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Option pricing theory
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Madan, Dilip B.
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The journal of computational finance
Robert H. Smith School Research Paper
48
International journal of theoretical and applied finance
18
Mathematical finance : an international journal of mathematics, statistics and financial theory
16
Annals of finance
14
Review of derivatives research
14
Finance and stochastics
11
Quantitative Finance
10
Applied mathematical finance
9
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9
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8
International Journal of Theoretical and Applied Finance (IJTAF)
8
Finance research letters
7
Quantitative finance
7
Economics Papers from University Paris Dauphine
6
International journal of financial engineering
6
The journal of business : B
6
Insurance: Mathematics and Economics
5
Journal of banking & finance
5
Journal of risk
5
Mathematics and financial economics
5
The journal of derivatives : the official publication of the International Association of Financial Engineers
5
Finance and Stochastics
4
International journal of financial research
4
Journal of Risk and Financial Management
4
Journal of financial economics
4
Queen's Economics Department working paper
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Review of Derivatives Research
4
The journal of credit risk : published quarterly by Incisive Media
4
The review of financial studies
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Financial markets, institutions & instruments
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Journal of Banking & Finance
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Journal of financial and quantitative analysis : JFQA
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Journal of risk and financial management : JRFM
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Advanced modelling in mathematical finance : in honour of Ernst Eberlein
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Alternative investments and strategies : credit, derivatives, CPPI, investments, risk
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Modeling the bid and ask prices of options
Madan, Dilip B.
;
Schoutens, Wim
;
Wang, King
- In:
The journal of computational finance
26
(
2023
)
4
,
pp. 1-36
Persistent link: https://www.econbiz.de/10014342059
Saved in:
2
Fast valuation and calibration of credit default swaps under Lévy dynamics
Fang, Fang
;
Jönsson, Henrik
;
Oosterlee, Cornelis W.
; …
- In:
The journal of computational finance
14
(
2010/11
)
2
,
pp. 57-86
Persistent link: https://www.econbiz.de/10008810136
Saved in:
3
Pricing credit default swaps under Lévy models
Cariboni, Jessica
;
Schoutens, Wim
- In:
The journal of computational finance
10
(
2006/07
)
4
,
pp. 71-91
Persistent link: https://www.econbiz.de/10003542263
Saved in:
4
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:
5
Fast valuation and calibration of credit default swaps under Lévy dynamics
Fang, Fang
;
Jönsson, Henrik
;
Oosterlee, Cornelis W
; …
- In:
The journal of computational finance
14
(
2010
)
2
,
pp. 57-87
Persistent link: https://www.econbiz.de/10008787349
Saved in:
6
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
Saved in:
7
Representing the CGMY and Meixner Lévy processes as time changed Brownian motions
Madan, Dilip B.
;
Yor, Marc
- In:
The journal of computational finance
12
(
2008
)
1
,
pp. 27-47
Persistent link: https://www.econbiz.de/10009534636
Saved in:
8
Pricing continuous Asian options : a comparison of Monte Carlo and Laplace transform inversion methods
Fu, Michael
;
Madan, Dilip B.
;
Wang, Tong
- In:
The journal of computational finance
2
(
1998/1999
)
2
,
pp. 49-74
Persistent link: https://www.econbiz.de/10001633397
Saved in:
9
Pricing American options under variance gamma
Hirsa, Ali
;
Madan, Dilip B.
- In:
The journal of computational finance
7
(
2003/2004
)
2
,
pp. 63-80
Persistent link: https://www.econbiz.de/10001908061
Saved in:
10
Option valuation using the fast Fourier transform
Carr, Peter
;
Madan, Dilip B.
- In:
The journal of computational finance
2
(
1999
)
4
,
pp. 61-73
Persistent link: https://www.econbiz.de/10001517298
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