz.de/10012421957
Saved in:
4
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:
5
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:
6
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:
7
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:
8
Gradient boosting for quantitative finance
Davis, Jesse
;
Devos, Laurens
;
Reyners, Sofie
;
Schoutens, Wim
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 1-40
Persistent link: https://www.econbiz.de/10012544161
Saved in:
9
Pricing barrier
options
with deep backward stochastic differential equation methods
Ganesan, Narayan
;
Yu, Yajie
;
Hientzsch, Bernhard
- In:
The journal of computational finance
25
(
2022
)
4
,
pp. 1-25
Persistent link: https://www.econbiz.de/10014546284
Saved in:
10
A generalized multinomial method for option pricing in several dimensions
Gustafsson, Thomas
;
Merabet, Houari
- In:
The journal of computational finance
5
(
2002
)
3
,
pp. 27-50
Persistent link: https://www.econbiz.de/10001695277
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