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~isPartOf:"Computational economics"
~isPartOf:"Management science : journal of the Institute for Operations Research and the Management Sciences"
~isPartOf:"Review of derivatives research"
~subject:"Derivative"
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Computational economics
Management science : journal of the Institute for Operations Research and the Management Sciences
Review of derivatives research
International journal of theoretical and applied finance
59
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ECONIS (ZBW)
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1
Simulating and pricing CAT bonds using the spectral method based on Chebyshev basis
Aghdam, Y. Esmaeelzade
;
Neisy, A.
;
Adl, A.
- In:
Computational economics
63
(
2024
)
1
,
pp. 423-435
Persistent link: https://www.econbiz.de/10014472268
Saved in:
2
Numerical approximation to a variable-order time-fractional Black-Scholes model with applications in option pricing
Zhang, Meihui
;
Zheng, Xiangcheng
- In:
Computational economics
62
(
2023
)
3
,
pp. 1155-1175
Persistent link: https://www.econbiz.de/10014382889
Saved in:
3
Valuation of spark-spread option written on electricity and gas forward contracts under two-factor models with non-Gaussian Lévy processes
Mehrdoust, Farshid
;
Noorani, Idin
- In:
Computational economics
61
(
2023
)
2
,
pp. 807-853
Persistent link: https://www.econbiz.de/10014228463
Saved in:
4
Pricing vulnerable basket spread options with liquidity risk
Dong, Ziming
;
Tang, Dan
;
Wang, Xingchun
- In:
Review of derivatives research
26
(
2023
)
1
,
pp. 23-50
Persistent link: https://www.econbiz.de/10014266355
Saved in:
5
Exploring option pricing and hedging via volatility asymmetry
Casas, Isabel
;
Veiga, Helena
- In:
Computational economics
57
(
2021
)
4
,
pp. 1015-1039
Persistent link: https://www.econbiz.de/10012543248
Saved in:
6
The valuation of weather derivatives using one sided Crank-Nicolson schemes
Li, Peng
- In:
Computational economics
58
(
2021
)
3
,
pp. 825-847
Persistent link: https://www.econbiz.de/10012651041
Saved in:
7
The pricing of jump propagation : evidence from spot and options markets
Du, Du
;
Luo, Dan
- In:
Management science : journal of the Institute for …
65
(
2019
)
5
,
pp. 2360-2387
Persistent link: https://www.econbiz.de/10012039789
Saved in:
8
Pricing VIX derivatives with free stochastic volatility model
Lin, Wei
;
Li, Shenghong
;
Chern, Shane
;
Zhang, Jin E.
- In:
Review of derivatives research
22
(
2019
)
1
,
pp. 41-75
Persistent link: https://www.econbiz.de/10012311659
Saved in:
9
Rare disasters, credit, and option market puzzles
Christoffersen, Peter F.
;
Du, Du
;
Elkamhi, Redouane
- In:
Management science : journal of the Institute for …
63
(
2017
)
5
,
pp. 1341-1364
Persistent link: https://www.econbiz.de/10011684726
Saved in:
10
A four-factor stochastic volatility model of commodity prices
Schöne, Max F.
;
Spinler, Stefan
- In:
Review of derivatives research
20
(
2017
)
2
,
pp. 135-165
Persistent link: https://www.econbiz.de/10011935975
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