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~isPartOf:"Journal of economic dynamics & control"
~isPartOf:"Operations research letters"
~subject:"Monte Carlo simulation"
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Search: subject_exact:"Optionspreismodell"
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Monte Carlo simulation
Option pricing theory
163
Optionspreistheorie
163
Stochastic process
53
Stochastischer Prozess
53
Option trading
47
Optionsgeschäft
47
Volatility
45
Volatilität
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38
Theory
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27
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27
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Statistical distribution
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Statistische Verteilung
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Option pricing
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Real options analysis
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Realoptionsansatz
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Risikoprämie
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Risk premium
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Markov chain
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Markov-Kette
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Simulation
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English
12
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Joshi, Mark S.
2
Tang, Robert
2
Ankirchner, Stefan
1
Bayraksan, Güzin
1
Beveridge, Christopher
1
Boire, François-Michel
1
Boyle, Phelim P.
1
Eastman, Warren
1
Fujiwara, Hajime
1
García, Diego
1
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1
Joshu, Mark S.
1
Kijima, Masaaki
1
Lindset, Snorre
1
Lund, Arne-Christian
1
Reesor, R. Mark
1
Schneider, Judith Christiane
1
Schweizer, Nikolaus
1
Stentoft, Lars
1
Tan, Ken Seng
1
Wnuk, Marcin
1
Ökten, Giray
1
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Journal of economic dynamics & control
Operations research letters
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
The European journal of finance
4
Advances in mathematical economics
3
Computational management science
3
Diskussionsbeiträge / Fakultät Wirtschaftswissenschaft, FernUniversität in Hagen
3
Insurance / Mathematics & economics
3
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
3
Annals of financial economics
2
Applied economics letters
2
Astin bulletin : the journal of the International Actuarial Association
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ECONIS (ZBW)
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1
Lower bounds for American option prices with control variates
Boire, François-Michel
;
Reesor, R. Mark
;
Stentoft, Lars
- In:
Operations research letters
51
(
2023
)
6
,
pp. 568-574
Persistent link: https://www.econbiz.de/10014465726
Saved in:
2
Note on pairwise negative dependence of randomly shifted and jittered rank-1 lattices
Wnuk, Marcin
;
Gnewuch, Michael
- In:
Operations research letters
48
(
2020
)
4
,
pp. 410-414
Persistent link: https://www.econbiz.de/10012294754
Saved in:
3
An improved averaged two-replication procedure with Latin hypercube sampling
Bayraksan, Güzin
- In:
Operations research letters
46
(
2018
)
2
,
pp. 173-178
Persistent link: https://www.econbiz.de/10011824808
Saved in:
4
A new class of dual upper bounds for early exercisable derivatives encompassing both the additive and multiplicative bounds
Joshu, Mark S.
- In:
Operations research letters
43
(
2015
)
6
,
pp. 581-585
Persistent link: https://www.econbiz.de/10011416308
Saved in:
5
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:
6
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:
7
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:
8
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:
9
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:
10
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:
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