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~isPartOf:"Journal of economic dynamics & control"
~subject:"Monte Carlo simulation"
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Monte Carlo simulation
Option pricing theory
130
Optionspreistheorie
130
Theorie
38
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Option trading
37
Optionsgeschäft
37
Stochastic process
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Markov chain
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Markov-Kette
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Joshi, Mark S.
2
Tang, Robert
2
Ankirchner, Stefan
1
Beveridge, Christopher
1
Boyle, Phelim P.
1
Eastman, Warren
1
Fujiwara, Hajime
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García, Diego
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Kijima, Masaaki
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Lindset, Snorre
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Lund, Arne-Christian
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Schweizer, Nikolaus
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Journal of economic dynamics & control
The journal of computational finance
42
International journal of theoretical and applied finance
28
Quantitative finance
24
Computational economics
16
Finance and stochastics
15
European journal of operational research : EJOR
14
Applied mathematical finance
13
Energy economics
11
Mathematical finance : an international journal of mathematics, statistics and financial theory
11
Journal of risk and financial management : JRFM
9
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
9
Risks : open access journal
9
International journal of financial engineering
8
The North American journal of economics and finance : a journal of financial economics studies
8
The journal of futures markets
8
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
7
Decisions in economics and finance : DEF ; a journal of applied mathematics
6
Finance research letters
6
Mathematics of operations research
6
The journal of derivatives : the official publication of the International Association of Financial Engineers
6
Applied economics
5
Asia-Pacific financial markets
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Journal of mathematical finance
5
Management science : journal of the Institute for Operations Research and the Management Sciences
5
International review of financial analysis
4
Operations research letters
4
The European journal of finance
4
Advances in mathematical economics
3
Computational management science
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Diskussionsbeiträge / Fakultät Wirtschaftswissenschaft, FernUniversität in Hagen
3
Insurance / Mathematics & economics
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Numerical methods in finance : Bordeaux, June 2010
3
Review of derivatives research
3
The journal of computational finance : JFC
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
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Annals of financial economics
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Applied economics letters
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Astin bulletin : the journal of the International Actuarial Association
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1
Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
Joshi, Mark S.
;
Tang, Robert
- In:
Journal of economic dynamics & control
40
(
2014
),
pp. 25-45
Persistent link: https://www.econbiz.de/10010424450
Saved in:
2
Cross-hedging minimum return guarantees : basis and liquidity risks
Ankirchner, Stefan
;
Schneider, Judith Christiane
; …
- In:
Journal of economic dynamics & control
41
(
2014
),
pp. 93-109
Persistent link: https://www.econbiz.de/10010425003
Saved in:
3
Practical policy iteration : generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
Beveridge, Christopher
;
Joshi, Mark S.
;
Tang, Robert
- In:
Journal of economic dynamics & control
37
(
2013
)
7
,
pp. 1342-1361
Persistent link: https://www.econbiz.de/10009751160
Saved in:
4
A Monte Carlo approach for the American put under stochastic interest rates
Lindset, Snorre
;
Lund, Arne-Christian
- In:
Journal of economic dynamics & control
31
(
2007
)
4
,
pp. 1081-1105
Persistent link: https://www.econbiz.de/10003443353
Saved in:
5
Pricing of path-dependent American options by Monte Carlo simulation
Fujiwara, Hajime
;
Kijima, Masaaki
- In:
Journal of economic dynamics & control
31
(
2007
)
11
,
pp. 3478-3502
Persistent link: https://www.econbiz.de/10003569563
Saved in:
6
Randomized quasi-Monte Carlo methods in pricing securities
Ökten, Giray
;
Eastman, Warren
- In:
Journal of economic dynamics & control
28
(
2004
)
12
,
pp. 2399-2426
Persistent link: https://www.econbiz.de/10002370021
Saved in:
7
Convergence and biases of Monte Carlo estimates of American option prices using a parametric exercise rule
García, Diego
- In:
Journal of economic dynamics & control
27
(
2003
)
10
,
pp. 1855-1879
Persistent link: https://www.econbiz.de/10001755436
Saved in:
8
Applications of randomized low discrepancy sequences to the valuation of complex securities
Tan, Ken Seng
;
Boyle, Phelim P.
- In:
Journal of economic dynamics & control
24
(
2000
)
11/12
,
pp. 1747-1782
Persistent link: https://www.econbiz.de/10001508772
Saved in:
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