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~isPartOf:"Journal of economic dynamics & control"
~subject:"Credit risk"
~subject:"Monte Carlo simulation"
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Search: subject_exact:"Optionspreismodell"
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Credit risk
Monte Carlo simulation
Option pricing theory
130
Optionspreistheorie
130
Theorie
38
Theory
38
Option trading
37
Optionsgeschäft
37
Stochastic process
37
Stochastischer Prozess
37
Volatility
35
Volatilität
35
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22
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Black-Scholes model
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Black-Scholes-Modell
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Stochastic volatility
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Monte-Carlo-Simulation
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Statistical distribution
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Kreditrisiko
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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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Numerical analysis
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Option pricing
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Joshi, Mark S.
2
Tang, Robert
2
Ankirchner, Stefan
1
Beveridge, Christopher
1
Boyle, Phelim P.
1
Breton, Michèle
1
Bu, Di
1
Cai, Ning
1
Das, Sanjiv R.
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Eastman, Warren
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Fujiwara, Hajime
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García, Diego
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Hanke, Michael
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Jansen, Jeroen
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Liao, Yin
1
Lindset, Snorre
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Lund, Arne-Christian
1
Marzouk, Oussama
1
Pierides, Yiannos A.
1
Schneider, Judith Christiane
1
Schweizer, Nikolaus
1
Sun, Lihua
1
Tan, Ken Seng
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Ökten, Giray
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Journal of economic dynamics & control
International journal of theoretical and applied finance
56
The journal of computational finance
50
Quantitative finance
31
Applied mathematical finance
24
Finance and stochastics
20
European journal of operational research : EJOR
19
Computational economics
18
Mathematical finance : an international journal of mathematics, statistics and financial theory
18
Review of derivatives research
18
The journal of futures markets
18
The North American journal of economics and finance : a journal of financial economics studies
16
International journal of financial engineering
15
Journal of banking & finance
15
Asia-Pacific financial markets
13
Finance research letters
13
International review of financial analysis
13
Risks : open access journal
12
Energy economics
11
Journal of mathematical finance
11
Journal of risk and financial management : JRFM
11
The journal of derivatives : the official publication of the International Association of Financial Engineers
11
Insurance / Mathematics & economics
10
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
10
The European journal of finance
10
Management science : journal of the Institute for Operations Research and the Management Sciences
9
Applied economics letters
8
Decisions in economics and finance : DEF ; a journal of applied mathematics
8
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
7
Mathematics of operations research
6
Annals of financial economics
5
Applied economics
5
International review of economics & finance : IREF
5
Journal of empirical finance
5
Mathematical finance : an international journal of mathematics, statistics and financial economics
5
Operations research letters
5
Research paper series / Swiss Finance Institute
5
Review of quantitative finance and accounting
5
The journal of fixed income
5
Financial innovation : FIN
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ECONIS (ZBW)
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1
Evaluation of counterparty risk for derivatives with early-exercise features
Breton, Michèle
;
Marzouk, Oussama
- In:
Journal of economic dynamics & control
88
(
2018
),
pp. 1-20
Persistent link: https://www.econbiz.de/10011973914
Saved in:
2
Local volatility and the recovery rate of credit default swaps
Jansen, Jeroen
;
Das, Sanjiv R.
;
Fabozzi, Frank J.
- In:
Journal of economic dynamics & control
92
(
2018
),
pp. 1-29
Persistent link: https://www.econbiz.de/10011974230
Saved in:
3
Valuation of stock loans with jump risk
Cai, Ning
;
Sun, Lihua
- In:
Journal of economic dynamics & control
40
(
2014
),
pp. 213-241
Persistent link: https://www.econbiz.de/10010424378
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
Corporate credit risk prediction under stochastic volatility and jumps
Bu, Di
;
Liao, Yin
- In:
Journal of economic dynamics & control
47
(
2014
),
pp. 263-281
Persistent link: https://www.econbiz.de/10010485852
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
Pricing options on leveraged equity with default risk and exponentially increasing, finite maturity debt
Hanke, Michael
- In:
Journal of economic dynamics & control
29
(
2005
)
3
,
pp. 389-421
Persistent link: https://www.econbiz.de/10002611092
Saved in:
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