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Heston model
5
Option pricing theory
5
Optionspreistheorie
5
Stochastic process
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Stochastischer Prozess
5
Volatility
5
Volatilität
5
Accuracy
1
American option
1
American option pricing
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Analytical approximation
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Barrier options
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Optionsgeschäft
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Simulation
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Han, Ah-Reum
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Kim, See-Woo
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Computational economics
International journal of theoretical and applied finance
20
The journal of futures markets
11
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
8
The journal of computational finance
8
International Journal of Theoretical and Applied Finance (IJTAF)
7
Physica A: Statistical Mechanics and its Applications
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Department of Economics working paper
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Discussion paper / Tinbergen Institute
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MPRA Paper
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SFB 649 Discussion Paper
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SFB 649 Discussion Papers
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Applied mathematical finance
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Discussion paper / Centre for Economic Policy Research
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European journal of operational research : EJOR
4
Finance and Stochastics
4
Review of Derivatives Research
4
BIFEC Book of Abstracts & Proceedings
3
Economics Working Papers / Department of Economics and Business, Universitat Pompeu Fabra
3
Federal Reserve Bank of Cleveland working paper series
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Finance and stochastics
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Insurance / Mathematics & economics
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International journal of financial engineering
3
Journal of econometrics
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Journal of risk
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Quantitative Finance
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Working paper
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Applied Mathematical Finance
2
Asia-Pacific Financial Markets
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CESifo working papers
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CREATES Research Papers
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Decisions in economics and finance : DEF ; a journal of applied mathematics
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Financial Innovation
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Financial innovation : FIN
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Insurance: Mathematics and Economics
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Interest rate modelling after the financial crisis
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1
An analytical approximation formula for barrier option prices under the heston model
He, Xin-Jiang
;
Lin, Sha
- In:
Computational economics
60
(
2022
)
4
,
pp. 1413-1425
Persistent link: https://www.econbiz.de/10013447445
Saved in:
2
Variance swaps with deterministic and stochastic correlations
Han, Ah-Reum
;
Kim, Jeong-Hoon
;
Kim, See-Woo
- In:
Computational economics
57
(
2021
)
4
,
pp. 1059-1092
Persistent link: https://www.econbiz.de/10012543256
Saved in:
3
An analytic approximation for valuation of the American option under the Heston model in two regimes
Jeon, Junkee
;
Huh, Jeonggyu
;
Park, Kyunghyun
- In:
Computational economics
56
(
2020
)
2
,
pp. 499-528
Persistent link: https://www.econbiz.de/10012272044
Saved in:
4
New splitting scheme for pricing American options under the Heston model
Safaei, Maryam
;
Neisy, Abodolsadeh
;
Nematollahi, Nader
- In:
Computational economics
52
(
2018
)
2
,
pp. 405-420
Persistent link: https://www.econbiz.de/10012052953
Saved in:
5
An efficient semi-analytical simulation for the Heston model
Sun, Xianming
;
Gan, Siqing
- In:
Computational economics
43
(
2014
)
4
,
pp. 433-445
Persistent link: https://www.econbiz.de/10010396258
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