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Optionspreistheorie
Monte Carlo simulation
6,201
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Joshi, Mark S.
21
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15
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9
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9
Wang, Xiaoqun
9
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8
Oosterlee, Cornelis W.
8
Reesor, R. Mark
8
Belomestny, Denis
7
Korn, Ralf
7
Caramellino, Lucia
6
Ghamami, Samim
6
Sabino, Piergiacomo
6
Takahashi, Akihiko
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Tang, Robert
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Bayer, Christian
5
Schweizer, Nikolaus
5
Seo, Sang Byung
5
Bender, Christian
4
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
Lee, Hangsuck
4
Liu, Qiang
4
Milʹstejn, Grigorij N.
4
Oosterlee, Cornelis Willebrordus
4
Pelsser, Antoon André Jean
4
Shevchenko, Pavel V.
4
Shiraya, Kenichiro
4
Zanette, Antonino
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Zhang, Bo
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Zhu, Dan
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Becker, Martin
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Boire, François-Michel
3
Bottasso, Anna
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Judge Institute of Management Studies
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National Bureau of Economic Research
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Universitat Pompeu Fabra / Departament d'Economia i Empresa
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Verlag Dr. Kovač
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Weierstraß-Institut für Angewandte Analysis und Stochastik
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The journal of computational finance
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International journal of theoretical and applied finance
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Quantitative finance
25
Computational economics
19
Finance and stochastics
15
Applied mathematical finance
14
European journal of operational research : EJOR
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Energy economics
11
Mathematical finance : an international journal of mathematics, statistics and financial theory
11
The North American journal of economics and finance : a journal of financial economics studies
11
Finance research letters
10
International journal of financial engineering
9
Journal of economic dynamics & control
9
Journal of risk and financial management : JRFM
9
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
9
Risks : open access journal
9
The journal of futures markets
9
Journal of mathematical finance
7
Mathematics of operations research
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
The journal of derivatives : the official publication of the International Association of Financial Engineers
6
Applied economics
5
Asia-Pacific financial markets
5
International review of financial analysis
5
Management science : journal of the Institute for Operations Research and the Management Sciences
5
Operations research letters
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The European journal of finance
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Advances in mathematical economics
3
Computational management science
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Diskussionsbeiträge / Fakultät Wirtschaftswissenschaft, FernUniversität in Hagen
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Insurance / Mathematics & economics
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Numerical methods in finance : Bordeaux, June 2010
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Review of derivatives research
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The journal of computational finance : JFC
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
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Annals of financial economics
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Applied economics letters
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Astin bulletin : the journal of the International Actuarial Association
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ECONIS (ZBW)
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USB Cologne (business full texts)
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EconStor
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USB Cologne (EcoSocSci)
1
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1
Nearly exact option price simulation using characteristic functions
Bernard, Carole
;
Cui, Zhenyu
;
McLeish, Don L.
- In:
International journal of theoretical and applied finance
15
(
2012
)
7
,
pp. 1-29
Persistent link: https://www.econbiz.de/10009685897
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2
Finite Gaussian mixture approximations to analytically intractable density Kernels
Khorunzhina, Natalia
;
Richard, Jean-François
- In:
Computational economics
53
(
2019
)
3
,
pp. 991-1017
Persistent link: https://www.econbiz.de/10012135106
Saved in:
3
Importance sampling for jump-diffusions via cross-entropy
Rieke, Rebecca
;
Sun, Weifeng
;
Wang, Hui
- In:
The journal of computational finance
22
(
2018
)
1
,
pp. 107-130
Persistent link: https://www.econbiz.de/10011890185
Saved in:
4
Improved variance reduced Monte-Carlo simulation of in-the-money options
Müller, Armin
- In:
Journal of mathematical finance
6
(
2016
)
3
,
pp. 361-367
Persistent link: https://www.econbiz.de/10011583475
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5
A new variance reduction technique for estimating value-at-risk
Korn, Ralf
;
Pupashenko, Mykhailo
- In:
Applied mathematical finance
22
(
2015
)
1/2
,
pp. 83-98
Persistent link: https://www.econbiz.de/10010505164
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6
Kolmogorov backward equations with singular diffusion matrices
Singer, Hermann
-
2019
Persistent link: https://www.econbiz.de/10012149431
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7
Efficient randomized quasi-Monte Carlo methods for portfolio market risk
Sak, Halis
;
Başoğlu, İsmail
- In:
Insurance / Mathematics & economics
76
(
2017
),
pp. 87-94
Persistent link: https://www.econbiz.de/10011774777
Saved in:
8
Efficient simulation of value-at-risk under a jump diffusion model : a new method for moderate deviation events
Fuh, Cheng-Der
;
Teng, Huei-Wen
;
Wang, Ren-Her
- In:
Computational economics
51
(
2018
)
4
,
pp. 973-990
Persistent link: https://www.econbiz.de/10011972209
Saved in:
9
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:
10
Efficient pricing of high-dimensional American-style derivatives : a robust regression Monte Carlo method
Jonen, Christian
-
2011
Persistent link: https://www.econbiz.de/10010204985
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