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isPartOf:"International journal of theoretical and applied finance"
~subject:"Monte Carlo"
~subject:"Option trading"
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Monte Carlo
Option trading
Monte Carlo simulation
42
Monte-Carlo-Simulation
42
Option pricing theory
28
Optionspreistheorie
28
Stochastic process
12
Stochastischer Prozess
12
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11
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9
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7
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Oosterlee, Cornelis W.
3
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2
Stoep, Anthonie W. van der
2
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1
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1
Bernard, Carole
1
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1
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1
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1
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1
Reiß, O.
1
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1
Tang, Robert
1
Terenzi, Giulia
1
Tichy, Robert F.
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International journal of theoretical and applied finance
The journal of computational finance
15
Quantitative finance
12
Computational economics
9
Journal of risk and financial management : JRFM
9
European journal of operational research : EJOR
6
INFORMS journal on computing : JOC
6
Journal of economic dynamics & control
6
Economics letters
5
Applied economics
4
Econometrics : open access journal
4
International journal of financial engineering
4
International journal of forecasting
4
Risks : open access journal
4
Applied economics letters
3
Applied mathematical finance
3
Economic modelling
3
Energy economics
3
Journal of econometrics
3
Journal of mathematical finance
3
Mathematical finance : an international journal of mathematics, statistics and financial theory
3
Organizational research methods : ORM
3
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
3
The North American journal of economics and finance : a journal of financial economics studies
3
The journal of derivatives : the official publication of the International Association of Financial Engineers
3
The journal of futures markets
3
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American journal of agricultural economics
2
Cahiers du Département d'Econométrie
2
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Discussion papers / Adam Smith Business School, University of Glasgow
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Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP)
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Econometric reviews
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Economics / Discussion papers : the open-access, open-assessment e-journal
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Finance and stochastics
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Finance research letters
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IES working paper
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IMA journal of management mathematics
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ECONIS (ZBW)
11
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1
Conditional Monte Carlo scheme for stable greeks of worst-of autocallable notes
Rakhmonov, Firuz
;
Rakhmonov, Parviz
- In:
International journal of theoretical and applied finance
22
(
2019
)
6
,
pp. 1-13
Persistent link: https://www.econbiz.de/10012153309
Saved in:
2
Numerical stability of a hybrid method for pricing options
Briani, Maya
;
Caramellino, Lucia
;
Terenzi, Giulia
; …
- In:
International journal of theoretical and applied finance
22
(
2019
)
7
,
pp. 1-46
Persistent link: https://www.econbiz.de/10012153319
Saved in:
3
The valuation of self-funding instalment warrants
Dewynne, Jeff N.
;
Hassan, Nadima el
- In:
International journal of theoretical and applied finance
20
(
2017
)
4
,
pp. 1-48
Persistent link: https://www.econbiz.de/10011687010
Saved in:
4
The time-dependent FX-SABR model : efficient calibration based on effective parameters
Stoep, Anthonie W. van der
;
Grzelak, Lech A.
; …
- In:
International journal of theoretical and applied finance
18
(
2015
)
6
,
pp. 1-38
Persistent link: https://www.econbiz.de/10011403947
Saved in:
5
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:
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
A central limit theorem for Latin hypercube sampling with dependence and application to exotic basket option pricing
Aistleitner, Christoph
;
Hofer, Markus
;
Tichy, Robert F.
- In:
International journal of theoretical and applied finance
15
(
2012
)
7
,
pp. 1-20
Persistent link: https://www.econbiz.de/10009685903
Saved in:
8
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:
9
Pricing and Deltas of discretely-monitored barrier options using stratified sampling on the hitting-times to the barrier
Joshi, Mark S.
;
Tang, Robert
- In:
International journal of theoretical and applied finance
13
(
2010
)
5
,
pp. 717-750
Persistent link: https://www.econbiz.de/10008904339
Saved in:
10
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:
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