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~isPartOf:"Computational management science"
~isPartOf:"Journal of economic dynamics & control"
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Search: subject_exact:"Optionspreismodell"
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Monte Carlo simulation
Option pricing theory
141
Optionspreistheorie
141
Option trading
42
Optionsgeschäft
42
Stochastic process
41
Stochastischer Prozess
41
Theorie
38
Theory
38
Volatility
38
Volatilität
38
Derivat
23
Derivative
23
Portfolio selection
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Portfolio-Management
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Hedging
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Black-Scholes-Modell
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Statistical distribution
8
Statistische Verteilung
8
Real options analysis
7
Realoptionsansatz
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Credit risk
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Estimation theory
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Kreditrisiko
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Option pricing
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Risikoprämie
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Risk premium
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Schätztheorie
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Simulation
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11
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Joshi, Mark S.
2
Tang, Robert
2
Ankirchner, Stefan
1
Azzone, Michele
1
Baviera, Roberto
1
Beveridge, Christopher
1
Boyle, Phelim P.
1
Eastman, Warren
1
Fujiwara, Hajime
1
García, Diego
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1
Kijima, Masaaki
1
La Bua, Gaetano
1
Lindset, Snorre
1
Lund, Arne-Christian
1
Marazzina, Daniele
1
Schneider, Judith Christiane
1
Schweizer, Nikolaus
1
Tan, Ken Seng
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Computational management science
Journal of economic dynamics & control
The journal of computational finance
42
International journal of theoretical and applied finance
28
Quantitative finance
24
Computational economics
16
Finance and stochastics
15
European journal of operational research : EJOR
14
Applied mathematical finance
13
Energy economics
11
Mathematical finance : an international journal of mathematics, statistics and financial theory
11
Journal of risk and financial management : JRFM
9
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
9
Risks : open access journal
9
International journal of financial engineering
8
The North American journal of economics and finance : a journal of financial economics studies
8
The journal of futures markets
8
Finance research letters
7
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
7
Decisions in economics and finance : DEF ; a journal of applied mathematics
6
Mathematics of operations research
6
The journal of derivatives : the official publication of the International Association of Financial Engineers
6
Applied economics
5
Asia-Pacific financial markets
5
Journal of mathematical finance
5
Management science : journal of the Institute for Operations Research and the Management Sciences
5
International review of financial analysis
4
Operations research letters
4
The European journal of finance
4
Advances in mathematical economics
3
Diskussionsbeiträge / Fakultät Wirtschaftswissenschaft, FernUniversität in Hagen
3
Insurance / Mathematics & economics
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Numerical methods in finance : Bordeaux, June 2010
3
Review of derivatives research
3
The journal of computational finance : JFC
3
Working paper
3
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
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Annals of financial economics
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Applied economics letters
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Astin bulletin : the journal of the International Actuarial Association
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1
A fast Monte Carlo scheme for additive processes and option pricing
Azzone, Michele
;
Baviera, Roberto
- In:
Computational management science
20
(
2023
)
1
,
pp. 1-34
Persistent link: https://www.econbiz.de/10014393374
Saved in:
2
On the application of Wishart process to the pricing of equity derivatives : the multi-asset case
La Bua, Gaetano
;
Marazzina, Daniele
- In:
Computational management science
18
(
2021
)
2
,
pp. 149-176
Persistent link: https://www.econbiz.de/10012543391
Saved in:
3
How do invariant transformations affect the calibration and optimization of the Kalman filtering algorithm used in the estimation of continuous-time affine term structure models?
Juneja, Januj Amar
- In:
Computational management science
18
(
2021
)
1
,
pp. 73-97
Persistent link: https://www.econbiz.de/10012487048
Saved in:
4
Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
Joshi, Mark S.
;
Tang, Robert
- In:
Journal of economic dynamics & control
40
(
2014
),
pp. 25-45
Persistent link: https://www.econbiz.de/10010424450
Saved in:
5
Cross-hedging minimum return guarantees : basis and liquidity risks
Ankirchner, Stefan
;
Schneider, Judith Christiane
; …
- In:
Journal of economic dynamics & control
41
(
2014
),
pp. 93-109
Persistent link: https://www.econbiz.de/10010425003
Saved in:
6
Practical policy iteration : generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
Beveridge, Christopher
;
Joshi, Mark S.
;
Tang, Robert
- In:
Journal of economic dynamics & control
37
(
2013
)
7
,
pp. 1342-1361
Persistent link: https://www.econbiz.de/10009751160
Saved in:
7
A Monte Carlo approach for the American put under stochastic interest rates
Lindset, Snorre
;
Lund, Arne-Christian
- In:
Journal of economic dynamics & control
31
(
2007
)
4
,
pp. 1081-1105
Persistent link: https://www.econbiz.de/10003443353
Saved in:
8
Pricing of path-dependent American options by Monte Carlo simulation
Fujiwara, Hajime
;
Kijima, Masaaki
- In:
Journal of economic dynamics & control
31
(
2007
)
11
,
pp. 3478-3502
Persistent link: https://www.econbiz.de/10003569563
Saved in:
9
Randomized quasi-Monte Carlo methods in pricing securities
Ökten, Giray
;
Eastman, Warren
- In:
Journal of economic dynamics & control
28
(
2004
)
12
,
pp. 2399-2426
Persistent link: https://www.econbiz.de/10002370021
Saved in:
10
Convergence and biases of Monte Carlo estimates of American option prices using a parametric exercise rule
García, Diego
- In:
Journal of economic dynamics & control
27
(
2003
)
10
,
pp. 1855-1879
Persistent link: https://www.econbiz.de/10001755436
Saved in:
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