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~isPartOf:"The journal of computational finance"
~subject:"Black-Scholes model"
~subject:"Monte Carlo simulation"
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Black-Scholes model
Monte Carlo simulation
Optionsgeschäft
66
Option trading
65
Option pricing theory
61
Optionspreistheorie
61
Theorie
18
Theory
18
Stochastic process
16
Stochastischer Prozess
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option pricing
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Bain, Alan
1
Becker, Martin
1
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Bourgey, Florian
1
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1
Davis, Jesse
1
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Fu, Michael
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Always learning
The journal of computational finance
International journal of theoretical and applied finance
26
Computational economics
13
The journal of derivatives : the official publication of the International Association of Financial Engineers
13
Applied mathematical finance
12
Mathematical finance : an international journal of mathematics, statistics and financial theory
12
Quantitative finance
12
Review of derivatives research
12
The North American journal of economics and finance : a journal of financial economics studies
12
International journal of financial engineering
11
Journal of mathematical finance
9
Journal of economic dynamics & control
8
Journal of risk and financial management : JRFM
8
The journal of futures markets
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Finance and stochastics
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European journal of operational research : EJOR
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Journal of derivatives & hedge funds
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Asia-Pacific financial markets
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Finance research letters
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Risks : open access journal
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International journal of theoretical and applied finance : IJTAF
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The European journal of finance
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Decisions in economics and finance : DEF ; a journal of applied mathematics
3
Journal of econometrics
3
Journal of emerging market finance
3
Journal of financial economics
3
Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
3
Review of quantitative finance and accounting
3
The journal of asset management
3
Working paper series / Centre for Practical Quantitative Finance
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Annals of financial economics
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Applied financial economics
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Cogent economics & finance
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Computational methods in decision-making, economics and finance
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Discussion paper / B
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Discussion papers / Adam Smith Business School, University of Glasgow
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ECONIS (ZBW)
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1
Multilevel Monte Carlo simulation for VIX options in the rough Bergomi model
Bourgey, Florian
;
De Marco, Stefano
- In:
The journal of computational finance
26
(
2022
)
2
,
pp. 53-82
Persistent link: https://www.econbiz.de/10013549658
Saved in:
2
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:
3
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:
4
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:
5
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:
6
Monte Carlo pathwise sensitivities for barrier options
Gerstner, Thomas
;
Harrach, Bastian von
;
Roth, Daniel
- In:
The journal of computational finance
23
(
2020
)
5
,
pp. 75-99
Persistent link: https://www.econbiz.de/10012295868
Saved in:
7
An adaptive Monte Carlo approach for pricing Parisian options with general boundaries
Gűr, Sercan
- In:
The journal of computational finance
23
(
2020
)
5
,
pp. 101-119
Persistent link: https://www.econbiz.de/10012295871
Saved in:
8
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:
9
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:
10
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
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