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Option pricing theory
254
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The journal of computational finance
CESifo Working Paper
833
MPRA Paper
705
CESifo working papers
641
IZA Discussion Papers
597
CESifo Working Paper Series
572
International journal of theoretical and applied finance
469
Comercio exterior : CE
460
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457
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379
Investigación económica : revista de la Faculdad de Economía de la Universidad Nacional Autónoma de México
371
El trimestre económico
341
CEPR Discussion Papers
326
NBER working paper series
317
Working Paper
308
The journal of futures markets
262
Análisis económico
258
Mathematical finance : an international journal of mathematics, statistics and financial theory
255
Policy research working paper : WPS
250
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245
Applied mathematical finance
240
Problemas del desarrollo : revista latinoamericana de economía
222
Journal of banking & finance
221
Finance and stochastics
218
NBER Working Paper
208
The journal of derivatives : the official publication of the International Association of Financial Engineers
204
NBER Working Papers
200
Quantitative finance
196
Working papers
190
Review of derivatives research
170
World development : the multi-disciplinary international journal devoted to the study and promotion of world development
167
Working paper
161
Estudios económicos
145
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144
Insurance / Mathematics & economics
139
The North American journal of economics and finance : a journal of financial economics studies
139
European journal of operational research : EJOR
134
Economía mexicana
131
Journal of economic dynamics & control
131
Discussion paper / Tinbergen Institute
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ECONIS (ZBW)
254
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1
Accurate approximations for European-style Asian options
Chalasani, Prasad
;
Jha, Somesh
;
Varikooty, Ashok
- In:
The journal of computational finance
1
(
1998
)
4
,
pp. 11-30
Persistent link: https://www.econbiz.de/10001366213
Saved in:
2
The pricing of multi-asset options using a Fourier grid method
Engelmann, Bernd
;
Schwendner, Peter
- In:
The journal of computational finance
1
(
1998
)
4
,
pp. 53-61
Persistent link: https://www.econbiz.de/10001366223
Saved in:
3
A simple approximation for the no-arbitrage drifts in Libor market model–SABR-family interest-rate models
Rebonato, Riccardo
- In:
The journal of computational finance
19
(
2015
)
1
,
pp. 1-10
Persistent link: https://www.econbiz.de/10011480695
Saved in:
4
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:
5
On the application of spectral filters in a Fourier option pricing technique
Ruijter, Marjon
;
Versteegh, M.
;
Oosterlee, Cornelis …
- In:
The journal of computational finance
19
(
2015
)
1
,
pp. 75-106
Persistent link: https://www.econbiz.de/10011480718
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6
Fast stochastic forward sensitivities in Monte Carlo simulations using stochastic automatic differentiation (with applications to initial margin valuation adjustments)
Fries, Christian
- In:
The journal of computational finance
22
(
2018/2019
)
4
,
pp. 103-125
Persistent link: https://www.econbiz.de/10012042220
Saved in:
7
The extended SSVI volatility surface
Hendriks, Sebas
;
Martini, Claude
- In:
The journal of computational finance
22
(
2018/2019
)
5
,
pp. 25-39
Persistent link: https://www.econbiz.de/10012042223
Saved in:
8
Efficient conservative second-order central-upwind schemes for option-pricing problems
Bhatoo, Omishwary
;
Peer, Arshad Ahmud Iqbal
;
Tadmor, Eitan
- In:
The journal of computational finance
22
(
2018/2019
)
5
,
pp. 71-101
Persistent link: https://www.econbiz.de/10012042237
Saved in:
9
Vibrato and automatic differentiation for high-order derivatives and sensitivities of financial options
Pagès, Gilles
;
Pironneau, Olivier
;
Sall, Guillaume
- In:
The journal of computational finance
22
(
2018
)
2
,
pp. 1-34
Persistent link: https://www.econbiz.de/10011976655
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10
Polynomial upper and lower bounds for financial derivative price functions under regime-switching
Bhim, Louis
;
Kawai, Reiichiro
- In:
The journal of computational finance
22
(
2018
)
2
,
pp. 35-71
Persistent link: https://www.econbiz.de/10011976660
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