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~isPartOf:"Journal of economic dynamics & control"
~subject:"Asset pricing"
~subject:"Monte Carlo simulation"
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Search: subject_exact:"Optionspreismodell"
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Asset pricing
Monte Carlo simulation
Option pricing theory
130
Optionspreistheorie
130
Theorie
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Theory
38
Option trading
37
Optionsgeschäft
37
Stochastic process
37
Stochastischer Prozess
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Volatilität
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Markov chain
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Joshi, Mark S.
2
Tang, Robert
2
Ankirchner, Stefan
1
Beveridge, Christopher
1
Boyle, Phelim P.
1
Branger, Nicole
1
Chauveau, Thierry
1
Consiglio, Andrea
1
Eastman, Warren
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Ewald, Christian-Oliver
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1
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1
Schweizer, Nikolaus
1
Subbotin, Alexander
1
Tan, Ken Seng
1
Ting, Sai Hung Marten
1
Zenios, Stauros Andrea
1
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Journal of economic dynamics & control
The journal of computational finance
42
International journal of theoretical and applied finance
31
Quantitative finance
25
Computational economics
16
Applied mathematical finance
15
Finance and stochastics
15
European journal of operational research : EJOR
14
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
The journal of futures markets
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
Asia-Pacific financial markets
6
Decisions in economics and finance : DEF ; a journal of applied mathematics
6
Mathematics of operations research
6
Staff working paper / Bank of Canada
6
The journal of derivatives : the official publication of the International Association of Financial Engineers
6
Applied economics
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
Review of derivatives research
4
The European journal of finance
4
Advances in mathematical economics
3
Computational management science
3
Diskussionsbeiträge / Fakultät Wirtschaftswissenschaft, FernUniversität in Hagen
3
Financial innovation : FIN
3
Insurance / Mathematics & economics
3
Journal of empirical finance
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Journal of financial and quantitative analysis : JFQA
3
Numerical methods in finance : Bordeaux, June 2010
3
The journal of computational finance : JFC
3
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1
Level and slope of volatility smiles in long-run risk models
Branger, Nicole
;
Rodrigues, Paulo Jorge Maurício
; …
- In:
Journal of economic dynamics & control
86
(
2018
),
pp. 95-122
Persistent link: https://www.econbiz.de/10011973857
Saved in:
2
Pricing and hedging GDP-linked bonds in incomplete markets
Consiglio, Andrea
;
Zenios, Stauros Andrea
- In:
Journal of economic dynamics & control
88
(
2018
),
pp. 137-155
Persistent link: https://www.econbiz.de/10011973933
Saved in:
3
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:
4
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:
5
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:
6
Price dynamics in a market with heterogeneous investment horizons and boundedly rational traders
Chauveau, Thierry
;
Subbotin, Alexander
- In:
Journal of economic dynamics & control
37
(
2013
)
5
,
pp. 1040-1065
Persistent link: https://www.econbiz.de/10009738270
Saved in:
7
Asian and Australian options : a common perspective
Ewald, Christian-Oliver
;
Menkens, Olaf
;
Ting, Sai Hung …
- In:
Journal of economic dynamics & control
37
(
2013
)
5
,
pp. 1001-1018
Persistent link: https://www.econbiz.de/10009738291
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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