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Option pricing theory
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Cui, Zhenyu
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32
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29
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24
Carr, Peter
23
Oosterlee, Cornelis W.
23
Nguyen, Duy
22
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21
Stentoft, Lars
21
Elliott, Robert J.
20
Hainaut, Donatien
20
Alòs, Elisa
19
Escobar, Marcos
17
Grzelak, Lech A.
17
Wong, Hoi Ying
17
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16
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16
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15
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15
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14
Lorig, Matthew
14
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13
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13
Fouque, Jean-Pierre
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Hess, Markus
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Kang, Boda
13
Levendorskij, Sergej Z.
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Račev, Svetlozar T.
13
Shiraya, Kenichiro
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National Bureau of Economic Research
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Chambre de commerce et d'industrie de Paris
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International journal of theoretical and applied finance
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The journal of computational finance
123
Quantitative finance
119
Applied mathematical finance
99
Finance and stochastics
93
Mathematical finance : an international journal of mathematics, statistics and financial theory
79
European journal of operational research : EJOR
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Insurance / Mathematics & economics
69
Computational economics
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International journal of financial engineering
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Journal of mathematical finance
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Journal of economic dynamics & control
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Risks : open access journal
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The journal of futures markets
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Review of derivatives research
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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 banking & finance
33
Annals of finance
28
The European journal of finance
28
Journal of econometrics
27
Journal of risk and financial management : JRFM
27
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
27
The journal of derivatives : the official publication of the International Association of Financial Engineers
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Asia-Pacific financial markets
26
Energy economics
26
Research paper series / Swiss Finance Institute
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Mathematical finance : an international journal of mathematics, statistics and financial economics
22
Decisions in economics and finance : DEF ; a journal of applied mathematics
20
Operations research letters
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Applied economics
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Economic modelling
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Journal of financial economics
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Mathematics of operations research
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Mathematics and financial economics
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SFB 649 discussion paper
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Review of quantitative finance and accounting
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ECONIS (ZBW)
3,767
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1
A cost of carry-based framework for the Bitcoin futures price modeling
Lian, Yu-Min
;
Cheng, Chi-Hung
;
Lin, Shih-Hsun
;
Lin, …
- In:
Journal of mathematical finance
9
(
2019
)
1
,
pp. 42-53
Persistent link: https://www.econbiz.de/10012116666
Saved in:
2
Importance sampling for option Greeks with discontinuous payoffs
Tong, Shaolong
;
Liu, Guangwu
- In:
INFORMS journal on computing : JOC
28
(
2016
)
2
,
pp. 223-235
Persistent link: https://www.econbiz.de/10011489268
Saved in:
3
Geometrically convergent
simulation
of the extrema of Lévy processes
González Cázares, Jorge Ignacio
;
Mijatović, Aleksandar
; …
- In:
Mathematics of operations research
47
(
2022
)
2
,
pp. 1141-1168
Persistent link: https://www.econbiz.de/10013365090
Saved in:
4
Calculating variable annuity liability "Greeks" using Monte Carlo
simulation
Cathcart, Mark J.
;
Lok, Hsiao Yen
;
McNeil, Alexander J.
; …
- In:
Astin bulletin : the journal of the International …
45
(
2015
)
2
,
pp. 239-266
Persistent link: https://www.econbiz.de/10011312287
Saved in:
5
Model based Monte Carlo pricing of energy and temperature Quanto options
Caporin, Massimiliano
;
Preś, Juliusz
;
Torro, Hipolit
- In:
Energy economics
34
(
2012
)
5
,
pp. 1700-1712
Persistent link: https://www.econbiz.de/10009687956
Saved in:
6
A low-bias
simulation
scheme for the Sabr Stochastic Volatility model
Chen, Bin
;
Oosterlee, Cornelis W.
;
Weide, Hans van der
- In:
International journal of theoretical and applied finance
15
(
2012
)
2
,
pp. 1-37
Persistent link: https://www.econbiz.de/10009624504
Saved in:
7
Fractional Brownian motions in financial models and their Monte Carlo
simulation
Tam, Chun Ming
- In:
Recent advances in financial engineering 2012 : …
,
(pp. 133-176)
.
2014
Persistent link: https://www.econbiz.de/10010359856
Saved in:
8
Localization and exact
simulation
of Brownian motion-driven stochastic differential equations
Chen, Nan
;
Huang, Zhengyu
- In:
Mathematics of operations research
38
(
2013
)
3
,
pp. 591-616
Persistent link: https://www.econbiz.de/10009787357
Saved in:
9
Real option valuation of power transmission investments by stochastic
simulation
Pringles, Rolando
;
Olsina, Fernando
;
Garcés, Francisco
- In:
Energy economics
47
(
2015
),
pp. 215-226
Persistent link: https://www.econbiz.de/10011527490
Saved in:
10
Equilibrium option pricing : a Monte Carlo approach
Buchner, Axel
- In:
Finance research letters
15
(
2015
),
pp. 138-145
Persistent link: https://www.econbiz.de/10011553023
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