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~isPartOf:"The journal of computational finance"
~subject:"Black-Scholes model"
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Black-Scholes model
Option pricing theory
26
Option trading
26
Optionsgeschäft
26
Optionspreistheorie
26
Stochastic process
13
Stochastischer Prozess
13
Volatility
10
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barrier options
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exotic options
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Bain, Alan
1
Bhatoo, Omishwary
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Escobar, Marcos
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Grossinho, Maria do Rosário
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Kord, Yaser
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Leduc, Guillaume
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Ly Vath, Vathana
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Saib, Aslam Aly El Faidal
1
Schoutens, Wim
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Tadmor, Eitan
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Tangman, Désiré Yannick
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Always learning
The journal of computational finance
International journal of financial engineering
9
The North American journal of economics and finance : a journal of financial economics studies
9
Computational economics
7
Applied mathematical finance
6
Quantitative finance
6
International journal of theoretical and applied finance
5
Review of derivatives research
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Finance research letters
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International journal of theoretical and applied finance : IJTAF
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Journal of economic dynamics & control
3
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Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
3
Economic modelling
2
European journal of operational research : EJOR
2
Finance and stochastics
2
International review of financial analysis
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Journal of banking & finance
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Journal of emerging market finance
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Mudra : journal of finance and accounting
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1
Gradient boosting for quantitative finance
Davis, Jesse
;
Devos, Laurens
;
Reyners, Sofie
;
Schoutens, Wim
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 1-40
Persistent link: https://www.econbiz.de/10012544161
Saved in:
2
Calibration of local-stochastic and path-dependent volatility models to vanilla and no-touch options
Bain, Alan
;
Mariapragassam, Matthieu
;
Reisinger, Christoph
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 115-161
Persistent link: https://www.econbiz.de/10012544167
Saved in:
3
Pricing American call options using the Black-Scholes equation with a nonlinear volatility function
Grossinho, Maria do Rosário
;
Kord, Yaser
;
Ševčovič, …
- In:
The journal of computational finance
23
(
2020
)
4
,
pp. 93-113
Persistent link: https://www.econbiz.de/10012212488
Saved in:
4
Pricing multiple barrier derivatives under stochastic volatility
Escobar, Marcos
;
Panz, Sven
;
Zagst, Rudi
- In:
The journal of computational finance
24
(
2020
)
2
,
pp. 77-101
Persistent link: https://www.econbiz.de/10012543622
Saved in:
5
Efficient conservative second-order central-upwind schemes for option-pricing problems
Bhatoo, Omishwary
;
Peer, Arshad Ahmud Iqbal
;
Tadmor, Eitan
- In:
The journal of computational finance
22
(
2018/2019
)
5
,
pp. 71-101
Persistent link: https://www.econbiz.de/10012042237
Saved in:
6
Path-dependent American options
Chevalier, Etienne
;
Ly Vath, Vathana
;
Mnif, Mohamed
- In:
The journal of computational finance
23
(
2019
)
1
,
pp. 61-95
Persistent link: https://www.econbiz.de/10012064988
Saved in:
7
Path independence of exotic options and convergence of binomial approximations
Leduc, Guillaume
;
Palmer, Kenneth J.
- In:
The journal of computational finance
23
(
2019
)
2
,
pp. 73-102
Persistent link: https://www.econbiz.de/10012111264
Saved in:
8
The forward smile in local-stochastic volatility models
Mazzon, Andrea
;
Pascucci, Andrea
- In:
The journal of computational finance
20
(
2016/2017
)
3
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011689675
Saved in:
9
Volatility risk structure for options depending on extrema
Nakatsu, Tomonori
- In:
The journal of computational finance
21
(
2017/2018
)
3
,
pp. 105-122
Persistent link: https://www.econbiz.de/10011848359
Saved in:
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