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Option pricing theory
11
Optionspreistheorie
11
Theorie
9
Theory
9
Monte Carlo simulation
8
Monte-Carlo-Simulation
8
Stochastic process
7
Stochastischer Prozess
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optimal stopping
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Nichtparametrisches Verfahren
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52
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Schoenmakers, John
19
Belomestny, Denis
7
Spokojnyj, Vladimir G.
7
Härdle, Wolfgang
4
Bender, Christian
3
Milʹstejn, Grigorij N.
3
Chen, Ying
2
Kolodko, Anastasia
2
Ladkau, Marcel
2
Zhang, Jianing
2
Bayer, Christian
1
Coffey, Brian
1
Dickmann, Fabian
1
Giacomini, Enzo
1
Heemink, A. W.
1
Herwartz, Helmut
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Kurbanmuradov, O.
1
Laeven, Roger J. A.
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Mahayni, Antje
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Papapantoleon, Antonis
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Redmann, Martin
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Reiß, O.
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Reiß, Oliver
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Sabelfeld, K.
1
Samarov, Alexander
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Schweizer, Martin
1
Skovmand, David
1
Stadje, Mitja
1
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International journal of theoretical and applied finance
4
Finance and stochastics
3
The journal of computational finance
3
Journal of economic dynamics & control
2
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
Mathematics of operations research
2
Quantitative finance
2
Decisions in economics and finance : DEF ; a journal of applied mathematics
1
Econometric theory
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
International Journal of Portfolio Analysis and Management
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of empirical finance
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of the American Statistical Association : JASA
1
The econometrics journal
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1
Sensitivities for Bermudan options by regression methods
Belomestny, Denis
;
Milʹstejn, Grigorij N.
; …
- In:
Decisions in economics and finance : DEF ; a journal of …
33
(
2010
)
2
,
pp. 117-138
Persistent link: https://www.econbiz.de/10008668146
Saved in:
2
A new Monte Carlo method for American options
Milʹstejn, Grigorij N.
;
Reiß, O.
;
Schoenmakers, John
- In:
International journal of theoretical and applied finance
7
(
2004
)
5
,
pp. 591-614
Persistent link: https://www.econbiz.de/10002171485
Saved in:
3
Monte Carlo evaluation of American options using consumption processes
Belomestny, Denis
;
Milʹstejn, Grigorij N.
- In:
International journal of theoretical and applied finance
9
(
2006
)
4
,
pp. 455-481
Persistent link: https://www.econbiz.de/10003347377
Saved in:
4
A pure martingale dual for multiple stopping
Schoenmakers, John
- In:
Finance and stochastics
16
(
2012
)
2
,
pp. 319-334
Persistent link: https://www.econbiz.de/10009544665
Saved in:
5
True upper bounds for Bermudan products via non-nested Monte Carlo
Belomestny, Denis
;
Bender, Christian
;
Schoenmakers, John
- In:
Mathematical finance : an international journal of …
19
(
2009
)
1
,
pp. 53-71
Persistent link: https://www.econbiz.de/10003818229
Saved in:
6
From structural assumptions to a link between assets and interrest rates
Reiß, Oliver
;
Schoenmakers, John
;
Schweizer, Martin
- In:
Journal of economic dynamics & control
31
(
2007
)
2
,
pp. 593-612
Persistent link: https://www.econbiz.de/10003412327
Saved in:
7
Pricing CMS spread options in a Libor market model
Belomestny, Denis
;
Kolodko, Anastasia
;
Schoenmakers, John
- In:
International journal of theoretical and applied finance
13
(
2010
)
1
,
pp. 45-62
Persistent link: https://www.econbiz.de/10008860424
Saved in:
8
Efficient and accurate log-Lévy approximations of Lévy-driven LIBOR models
Papapantoleon, Antonis
;
Schoenmakers, John
;
Skovmand, David
- In:
The journal of computational finance
15
(
2011/12
)
4
,
pp. 3-44
Persistent link: https://www.econbiz.de/10009575414
Saved in:
9
Iterative construction of the optimal Bermudan stopping time
Kolodko, Anastasia
;
Schoenmakers, John
- In:
Finance and stochastics
10
(
2006
)
1
,
pp. 27-49
Persistent link: https://www.econbiz.de/10003234943
Saved in:
10
Lognormal approximations to Libor market models
Kurbanmuradov, O.
;
Sabelfeld, K.
;
Schoenmakers, John
- In:
The journal of computational finance
6
(
2002
)
1
,
pp. 69-100
Persistent link: https://www.econbiz.de/10001704745
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