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Option Prices with Stochastic...
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Monte Carlo simulation
Optionspreistheorie
14,815
Option pricing theory
14,350
Volatilität
4,019
Volatility
3,951
Theorie
3,933
Theory
3,786
Stochastischer Prozess
3,306
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3,253
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2,976
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2,454
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1,726
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1,630
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1,326
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1,185
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1,169
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1,066
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961
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914
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899
USA
781
United States
765
Risiko
657
Risk
654
Realoptionsansatz
652
Real options analysis
650
Monte-Carlo-Simulation
627
Kreditrisiko
598
Börsenkurs
594
Credit risk
588
Statistische Verteilung
587
Share price
579
Statistical distribution
577
Kapitaleinkommen
539
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German
4
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Joshi, Mark S.
22
Stentoft, Lars
15
Schoenmakers, John
10
Chiarella, Carl
9
Wang, Xiaoqun
9
Belomestny, Denis
8
Grzelak, Lech A.
8
Oosterlee, Cornelis W.
8
Reesor, R. Mark
8
Korn, Ralf
7
Caramellino, Lucia
6
Ghamami, Samim
6
Milʹstejn, Grigorij N.
6
Sabino, Piergiacomo
6
Takahashi, Akihiko
6
Tang, Robert
6
Bayer, Christian
5
Bender, Christian
5
Schweizer, Nikolaus
5
Bernard, Carole
4
Beveridge, Christopher
4
Boyle, Phelim P.
4
Del Moral, Pierre
4
Fanelli, Viviana
4
Glasserman, Paul
4
Jackson, Kenneth R.
4
Kang, Boda
4
Liu, Qiang
4
Oosterlee, Cornelis Willebrordus
4
Shevchenko, Pavel V.
4
Shiraya, Kenichiro
4
Zanette, Antonino
4
Zhang, Bo
4
Zhu, Dan
4
Becker, Martin
3
Boire, François-Michel
3
Bollerslev, Tim
3
Bottasso, Anna
3
Brandão, Luiz Eduardo Teixeira
3
Chen, Bin
3
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Centre for Analytical Finance <Århus>
3
Columbia University / Graduate School of Business
1
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
1
Universitat Pompeu Fabra / Departament d'Economia i Empresa
1
Weierstraß-Institut für Angewandte Analysis und Stochastik
1
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The journal of computational finance
43
International journal of theoretical and applied finance
32
Quantitative finance
25
Computational economics
18
Finance and stochastics
15
Applied mathematical finance
14
European journal of operational research : EJOR
14
Energy economics
12
Mathematical finance : an international journal of mathematics, statistics and financial theory
11
Journal of risk and financial management : JRFM
9
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
9
Risks : open access journal
9
International journal of financial engineering
8
Journal of economic dynamics & control
8
The North American journal of economics and finance : a journal of financial economics studies
8
The journal of futures markets
8
Finance research letters
7
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
7
Decisions in economics and finance : DEF ; a journal of applied mathematics
6
Mathematics of operations research
6
The journal of derivatives : the official publication of the International Association of Financial Engineers
6
Applied economics
5
Asia-Pacific financial markets
5
Journal of mathematical finance
5
Management science : journal of the Institute for Operations Research and the Management Sciences
5
International review of financial analysis
4
Operations research letters
4
The European journal of finance
4
Advances in mathematical economics
3
Computational management science
3
Diskussionsbeiträge / Fakultät Wirtschaftswissenschaft, FernUniversität in Hagen
3
Finance and economics discussion series
3
Insurance / Mathematics & economics
3
Journal of econometrics
3
Numerical methods in finance : Bordeaux, June 2010
3
Review of derivatives research
3
The journal of computational finance : JFC
3
Working paper
3
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
3
Annals of financial economics
2
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ECONIS (ZBW)
613
EconStor
3
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1
Asymptotic normality for EMS option price estimator with continuous or discontinuous payoff functions
Yuan, Zhushun
;
Chen, Gemai
- In:
Management science : journal of the Institute for …
55
(
2009
)
8
,
pp. 1438-1450
Persistent link: https://www.econbiz.de/10003885452
Saved in:
2
A Monte Carlo approach for the American put under stochastic interest rates
Lindset, Snorre
;
Lund, Arne-Christian
- In:
Journal of economic dynamics & control
31
(
2007
)
4
,
pp. 1081-1105
Persistent link: https://www.econbiz.de/10003443353
Saved in:
3
Monte Carlo techniques in pricing and using derivatives
Marshall, Cara M.
- In:
Financial derivatives : pricing and risk management
,
(pp. 425-440)
.
2010
Persistent link: https://www.econbiz.de/10003920439
Saved in:
4
Optimal importance sampling with explicit formulas in continuous time
Guasoni, Paolo
;
Robertson, Scott
- In:
Finance and stochastics
12
(
2008
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10003592542
Saved in:
5
Total risk minimization using Monte Carlos simulations
Coleman, Thomas F.
;
Li, Yuying
;
Patron, Maria-Christina
- In:
Financial engineering
,
(pp. 593-635)
.
2008
Persistent link: https://www.econbiz.de/10003567761
Saved in:
6
A technique for reducing discretization bias from Monte Carlo simulations : option pricing under stochastic interest rates
Lindset, Snorre
;
Lund, Arne-Christian
- In:
The European journal of finance
13
(
2007
)
5/6
,
pp. 545-564
Persistent link: https://www.econbiz.de/10003570611
Saved in:
7
The uncertain volatility model : a Monte Carlo apporach
Guyon, Julien
;
Henry-Labordère, Pierre
- In:
The journal of computational finance
14
(
2010/11
)
3
,
pp. 37-71
Persistent link: https://www.econbiz.de/10008989934
Saved in:
8
Optimal partial proxy method for computing gammas of financial products with discontinuous and angular payoffs
Joshi, Mark S.
;
Zhu, Dan
- In:
Applied mathematical finance
23
(
2016
)
1/2
,
pp. 22-56
Persistent link: https://www.econbiz.de/10011546983
Saved in:
9
Using simulations to price compound options and calculate partial differentials
Siddiqi, Mazhar A.
- In:
Advances in quantitative analysis of finance and …
8
(
2000
),
pp. 61-86
Persistent link: https://www.econbiz.de/10001543195
Saved in:
10
A risk-neutral stochastic volatility model
Zhu, Yingzi
- In:
International journal of theoretical and applied finance
1
(
1998
)
2
,
pp. 289-310
Persistent link: https://www.econbiz.de/10001240151
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