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The journal of computational finance
MPRA Paper
1,213
ECB Working Paper
980
IMF Working Papers
739
NBER working paper series
635
Working Paper
635
CEPR Discussion Papers
559
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285
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271
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270
Mathematical finance : an international journal of mathematics, statistics and financial theory
256
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247
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244
Journal of economic dynamics & control
244
IMF working paper
243
Journal of banking & finance
237
Economic modelling
234
Journal of money, credit and banking : JMCB
222
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219
The journal of derivatives : the official publication of the International Association of Financial Engineers
203
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BIS Working Paper
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FEDS Working Paper
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184
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ECONIS (ZBW)
254
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1
A tree-based method to price American options in the Heston model
Vellekoop, Michel
;
Nieuwenhuis, J. H.
- In:
The journal of computational finance
13
(
2009/10
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10003969727
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2
Saddlepoint methods for option pricing
Carr, Peter
;
Madan, Dilip B.
- In:
The journal of computational finance
13
(
2009/10
)
1
,
pp. 49-61
Persistent link: https://www.econbiz.de/10003969743
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3
Pricing and hedging gap risk
Tankov, Peter
- In:
The journal of computational finance
13
(
2009/10
)
3
,
pp. 33-59
Persistent link: https://www.econbiz.de/10003971913
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4
A high-order front-tracking finite difference method for pricing American options under jump-diffusion models
Toivanen, Jari
- In:
The journal of computational finance
13
(
2009/10
)
3
,
pp. 61-79
Persistent link: https://www.econbiz.de/10003971914
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5
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
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6
Special issue: Numerical methods for finance
Edelman, David
(
contributor
)
-
2010
Persistent link: https://www.econbiz.de/10003971918
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7
Calibration of local volatility using the local and implied instantaneous variance
Turinici, Gabriel
- In:
The journal of computational finance
13
(
2009/2010
)
2
,
pp. 1-18
Persistent link: https://www.econbiz.de/10003949859
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8
Linking caplets and swaptions prices in the LMM-SABR model
Rebonato, Riccardo
;
White, Richard
- In:
The journal of computational finance
13
(
2009/10
)
2
,
pp. 19-45
Persistent link: https://www.econbiz.de/10003949865
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9
Numerical techniques for the valuation of basket options and their Greeks
Hager, Corinna
;
Hüeber, Stefan
;
Wohlmuth, Barbara
- In:
The journal of computational finance
13
(
2009/10
)
4
,
pp. 3-33
Persistent link: https://www.econbiz.de/10003996019
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10
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
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