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Black-Scholes model
8
Black-Scholes-Modell
8
Option pricing theory
8
Optionspreistheorie
8
Volatility
6
Volatilität
6
Option pricing
5
Finance
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Malliavin calculus
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Markov-Kette
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Non-uniform grid
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Nonlinear Black-Scholes equation
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Operator splitting method
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Perpetual American put option
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Marazzina, Daniele
2
Ševčovič, Daniel
2
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1
Choi, Yongho
1
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1
Cui, Zhenyu
1
Fusai, Gianluca
1
Germano, Guido
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Kim, Taekkeun
1
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1
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1
Kyriakou, Ioannis
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Lee, Seunggyu
1
Marino, Zelda
1
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1
Phelan, Carolyn E.
1
Rayée, Grégory
1
Takahashi, Akihiko
1
Yamada, Toshihiro
1
Yoo, Minhyun
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Žitňanská, Magdaléna
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Asia-Pacific financial markets
European journal of operational research : EJOR
Computational economics
23
International journal of financial engineering
20
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20
The journal of computational finance
19
International journal of theoretical and applied finance
18
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13
The North American journal of economics and finance : a journal of financial economics studies
13
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Review of derivatives research
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Fuzzy optimization and decision making : a journal of modeling and computation under uncertainty
4
International journal of theoretical and applied finance : IJTAF
4
Journal of economic dynamics & control
4
Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
4
Research paper series / Swiss Finance Institute
4
SpringerLink / Bücher
4
Computational Management Science : CMS
3
Decisions in economics and finance : DEF ; a journal of applied mathematics
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International review of economics & finance : IREF
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Springer eBook Collection / Business and Economics
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
2
The European journal of finance
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1
Smiles & smirks : volatility and leverage by jumps
Ballotta, Laura
;
Rayée, Grégory
- In:
European journal of operational research : EJOR
298
(
2022
)
3
,
pp. 1145-1161
Persistent link: https://www.econbiz.de/10013206930
Saved in:
2
Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
290
(
2021
)
3
,
pp. 1046-1062
Persistent link: https://www.econbiz.de/10012495249
Saved in:
3
A general framework for pricing Asian options under stochastic volatility on parallel architecture
Corsaro, Stefania
;
Kyriakou, Ioannis
;
Marazzina, Daniele
; …
- In:
European journal of operational research : EJOR
272
(
2019
)
3
,
pp. 1082-1095
Persistent link: https://www.econbiz.de/10011942796
Saved in:
4
Fluctuation identities with continuous monitoring and their application to the pricing of barrier options
Phelan, Carolyn E.
;
Marazzina, Daniele
;
Fusai, Gianluca
; …
- In:
European journal of operational research : EJOR
271
(
2018
)
1
,
pp. 210-223
Persistent link: https://www.econbiz.de/10011882800
Saved in:
5
Pricing perpetual put options by the Black-Scholes equation with a nonlinear volatility function
Grossinho, Maria do Rosário
;
Kord, Yaser
;
Ševčovič, …
- In:
Asia-Pacific financial markets
24
(
2017
)
4
,
pp. 291-308
Persistent link: https://www.econbiz.de/10011797690
Saved in:
6
A practical finite difference method for the three-dimensional Black-Scholes equation
Kim, Junseok
;
Kim, Taekkeun
;
Jo, Jaehyun
;
Choi, Yongho
; …
- In:
European journal of operational research : EJOR
252
(
2016
)
1
,
pp. 183-190
Persistent link: https://www.econbiz.de/10011449164
Saved in:
7
Analysis of the nonlinear option pricing model under variable transaction costs
Ševčovič, Daniel
;
Žitňanská, Magdaléna
- In:
Asia-Pacific financial markets
23
(
2016
)
2
,
pp. 153-174
Persistent link: https://www.econbiz.de/10011619901
Saved in:
8
An asymptotic expansion for forward-backward SDEs : a malliavin calculus approach
Takahashi, Akihiko
;
Yamada, Toshihiro
- In:
Asia-Pacific financial markets
23
(
2016
)
4
,
pp. 337-373
Persistent link: https://www.econbiz.de/10011619975
Saved in:
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