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~isPartOf:"Journal of economic dynamics & control"
~subject:"Derivat"
~subject:"Monte Carlo simulation"
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Search: subject_exact:"Optionspreismodell"
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Derivat
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
Portfolio selection
22
Portfolio-Management
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Derivative
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Hedging
15
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Transaktionskosten
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Black-Scholes-Modell
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Monte-Carlo-Simulation
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Real options analysis
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Realoptionsansatz
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Risikoprämie
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Markov chain
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Markov-Kette
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Numerical analysis
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Numerisches Verfahren
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Option pricing
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Simulation
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Chiarella, Carl
2
Joshi, Mark S.
2
Tang, Robert
2
Ankirchner, Stefan
1
Badescu, Alexandru
1
Barletta, Andrea
1
Beveridge, Christopher
1
Blenman, Lloyd P.
1
Boyle, Phelim P.
1
Branger, Nicole
1
Breton, Michèle
1
Cai, Ning
1
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1
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1
Cheng, Jun
1
Eastman, Warren
1
Elliott, Robert J.
1
Ewald, Christian-Oliver
1
Fabozzi, Frank J.
1
Fontini, Fulvio
1
Fujiwara, Hajime
1
Füss, Roland
1
Gao, Bin
1
García, Diego
1
Guo, Ivan
1
Guégan, Dominique
1
Hassan, Nadima el
1
Hu, Yuan
1
Huang, Jing-Zhi
1
Ibraimi, Meriton
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Ielpo, Florian
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Li, Danping
1
Li, Jing
1
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1
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Journal of economic dynamics & control
International journal of theoretical and applied finance
124
Applied mathematical finance
70
The journal of computational finance
67
Quantitative finance
56
Review of derivatives research
46
European journal of operational research : EJOR
41
The journal of futures markets
38
Finance and stochastics
34
Journal of mathematical finance
33
Mathematical finance : an international journal of mathematics, statistics and financial theory
33
Energy economics
32
Journal of banking & finance
32
International journal of financial engineering
31
Computational economics
29
Risks : open access journal
28
The North American journal of economics and finance : a journal of financial economics studies
24
The European journal of finance
22
The journal of derivatives : the official publication of the International Association of Financial Engineers
22
Finance research letters
20
The journal of derivatives : JOD
20
Journal of risk and financial management : JRFM
19
Insurance / Mathematics & economics
17
Journal of econometrics
17
International review of financial analysis
16
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
16
SpringerLink / Bücher
16
Applied economics letters
14
International review of economics & finance : IREF
14
Annals of finance
13
Management science : journal of the Institute for Operations Research and the Management Sciences
13
SFB 649 discussion paper
13
Applied economics
12
Asia-Pacific financial markets
12
Research paper series / Swiss Finance Institute
12
Mathematical finance
11
Wiley finance series
11
Decisions in economics and finance : DEF ; a journal of applied mathematics
10
Mathematical finance : an international journal of mathematics, statistics and financial economics
10
Journal of financial economics
9
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ECONIS (ZBW)
27
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1
Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
Hu, Yuan
;
Lindquist, W. Brent
;
Račev, Svetlozar T.
; …
- In:
Journal of economic dynamics & control
137
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013464578
Saved in:
2
Investing in electricity production under a reliability options scheme
Fontini, Fulvio
;
Vargiolu, Tiziano
;
Zormpas, Dimitrios
- In:
Journal of economic dynamics & control
126
(
2021
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012667919
Saved in:
3
It only takes a few moments to hedge options
Barletta, Andrea
;
Santucci de Magistris, Paolo
;
Sloth, David
- In:
Journal of economic dynamics & control
100
(
2019
),
pp. 251-269
Persistent link: https://www.econbiz.de/10012130971
Saved in:
4
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:
5
Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
Zeng, Yan
;
Li, Danping
;
Chen, Zheng
;
Yang, Zhou
- In:
Journal of economic dynamics & control
88
(
2018
),
pp. 70-103
Persistent link: https://www.econbiz.de/10011973926
Saved in:
6
Pure jump models for pricing and hedging VIX derivatives
Li, Jing
;
Li, Lingfei
;
Zhang, Gongqiu
- In:
Journal of economic dynamics & control
74
(
2017
),
pp. 28-55
Persistent link: https://www.econbiz.de/10011740472
Saved in:
7
Equal risk pricing under convex trading constraints
Guo, Ivan
;
Zhu, Song-Ping
- In:
Journal of economic dynamics & control
76
(
2017
),
pp. 136-151
Persistent link: https://www.econbiz.de/10011817212
Saved in:
8
Optimal portfolios when variances and covariances can jump
Branger, Nicole
;
Muck, Matthias
;
Seifried, Frank Thomas
; …
- In:
Journal of economic dynamics & control
85
(
2017
),
pp. 59-89
Persistent link: https://www.econbiz.de/10011919303
Saved in:
9
Computation of Greeks using binomial trees in a jump-diffusion model
Suda, Shintaro
;
Muroi, Yoshifumi
- In:
Journal of economic dynamics & control
51
(
2015
),
pp. 93-110
Persistent link: https://www.econbiz.de/10011474273
Saved in:
10
Electricity derivatives pricing with forward-looking information
Füss, Roland
;
Mahringer, Steffen
;
Prokopczuk, Marcel
- In:
Journal of economic dynamics & control
58
(
2015
),
pp. 34-57
Persistent link: https://www.econbiz.de/10011574636
Saved in:
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