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~isPartOf:"Journal of economic dynamics & control"
~isPartOf:"The journal of futures markets"
~subject:"Monte Carlo simulation"
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Search: subject_exact:"Optionspreismodell"
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Monte Carlo simulation
Option pricing theory
383
Optionspreistheorie
383
Option trading
116
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116
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107
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107
Volatility
106
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106
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2
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2
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Journal of economic dynamics & control
The journal of futures markets
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
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13
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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
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
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Management science : journal of the Institute for Operations Research and the Management Sciences
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International review of financial analysis
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Diskussionsbeiträge / Fakultät Wirtschaftswissenschaft, FernUniversität in Hagen
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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
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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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ECONIS (ZBW)
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1
Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 925-950
Persistent link: https://www.econbiz.de/10014293270
Saved in:
2
Performance comparison of alternative stochastic volatility models and its determinants in energy futures : COVID-19 and Russia-Ukraine conflict features
Fernandes, Mário Correia
;
Dias, José Carlos
;
Nunes, …
- In:
The journal of futures markets
44
(
2024
)
3
,
pp. 343-383
Persistent link: https://www.econbiz.de/10014475488
Saved in:
3
Pricing of American Parisian option as executive option based on the least-squares Monte Carlo approach
Zhuang, Yangyang
;
Tang, Pan
- In:
The journal of futures markets
43
(
2023
)
10
,
pp. 1469-1496
Persistent link: https://www.econbiz.de/10014339456
Saved in:
4
GARCH pricing and hedging of VIX options
Liu, Qiang
;
Jiao, Yuhan
;
Guo, Shuxin
- In:
The journal of futures markets
42
(
2022
)
6
,
pp. 1039-1066
Persistent link: https://www.econbiz.de/10013287915
Saved in:
5
Monte Carlo simulation of the CGMY process and option pricing
Ballotta, Laura
;
Kyriakou, Ioannis
- In:
The journal of futures markets
34
(
2014
)
12
,
pp. 1095-1121
Persistent link: https://www.econbiz.de/10010508677
Saved in:
6
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:
7
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:
8
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:
9
Investigating the information content of the model-free volatility expectation by Monte Carlo methods
Zhang, Yuanyuan
;
Taylor, Stephen
;
Wang, Lili
- In:
The journal of futures markets
33
(
2013
)
11
,
pp. 1071-1095
Persistent link: https://www.econbiz.de/10010255100
Saved in:
10
A forward Monte Carlo method for American options pricing
Miao, Daniel Wei-chung
;
Lee, Yung-hsin
- In:
The journal of futures markets
33
(
2013
)
4
,
pp. 369-395
Persistent link: https://www.econbiz.de/10009725613
Saved in:
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