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~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
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Option pricing theory
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The journal of derivatives : the official publication of the International Association of Financial Engineers
International journal of theoretical and applied finance
481
The journal of computational finance
268
The journal of futures markets
266
Mathematical finance : an international journal of mathematics, statistics and financial theory
259
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International journal of financial engineering
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Physica A: Statistical Mechanics and its Applications
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Management science : journal of the Institute for Operations Research and the Management Sciences
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1
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
Saved in:
2
Comonotonic Monte Carlo simulation and its applications in option pricing and quantification of risk
Chateauneuf, Alain
;
Mostoufi, Mina
;
Vyncke, David
- In:
The journal of derivatives : the official publication …
24
(
2016
)
1
,
pp. 18-28
Persistent link: https://www.econbiz.de/10011687326
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
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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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
Saved in:
6
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:
7
Using Brownian bridge for fast simulation of jump-diffusion processes and barrier options
Metwally, Steve A. K.
;
Atiya, Amir F.
- In:
The journal of derivatives : the official publication …
10
(
2002
)
1
,
pp. 43-54
Persistent link: https://www.econbiz.de/10001718687
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8
An empirical evaluation of value at risk by scenario simulation
Abken, Peter A.
- In:
The journal of derivatives : the official publication …
7
(
2000
)
4
,
pp. 12-29
Persistent link: https://www.econbiz.de/10001500033
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9
Variance reduction for multivariate Monte Carlo simulation
Wang, Jr-yan
- In:
The journal of derivatives : the official publication …
16
(
2008/09
)
1
,
pp. 7-28
Persistent link: https://www.econbiz.de/10003771438
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10
Optimal derivative strategies with discrete rebalancing
Branger, Nicole
;
Breuer, Beate
;
Schlag, Christian
- In:
The journal of derivatives : the official publication …
16
(
2008/09
)
2
,
pp. 67-84
Persistent link: https://www.econbiz.de/10003795464
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