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~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~isPartOf:"The journal of finance : the journal of the American Finance Association"
~subject:"Kapitaleinkommen"
~subject:"Monte Carlo simulation"
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Option Prices with Stochastic...
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Kapitaleinkommen
Monte Carlo simulation
Option pricing theory
258
Optionspreistheorie
258
Theorie
146
Theory
146
Option trading
59
Optionsgeschäft
59
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56
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15
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Andersen, Torben
1
Babsiri, Mohamed el
1
Benzoni, Luca
1
Boogert, Alexander
1
Chateauneuf, Alain
1
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1
Duck, Peter W.
1
Dutt, Samir K.
1
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1
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1
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1
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1
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1
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1
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1
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1
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The journal of derivatives : the official publication of the International Association of Financial Engineers
The journal of finance : the journal of the American Finance Association
The journal of computational finance
45
International journal of theoretical and applied finance
35
Quantitative finance
34
Computational economics
18
Journal of financial economics
18
Finance and stochastics
17
Journal of banking & finance
17
Applied mathematical finance
16
Mathematical finance : an international journal of mathematics, statistics and financial theory
15
The journal of futures markets
15
Energy economics
14
European journal of operational research : EJOR
14
Journal of risk and financial management : JRFM
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Finance research letters
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The North American journal of economics and finance : a journal of financial economics studies
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Journal of economic dynamics & control
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Management science : journal of the Institute for Operations Research and the Management Sciences
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10
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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Risks : open access journal
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Review of derivatives research
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The European journal of finance
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Decisions in economics and finance : DEF ; a journal of applied mathematics
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The review of financial studies
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ECONIS (ZBW)
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1
An empirical investigation of continuous-time equity return models
Andersen, Torben
;
Benzoni, Luca
;
Lund, Jesper
- In:
The journal of finance : the journal of the American …
57
(
2002
)
3
,
pp. 1239-1284
Persistent link: https://www.econbiz.de/10001684993
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2
Gas storage valuation using a Monte Carlo method
Boogert, Alexander
;
Jong, Cyriel de
- In:
The journal of derivatives : the official publication …
15
(
2008
)
3
,
pp. 81-98
Persistent link: https://www.econbiz.de/10003673367
Saved in:
3
Efficient Monte Carlo barrier option pricing when the underlying security price follows a jump-diffusion process
Ross, Sheldon M.
;
Ghamami, Samim
- In:
The journal of derivatives : the official publication …
17
(
2009/10
)
3
,
pp. 45-52
Persistent link: https://www.econbiz.de/10003961017
Saved in:
4
Relative option prices and risk-neutral skew as predictors of index returns
Ratcliff, Ryan
- In:
The journal of derivatives : the official publication …
21
(
2013
)
2
,
pp. 89-105
Persistent link: https://www.econbiz.de/10010358117
Saved in:
5
Just-in-time Monte Carlo for path-dependent American options
Dutt, Samir K.
;
Welke, Gerd M.
- In:
The journal of derivatives : the official publication …
15
(
2008
)
4
,
pp. 29-47
Persistent link: https://www.econbiz.de/10003733222
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6
Enhancing the accuracy of pricing American and Bermudan options
Duck, Peter W.
;
Newton, David P.
;
Widdicks, Martin
; …
- In:
The journal of derivatives : the official publication …
12
(
2004
)
4
,
pp. 34-44
Persistent link: https://www.econbiz.de/10003010747
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7
Expected option returns
Coval, Joshua
;
Shumway, Tyler
- In:
The journal of finance : the journal of the American …
56
(
2001
)
3
,
pp. 983-1009
Persistent link: https://www.econbiz.de/10001593017
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8
Calculation of volatility in a jump-diffusion model
Navas, Javier F.
- In:
The journal of derivatives : the official publication …
11
(
2003
)
2
,
pp. 66-72
Persistent link: https://www.econbiz.de/10001861586
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9
A discrete time option model dependent on expected return : a note
O'Brien, Thomas J.
- In:
The journal of finance : the journal of the American …
41
(
1986
)
2
,
pp. 515-520
Persistent link: https://www.econbiz.de/10001015096
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10
Simulating path-dependent options : a new approach
Babsiri, Mohamed el
;
Noel, Gerald
- In:
The journal of derivatives : the official publication …
6
(
1998
)
2
,
pp. 65-83
Persistent link: https://www.econbiz.de/10001355631
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