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~isPartOf:"European journal of operational research : EJOR"
~isPartOf:"Journal of economic dynamics & control"
~person:"Glasserman, Paul"
~person:"Marazzina, Daniele"
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Option pricing theory
7
Optionspreistheorie
7
Option pricing
3
Option trading
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Optionsgeschäft
3
Black-Scholes model
2
Black-Scholes-Modell
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Finance
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Glasserman, Paul
Marazzina, Daniele
Cui, Zhenyu
7
Dai, Min
5
Fabozzi, Frank J.
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Fusai, Gianluca
5
Kirkby, J. Lars
5
Nguyen, Duy
5
Zenios, Stauros Andrea
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Liu, Xiaoquan
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Badescu, Alexandru
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Branger, Nicole
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Broadie, Mark
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Chang, Chien-hung
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Shiraya, Kenichiro
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Tunaru, Radu
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European journal of operational research : EJOR
Journal of economic dynamics & control
Finance and stochastics
3
Mathematical finance : an international journal of mathematics, statistics and financial theory
3
The journal of computational finance
3
Quantitative finance
2
The journal of derivatives : the official publication of the International Association of Financial Engineers
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Application of operations research to financial markets
1
Applications of mathematics : stochastic modelling and applied probability
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Computational management science
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Decisions in economics and finance : a journal of applied mathematics
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International journal of theoretical and applied finance
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
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Paine Webber working paper series in money, economics and finance
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The professional risk managers' guide to finance theory and application
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ECONIS (ZBW)
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1
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:
2
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:
3
Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
Fusai, Gianluca
;
Germano, Guido
;
Marazzina, Daniele
- In:
European journal of operational research : EJOR
251
(
2016
)
1
,
pp. 124-134
Persistent link: https://www.econbiz.de/10011446230
Saved in:
4
Pricing exotic derivatives exploiting structure
Sesana, Debora
;
Marazzina, Daniele
;
Fusai, Gianluca
- In:
European journal of operational research : EJOR
236
(
2014
)
1
,
pp. 369-381
Persistent link: https://www.econbiz.de/10010361703
Saved in:
5
Saddlepoint approximations for affine jump-diffusion models
Glasserman, Paul
;
Kim, Kyoung-kuk
- In:
Journal of economic dynamics & control
33
(
2009
)
1
,
pp. 15-36
Persistent link: https://www.econbiz.de/10003810117
Saved in:
6
Pricing American style securities using simulation
Broadie, Mark
- In:
Journal of economic dynamics & control
21
(
1997
)
8
,
pp. 1323-1352
Persistent link: https://www.econbiz.de/10001222047
Saved in:
7
Monte Carlo methods for security pricing
Boyle, Phelim P.
- In:
Journal of economic dynamics & control
21
(
1997
)
8
,
pp. 1267-1321
Persistent link: https://www.econbiz.de/10001222048
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