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Volatility
Simulation
19,791
Optionspreistheorie
14,726
Option pricing theory
14,268
Theorie
11,883
Theory
11,587
Monte Carlo simulation
6,203
Monte-Carlo-Simulation
5,637
Volatilität
4,366
Stochastischer Prozess
4,168
Stochastic process
4,101
Optionsgeschäft
2,884
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2,867
simulation
2,519
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2,478
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2,475
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2,203
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2,163
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1,860
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1,831
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1,729
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1,672
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1,669
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1,650
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1,455
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1,319
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1,318
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1,295
Germany
1,271
Markov chain
1,266
Markov-Kette
1,261
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1,223
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1,217
CAPM
1,168
Black-Scholes-Modell
1,115
Mathematische Optimierung
1,087
Mathematical programming
1,084
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1,060
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1,059
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1,046
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1,534
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1,242
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2,507
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575
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531
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111
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24
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13
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7
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4,238
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52
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4
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3
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1
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Cui, Zhenyu
44
Carr, Peter
26
Chiarella, Carl
26
Jacquier, Antoine (Jack)
25
Jacobs, Kris
24
Gatheral, Jim
22
Härdle, Wolfgang
21
Nguyen, Duy
21
Lorig, Matthew
20
Takahashi, Akihiko
20
Zhang, Jin E.
20
Alòs, Elisa
19
Guyon, Julien
19
Koopman, Siem Jan
19
McAleer, Michael
19
Christoffersen, Peter F.
18
Fengler, Matthias R.
18
Benth, Fred Espen
17
Martin, Gael M.
17
Wang, Xingchun
16
Escobar, Marcos
15
Fouque, Jean-Pierre
15
Grasselli, Martino
15
Kang, Boda
15
Todorov, Viktor
15
Asai, Manabu
14
Elliott, Robert J.
14
Forbes, Catherine Scipione
14
Forde, Martin
14
Jacquier, Antoine
14
Le Floc'h, Fabien
14
Oosterlee, Cornelis W.
14
Schoutens, Wim
14
Skiadopoulos, George
14
Wu, Liuren
14
Ewald, Christian-Oliver
13
Grzelak, Lech A.
13
Madan, Dilip B.
13
Wong, Hoi Ying
13
Zheng, Wendong
13
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National Bureau of Economic Research
10
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
8
Centre for Analytical Finance <Århus>
7
Chambre de commerce et d'industrie de Paris
3
Svenska Handelshögskolan <Helsinki>
3
Centre of Financial Studies
2
Aarhus Universitet / Afdeling for Nationaløkonomi
1
Banque de France / Direction des Etudes Economiques et de la Recherche
1
Birkbeck College / Department of Economics
1
Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
1
Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
1
Danmarks Nationalbank
1
Econometrisch Instituut <Rotterdam>
1
Federal Reserve Bank of Cleveland
1
Federal Reserve Bank of San Francisco
1
Federal Reserve Bank of St. Louis
1
Hochschule für Bankwirtschaft
1
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1
International Center for Financial Asset Management and Engineering
1
Internationaler Währungsfonds / Research Department
1
Karlsruher Institut für Technologie
1
Melbourne Business School
1
Springer Fachmedien Wiesbaden
1
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1
Technische Universität Dresden / Fakultät Wirtschaftswissenschaften
1
Universität Ulm
1
Université Paris-Dauphine (Paris IX)
1
Weierstraß-Institut für Angewandte Analysis und Stochastik
1
Westfälische Wilhelms-Universität Münster
1
Wharton School
1
Wharton School / Finance Department
1
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International journal of theoretical and applied finance
161
Quantitative finance
109
The journal of futures markets
81
Journal of banking & finance
77
Applied mathematical finance
73
The journal of computational finance
67
Mathematical finance : an international journal of mathematics, statistics and financial theory
61
Journal of econometrics
55
Review of derivatives research
50
Finance research letters
47
International journal of financial engineering
47
Computational economics
45
European journal of operational research : EJOR
42
Finance and stochastics
42
Journal of economic dynamics & control
41
The North American journal of economics and finance : a journal of financial economics studies
39
Journal of mathematical finance
38
The journal of derivatives : the official publication of the International Association of Financial Engineers
37
Discussion paper / Tinbergen Institute
32
Risks : open access journal
31
Research paper series / Swiss Finance Institute
29
Journal of empirical finance
28
Review of quantitative finance and accounting
27
Annals of finance
26
Insurance / Mathematics & economics
26
Journal of financial economics
26
Journal of risk and financial management : JRFM
26
Applied economics
25
The European journal of finance
25
Economic modelling
24
International review of economics & finance : IREF
23
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
23
Management science : journal of the Institute for Operations Research and the Management Sciences
22
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
21
Energy economics
20
Asia-Pacific financial markets
19
Decisions in economics and finance : DEF ; a journal of applied mathematics
19
Econometric reviews
19
International review of financial analysis
17
Economics letters
16
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ECONIS (ZBW)
4,291
RePEc
4
Showing
1
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10
of
4,295
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date (oldest first)
1
JDOI variance reduction method and the pricing of American-style options
Auster, Johan
;
Mathys, Ludovic
;
Maeder, Fabio
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 639-656
Persistent link: https://www.econbiz.de/10013367843
Saved in:
2
A mixed Monte Carlo and partial differential equation variance reduction method for foreign exchange options under the Heston-Cox-Ingersoll-Ross model
Cozma, Andrei
;
Reisinger, Christoph
- In:
The journal of computational finance
20
(
2016/2017
)
3
,
pp. 109-149
Persistent link: https://www.econbiz.de/10011689688
Saved in:
3
A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models
Dang, Duy Minh
;
Jackson, Kenneth R.
;
Sues, Scott
- In:
Applied mathematical finance
24
(
2017
)
3/4
,
pp. 175-215
Persistent link: https://www.econbiz.de/10011815225
Saved in:
4
Turbocharging Monte Carlo pricing for the rough Bergomi model
McCrickerd, Ryan
;
Pakkanen, Mikko S.
- In:
Quantitative finance
18
(
2018
)
11
,
pp. 1877-1886
Persistent link: https://www.econbiz.de/10012262858
Saved in:
5
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:
6
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
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
An efficient Monte Carlo method for discrete variance contracts
Merener, Nicolas
;
Vicchi, Leonardo
- In:
The journal of computational finance
18
(
2014/15
)
3
,
pp. 1-25
Persistent link: https://www.econbiz.de/10011298488
Saved in:
10
Stock price
simulation
using bootstrap and Monte Carlo
Pažický, Martin
- In:
Scientific Annals of Economics and Business
64
(
2017
)
2
,
pp. 155-170
Persistent link: https://www.econbiz.de/10011865983
Saved in:
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