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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
Quantitative Finance
19
International journal of theoretical and applied finance
18
Mathematical finance : an international journal of mathematics, statistics and financial theory
17
Annals of finance
14
Review of derivatives research
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Finance and stochastics
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Mathematical Finance
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10
International Journal of Theoretical and Applied Finance (IJTAF)
9
AFI
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Insurance / Mathematics & economics
8
Finance research letters
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Quantitative finance
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The journal of business : B
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The review of financial studies
7
Economics Papers from University Paris Dauphine
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International journal of financial engineering
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Journal of banking & finance
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Journal of financial economics
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Queen's Economics Department Working Paper
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Working Papers / Economics Department, Queen's University
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Finance and Stochastics
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Insurance: Mathematics and Economics
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Journal of financial and quantitative analysis : JFQA
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Journal of risk
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Mathematics and financial economics
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The journal of derivatives : the official publication of the International Association of Financial Engineers
5
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Center for Financial Institutions Working Papers
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International journal of financial research
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Journal of Banking & Finance
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Journal of Risk and Financial Management
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Queen's Economics Department working paper
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Review of Derivatives Research
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Risk : managing risk in the world's financial markets
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The journal of credit risk : published quarterly by Incisive Media
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1
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:
2
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:
3
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:
4
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:
5
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
Saved in:
6
The Chebyshev method for the implied volatility
Glau, Kathrin
;
Herold, Paul
;
Madan, Dilip B.
;
Pötz, …
- In:
The journal of computational finance
23
(
2019
)
3
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012162365
Saved in:
7
Adjusting exponential Lévy models toward the simultaneous calibration of market prices for crash cliquets
Carr, Peter
;
Khanna, Ajay
;
Madan, Dilip B.
- In:
The journal of computational finance
20
(
2016
)
1
,
pp. 89-111
Persistent link: https://www.econbiz.de/10011639593
Saved in:
8
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:
9
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:
10
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
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