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~isPartOf:"Journal of economic dynamics & control"
~subject:"Monte Carlo simulation"
~subject:"Option trading"
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Search: subject_exact:"Optionspreismodell"
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Monte Carlo simulation
Option trading
Option pricing theory
130
Optionspreistheorie
130
Theorie
38
Theory
38
Optionsgeschäft
37
Stochastic process
37
Stochastischer Prozess
37
Volatility
35
Volatilität
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Journal of economic dynamics & control
International journal of theoretical and applied finance
107
The journal of computational finance
90
The journal of futures markets
84
Quantitative finance
67
Applied mathematical finance
63
Review of derivatives research
60
The journal of derivatives : the official publication of the International Association of Financial Engineers
52
Mathematical finance : an international journal of mathematics, statistics and financial theory
48
Finance research letters
45
Journal of banking & finance
45
Finance and stochastics
42
The North American journal of economics and finance : a journal of financial economics studies
41
Computational economics
40
European journal of operational research : EJOR
38
International journal of financial engineering
38
Journal of mathematical finance
29
Risks : open access journal
25
Research paper series / Swiss Finance Institute
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International review of economics & finance : IREF
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Asia-Pacific financial markets
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Journal of financial economics
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Energy economics
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The European journal of finance
20
Applied economics
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Decisions in economics and finance : DEF ; a journal of applied mathematics
18
Journal of risk and financial management : JRFM
18
Review of quantitative finance and accounting
18
Insurance / Mathematics & economics
17
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
16
The journal of derivatives : JOD
16
Economic modelling
15
Swiss Finance Institute Research Paper
15
International review of financial analysis
14
Annals of finance
13
Operations research letters
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Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
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Applied economics letters
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ECONIS (ZBW)
43
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1
Counter-cyclical margins for option portfolios
Chen, Yuanyuan
;
Wu, Qi
;
Li, Duan
- In:
Journal of economic dynamics & control
146
(
2023
),
pp. 1-33
Persistent link: https://www.econbiz.de/10014478163
Saved in:
2
Systemic risk of optioned portfolio : controllability and optimization
Pang, Xiaochuan
;
Zhu, Shushang
;
Cui, Xueting
;
Ma, Jiali
- In:
Journal of economic dynamics & control
153
(
2023
),
pp. 1-29
Persistent link: https://www.econbiz.de/10014479336
Saved in:
3
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:
4
Asymptotic analysis of the mixed-exponential jump diffusion model and its financial applications
Shi, Chao
- In:
Journal of economic dynamics & control
143
(
2022
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013542969
Saved in:
5
The stock implied volatility and the implied dividend volatility
Quaye, Enoch Nii Boi
;
Tunaru, Radu
- In:
Journal of economic dynamics & control
134
(
2022
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013383766
Saved in:
6
Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps
Wan, Xiangwei
;
Yang, Nian
- In:
Journal of economic dynamics & control
125
(
2021
),
pp. 1-37
Persistent link: https://www.econbiz.de/10012666952
Saved in:
7
Pricing discretely monitored barrier options : When Malliavin calculus expansions meet Hilbert transforms
Cai, Ning
;
Li, Chenxu
;
Shi, Chao
- In:
Journal of economic dynamics & control
127
(
2021
),
pp. 1-41
Persistent link: https://www.econbiz.de/10012668507
Saved in:
8
CTMC integral equation method for American options under stochastic local volatility models
Ma, Jingtang
;
Yang, Wensheng
;
Cui, Zhenyu
- In:
Journal of economic dynamics & control
128
(
2021
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012628259
Saved in:
9
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:
10
Pricing and exercising American options : an asymptotic expansion approach
Li, Chenxu
;
Ye, Yongxin
- In:
Journal of economic dynamics & control
107
(
2019
),
pp. 1-32
Persistent link: https://www.econbiz.de/10012312643
Saved in:
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