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~isPartOf:"International journal of theoretical and applied finance"
~subject:"Markov chain"
~subject:"Optionsgeschäft"
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The Pricing of Asian Options u...
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Markov chain
Optionsgeschäft
Monte Carlo simulation
42
Monte-Carlo-Simulation
42
Option pricing theory
29
Optionspreistheorie
29
Stochastic process
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sensitivity analysis
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Benth, Fred Espen
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Bernard, Carole
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Briani, Maya
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Centanni, Silvia
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Cui, Zhenyu
1
Dahl, Lars O.
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Hassan, Nadima el
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Reiß, O.
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Tang, Robert
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Terenzi, Giulia
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International journal of theoretical and applied finance
Journal of econometrics
44
Discussion paper / Tinbergen Institute
28
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
23
Working paper / Department of Econometrics and Business Statistics, Monash University
19
Research paper series / Swiss Finance Institute
16
Quantitative finance
15
Swiss Finance Institute Research Paper
14
Série des documents de travail / Centre de Recherche en Économie et Statistique
14
Econometric reviews
13
European journal of operational research : EJOR
13
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
13
The journal of computational finance
13
Journal of risk and financial management : JRFM
12
International journal of forecasting
11
Risks : open access journal
11
Working paper
11
Computational economics
10
Economics letters
10
Journal of forecasting
9
Energy economics
8
Journal of economic dynamics & control
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Journal of the American Statistical Association : JASA
8
Insurance / Mathematics & economics
7
Journal of banking & finance
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Econometric Institute research papers
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GRIPS discussion papers
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Journal of applied econometrics
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Sveriges Riksbank working paper series
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The North American journal of economics and finance : a journal of financial economics studies
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Working papers in economics and statistics
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CAMA working paper series
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Economic modelling
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Finance research letters
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Journal of empirical finance
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Journal of mathematical finance
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Management science : journal of the Institute for Operations Research and the Management Sciences
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The valuation of self-funding instalment warrants
Dewynne, Jeff N.
;
Hassan, Nadima el
- In:
International journal of theoretical and applied finance
20
(
2017
)
4
,
pp. 1-48
Persistent link: https://www.econbiz.de/10011687010
Saved in:
2
Sensitivities of Asian options in the black-scholes model
Pirjol, Dan
;
Zhu, Lingjiong
- In:
International journal of theoretical and applied finance
21
(
2018
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10011846502
Saved in:
3
Nearly exact option price simulation using characteristic functions
Bernard, Carole
;
Cui, Zhenyu
;
McLeish, Don L.
- In:
International journal of theoretical and applied finance
15
(
2012
)
7
,
pp. 1-29
Persistent link: https://www.econbiz.de/10009685897
Saved in:
4
Numerical stability of a hybrid method for pricing options
Briani, Maya
;
Caramellino, Lucia
;
Terenzi, Giulia
; …
- In:
International journal of theoretical and applied finance
22
(
2019
)
7
,
pp. 1-46
Persistent link: https://www.econbiz.de/10012153319
Saved in:
5
Quasi Monte-Carlo evaluation of sensitivities of options in commodity and energy markets
Benth, Fred Espen
;
Dahl, Lars O.
;
Hvistendahl Karlsen, …
- In:
International journal of theoretical and applied finance
6
(
2003
)
8
,
pp. 865-884
Persistent link: https://www.econbiz.de/10001862191
Saved in:
6
A new Monte Carlo method for American options
Milʹstejn, Grigorij N.
;
Reiß, O.
;
Schoenmakers, John
- In:
International journal of theoretical and applied finance
7
(
2004
)
5
,
pp. 591-614
Persistent link: https://www.econbiz.de/10002171485
Saved in:
7
Monte Carlo derivative pricing with partial information in a class of doubly stochastic poisson processes with marks
Centanni, Silvia
;
Minozzo, Marco
- In:
International journal of theoretical and applied finance
15
(
2012
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10009624500
Saved in:
8
Pricing and Deltas of discretely-monitored barrier options using stratified sampling on the hitting-times to the barrier
Joshi, Mark S.
;
Tang, Robert
- In:
International journal of theoretical and applied finance
13
(
2010
)
5
,
pp. 717-750
Persistent link: https://www.econbiz.de/10008904339
Saved in:
9
Branching particle pricers with heston examples
Kouritzin, Michael A.
;
MacKay, Anne
- In:
International journal of theoretical and applied finance
23
(
2020
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012270887
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