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Stochastic process
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Option pricing theory
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Review of derivatives research
European journal of operational research : EJOR
623
International journal of theoretical and applied finance
324
Insurance / Mathematics & economics
282
Journal of econometrics
218
Finance and stochastics
196
Computers & operations research : and their applications to problems of world concern ; an international journal
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Operations research
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Operations research letters
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International journal of production research
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Quantitative finance
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Mathematics of operations research
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Journal of economic dynamics & control
140
Discussion paper / Tinbergen Institute
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Risks : open access journal
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International journal of production economics
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Applied mathematical finance
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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The journal of computational finance
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Economics letters
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Journal of mathematical finance
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Econometric reviews
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Economic modelling
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Energy economics
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Transportation research / E : an international journal
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INFORMS journal on computing : JOC
79
International journal of financial engineering
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Transportation science : a journal of the Institute for Operations Research and the Management Sciences
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Annals of operations research
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Mathematical methods of operations research
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Computational Management Science : CMS
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Finance research letters
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Journal of banking & finance
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Journal of economic theory
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Working paper
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Annals of finance
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Omega : the international journal of management science
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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ECONIS (ZBW)
49
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1
Pricing vulnerable basket spread options with liquidity risk
Dong, Ziming
;
Tang, Dan
;
Wang, Xingchun
- In:
Review of derivatives research
26
(
2023
)
1
,
pp. 23-50
Persistent link: https://www.econbiz.de/10014266355
Saved in:
2
CMS spread options in quadratic Gaussian model
Rakhmonov, Parviz
;
Rakhmonov, Firuz
- In:
Review of derivatives research
25
(
2022
)
3
,
pp. 283-291
Persistent link: https://www.econbiz.de/10013457623
Saved in:
3
Bayesian estimation of the stochastic volatility model with double exponential jumps
Li, Jinzhi
- In:
Review of derivatives research
24
(
2021
)
2
,
pp. 157-172
Persistent link: https://www.econbiz.de/10012549106
Saved in:
4
The value of power-related options under spectrally negative Lévy processes
Aguilar, Jean-Philippe
- In:
Review of derivatives research
24
(
2021
)
2
,
pp. 173-196
Persistent link: https://www.econbiz.de/10012549113
Saved in:
5
Towards a Δ-Gamma Sato multivariate model
Boen, Lynn
;
Guillaume, Florence
- In:
Review of derivatives research
23
(
2020
)
1
,
pp. 1-39
Persistent link: https://www.econbiz.de/10012229781
Saved in:
6
A general closed form option pricing formula
Necula, Ciprian
;
Drimus, Gabriel
;
Farkas, Walter
- In:
Review of derivatives research
22
(
2019
)
1
,
pp. 1-40
Persistent link: https://www.econbiz.de/10012311636
Saved in:
7
Pricing VIX derivatives with free stochastic volatility model
Lin, Wei
;
Li, Shenghong
;
Chern, Shane
;
Zhang, Jin E.
- In:
Review of derivatives research
22
(
2019
)
1
,
pp. 41-75
Persistent link: https://www.econbiz.de/10012311659
Saved in:
8
A multivariate stochastic volatility model with applications in the foreign exchange market
Escobar, Marcos
;
Gschnaidtner, Christoph
- In:
Review of derivatives research
21
(
2018
)
1
,
pp. 1-43
Persistent link: https://www.econbiz.de/10012055729
Saved in:
9
A bias in the volatility smile
Chance, Don M.
;
Hanson, Thomas A.
;
Li, Weiping
; …
- In:
Review of derivatives research
20
(
2017
)
1
,
pp. 47-90
Persistent link: https://www.econbiz.de/10011930559
Saved in:
10
A four-factor stochastic volatility model of commodity prices
Schöne, Max F.
;
Spinler, Stefan
- In:
Review of derivatives research
20
(
2017
)
2
,
pp. 135-165
Persistent link: https://www.econbiz.de/10011935975
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