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Option pricing theory
Monte Carlo simulation
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Joshi, Mark S.
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Cui, Zhenyu
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Wang, Xiaoqun
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Grzelak, Lech A.
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Oosterlee, Cornelis W.
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Takahashi, Akihiko
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Bernard, Carole
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Caramellino, Lucia
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Escobar, Marcos
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Filipović, Damir
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Ghamami, Samim
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Kang, Boda
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Kirkby, J. Lars
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Sabino, Piergiacomo
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Shiraya, Kenichiro
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Tang, Robert
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Zhu, Dan
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Bayer, Christian
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Glasserman, Paul
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Kienitz, Jörg
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Kim, Sol
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Kim, Young Shin
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Le Floc'h, Fabien
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Weierstraß-Institut für Angewandte Analysis und Stochastik
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International journal of theoretical and applied finance
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The journal of computational finance
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Quantitative finance
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Applied mathematical finance
28
Computational economics
24
Finance and stochastics
22
European journal of operational research : EJOR
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The journal of futures markets
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Journal of economic dynamics & control
17
Energy economics
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Risks : open access journal
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The North American journal of economics and finance : a journal of financial economics studies
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International journal of financial engineering
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Journal of risk and financial management : JRFM
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Insurance / Mathematics & economics
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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Finance research letters
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Decisions in economics and finance : DEF ; a journal of applied mathematics
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Journal of mathematical finance
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Journal of banking & finance
9
Review of derivatives research
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Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
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Applied economics letters
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ECONIS (ZBW)
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1
A hybrid asymptotic expansion scheme : an application to long-term currency options
Takahashi, Akihiko
;
Takehara, Kohta
- In:
International journal of theoretical and applied finance
13
(
2010
)
8
,
pp. 1179-1221
Persistent link: https://www.econbiz.de/10008906179
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2
The evaluation of American compound option prices under stochastic volatility using the sparse grid approach
Chiarella, Carl
;
Kang, Boda
-
2009
Persistent link: https://www.econbiz.de/10003857524
Saved in:
3
American option pricing with discrete and continuous time models : an empirical comparison
Stentoft, Lars
- In:
Journal of empirical finance
18
(
2011
)
5
,
pp. 880-902
Persistent link: https://www.econbiz.de/10009492526
Saved in:
4
Estimating correlated jumps and stochastic volatilities
Witzany, Jiří
- In:
Prague economic papers : a bimonthly journal of …
22
(
2013
)
2
,
pp. 251-283
Persistent link: https://www.econbiz.de/10010226453
Saved in:
5
Static hedging of standard options
Carr, Peter
;
Wu, Liuren
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
1
,
pp. 3-46
Persistent link: https://www.econbiz.de/10010233614
Saved in:
6
A common jump factor stochastic volatility model
Laurini, Márcio Poletti
;
Mauad, Roberto Baltieri
- In:
Finance research letters
12
(
2015
),
pp. 2-10
Persistent link: https://www.econbiz.de/10011551744
Saved in:
7
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
Saved in:
8
The Heston stochastic-local volatility model : efficient Monte Carlo simulation
Stoep, Anthonie W. van der
;
Grzelak, Lech A.
; …
- In:
International journal of theoretical and applied finance
17
(
2014
)
7
,
pp. 1-30
Persistent link: https://www.econbiz.de/10010498851
Saved in:
9
Modeling intraday stochastic volatility and conditional duration contemporaneously with regime shifts
Trojan, Sebastian
-
2014
Persistent link: https://www.econbiz.de/10010437483
Saved in:
10
A non-parametric estimator for stochastic volatility density
Ouamaliche, Soufiane
;
Sayah, Awatef
- In:
International journal of computational economics and …
11
(
2021
)
4
,
pp. 349-367
Persistent link: https://www.econbiz.de/10012655445
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