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Option pricing theory
127
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127
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102
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83
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83
Monte Carlo simulation
77
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77
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269
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Kim, Junseok
5
Fabozzi, Frank J.
4
Villani, Giovanni
4
Aghdam, Y. Esmaeelzade
3
Boubaker, Heni
3
Jeong, Darae
3
Kim, Jeong-Hoon
3
Lee, Chaeyoung
3
Li, Yong
3
Lux, Thomas
3
Nishizaki, Ichirō
3
Sephton, Peter S.
3
Wang, Xiaoqun
3
Xia, Qiang
3
Adl, A.
2
Ahmadian, D.
2
Alkemade, Floortje
2
Amman, Hans M.
2
Bianchi, Michele Leonardo
2
Caporale, Guglielmo Maria
2
Carr, Peter
2
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2
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2
Dai, Weizhong
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Fallahgoul, Hasan A.
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He, Xubiao
2
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2
Itkin, Andrey
2
Jang, Hanbyeol
2
Kalantari, R.
2
Khani, Ali
2
Kim, Sangkwon
2
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2
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Computational economics
International journal of theoretical and applied finance
596
European journal of operational research : EJOR
545
International journal of production research
539
NBER working paper series
503
Journal of banking & finance
494
The journal of futures markets
458
Working paper / National Bureau of Economic Research, Inc.
420
NBER Working Paper
413
Journal of econometrics
360
Mathematical finance : an international journal of mathematics, statistics and financial theory
302
Journal of economic dynamics & control
299
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295
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288
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286
Finance research letters
281
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280
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279
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277
The journal of derivatives : the official publication of the International Association of Financial Engineers
263
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254
International journal of production economics
238
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237
Discussion paper / Tinbergen Institute
232
Insurance / Mathematics & economics
229
Discussion paper / Centre for Economic Policy Research
217
Journal of financial economics
213
Review of derivatives research
199
The journal of fixed income
186
Management science : journal of the Institute for Operations Research and the Management Sciences
184
Risks : open access journal
183
ECB Working Paper
177
SpringerLink / Bücher
172
International review of economics & finance : IREF
171
Journal of international money and finance
171
IMF working papers
168
Applied economics letters
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166
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ECONIS (ZBW)
269
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1
A practical Monte Carlo method for pricing equity‑linked securities with time‑dependent volatility and interest rate
Kim, Sangkwon
;
Lyu, Jisang
;
Lee, Wonjin
;
Park, Eunchae
; …
- In:
Computational economics
63
(
2024
)
5
,
pp. 2069-2086
Persistent link: https://www.econbiz.de/10014550869
Saved in:
2
Learning Bermudans
Aiolfi, Riccardo
;
Moreni, Nicola
;
Bianchetti, Marco
; …
- In:
Computational economics
64
(
2024
)
5
,
pp. 2813-2852
Persistent link: https://www.econbiz.de/10015144081
Saved in:
3
About long-term cross-currency Bermuda swaption pricing
Erkan, Bünyamin
;
Prigent, Jean-Luc
- In:
Computational economics
56
(
2020
)
1
,
pp. 239-262
Persistent link: https://www.econbiz.de/10012272028
Saved in:
4
A computational analysis of the tradeoff in the estimation of different state space specifications of continuous time affine term structure models
Juneja, Januj Amar
- In:
Computational economics
60
(
2022
)
1
,
pp. 173-220
Persistent link: https://www.econbiz.de/10013262506
Saved in:
5
A modified least-squares
simulation
approach to value American barrier options
Zhang, Lihua
;
Zhang, Weiguo
;
Xu, Weijun
;
Shi, Xiang
- In:
Computational economics
44
(
2014
)
4
,
pp. 489-506
Persistent link: https://www.econbiz.de/10010489859
Saved in:
6
Efficient
simulation
of value-at-risk under a jump diffusion model : a new method for moderate deviation events
Fuh, Cheng-Der
;
Teng, Huei-Wen
;
Wang, Ren-Her
- In:
Computational economics
51
(
2018
)
4
,
pp. 973-990
Persistent link: https://www.econbiz.de/10011972209
Saved in:
7
Simulation
solution to a two-dimensional mortgage refinancing problem
Xie, Dejun
;
Zhang, Nan
;
Edwards, David A.
- In:
Computational economics
52
(
2018
)
2
,
pp. 479-492
Persistent link: https://www.econbiz.de/10012052963
Saved in:
8
Fast Monte Carlo
simulation
for pricing equity-linked securities
Jang, Hanbyeol
;
Kim, Sangkwon
;
Han, Junhee
;
Lee, Seongjin
; …
- In:
Computational economics
56
(
2020
)
4
,
pp. 865-882
Persistent link: https://www.econbiz.de/10012390481
Saved in:
9
Enhancing quasi-Monte Carlo
simulation
by minimizing effective dimension for derivative pricing
Xiao, Ye
;
Wang, Xiaoqun
- In:
Computational economics
54
(
2019
)
1
,
pp. 343-366
Persistent link: https://www.econbiz.de/10012134177
Saved in:
10
Option implied risk-neutral density estimation : a robust and flexible method
Kundu, Arindam
;
Kumar, Sumit
;
Tomar, Nutan Kumar
- In:
Computational economics
54
(
2019
)
2
,
pp. 705-728
Persistent link: https://www.econbiz.de/10012134345
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