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~isPartOf:"International journal of theoretical and applied finance"
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Monte Carlo simulation
42
Monte-Carlo-Simulation
42
Option pricing theory
31
Optionspreistheorie
31
Stochastic process
16
Stochastischer Prozess
16
Theorie
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Theory
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calibration
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American options
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Kouritzin, Michael A.
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Oosterlee, Cornelis W.
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Milʹstejn, Grigorij N.
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1
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1
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1
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International journal of theoretical and applied finance
Physica A: Statistical Mechanics and its Applications
348
Journal of econometrics
282
Discussion paper / Tinbergen Institute
205
Working paper
179
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
164
Mathematics and Computers in Simulation (MATCOM)
144
European journal of operational research : EJOR
142
International journal of forecasting
140
Economics letters
133
Journal of applied econometrics
121
Economic modelling
118
Econometric reviews
112
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
110
Journal of economic dynamics & control
102
Applied economics
99
MPRA Paper
99
Computational economics
96
Journal of the American Statistical Association : JASA
89
Working paper series / European Central Bank
82
CAMA working paper series
81
NBER working paper series
81
Working paper / Department of Econometrics and Business Statistics, Monash University
81
Tinbergen Institute Discussion Paper
78
Working Paper
76
Working paper / National Bureau of Economic Research, Inc.
76
Management science : journal of the Institute for Operations Research and the Management Sciences
75
Journal of forecasting
74
CEMMAP working papers / Centre for Microdata Methods and Practice
73
Discussion papers / CEPR
73
International journal of production research
73
NBER Working Paper
73
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
73
Working papers
72
Computational Statistics & Data Analysis
70
CESifo working papers
69
IMF Working Papers
67
Discussion paper
64
Discussion paper / Centre for Economic Policy Research
64
Energy economics
64
Insurance / Mathematics & economics
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ECONIS (ZBW)
54
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1
Branching particle pricers with heston examples
Kouritzin, Michael A.
;
MacKay, Anne
- In:
International journal of theoretical and applied finance
23
(
2020
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012270887
Saved in:
2
Volatility and liquidity on high-frequency electricity futures markets : empirical analysis and stochastic modeling
Kremer, Marcel
;
Benth, Fred Espen
;
Felten, Björn
; …
- In:
International journal of theoretical and applied finance
23
(
2020
)
4
,
pp. 1-38
Persistent link: https://www.econbiz.de/10012271026
Saved in:
3
Sinh-acceleration: efficient evaluation of probability distributions, option pricing, and Monte
Carlo
simulations
Bojarčenko, Svetlana I.
;
Levendorskij, Sergej Z.
- In:
International journal of theoretical and applied finance
22
(
2019
)
3
,
pp. 1-49
Persistent link: https://www.econbiz.de/10012019776
Saved in:
4
American option pricing with regression : convergence analysis
Liu, Chen
;
Schellhorn, Henry
;
Peng, Qidi
- In:
International journal of theoretical and applied finance
22
(
2019
)
8
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012183261
Saved in:
5
Conditional Monte
Carlo
scheme for stable greeks of worst-of autocallable notes
Rakhmonov, Firuz
;
Rakhmonov, Parviz
- In:
International journal of theoretical and applied finance
22
(
2019
)
6
,
pp. 1-13
Persistent link: https://www.econbiz.de/10012153309
Saved in:
6
Numerical stability of a hybrid method for pricing options
Briani, Maya
;
Caramellino, Lucia
;
Terenzi, Giulia
; …
- In:
International journal of theoretical and applied finance
22
(
2019
)
7
,
pp. 1-46
Persistent link: https://www.econbiz.de/10012153319
Saved in:
7
XVA principles, nested Monte
Carlo
strategies, and GPU optimizations
Abbas-Turki, Lokman A.
;
Crépey, Stéphane
;
Diallo, Babacar
- In:
International journal of theoretical and applied finance
21
(
2018
)
6
,
pp. 1-40
Persistent link: https://www.econbiz.de/10011926570
Saved in:
8
Explicit Heston solutions and stochastic approximation for path-dependent option pricing
Kouritzin, Michael A.
- In:
International journal of theoretical and applied finance
21
(
2018
)
1
,
pp. 1-45
Persistent link: https://www.econbiz.de/10011846484
Saved in:
9
On the calculation of risk measures using least-squares Monte
Carlo
Benedetti, Giuseppe
- In:
International journal of theoretical and applied finance
20
(
2017
)
3
,
pp. 1-14
Persistent link: https://www.econbiz.de/10011686897
Saved in:
10
Computing credit valuation adjustment for Bermudan options with wrong way risk
Feng, Qian
;
Oosterlee, Cornelis Willebrordus
- In:
International journal of theoretical and applied finance
20
(
2017
)
8
,
pp. 1-31
Persistent link: https://www.econbiz.de/10011787454
Saved in:
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