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Review of derivatives research
International journal of theoretical and applied finance
48
Physica A: Statistical Mechanics and its Applications
48
International Journal of Theoretical and Applied Finance (IJTAF)
47
Finance and Stochastics
43
Quantitative finance
40
MPRA Paper
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Applied Mathematical Finance
24
Finance
24
International journal of financial engineering
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Review of Derivatives Research
24
European journal of operational research : EJOR
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Management Science
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Risks : open access journal
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Discussion Paper Serie B
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Applied mathematical finance
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Stochastic Processes and their Applications
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IMF Working Papers
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Journal of mathematical finance
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CIRANO Working Papers
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Finance research letters
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Risk-Sensitive Investment Management
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Risks
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The journal of computational finance
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CREATES Research Papers
14
Asia-Pacific Financial Markets
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Insurance / Mathematics & economics
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Journal of banking & finance
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Finance and stochastics
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International Journal of Financial Markets and Derivatives
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The North American journal of economics and finance : a journal of financial economics studies
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Discussion Paper / Tilburg University, Center for Economic Research
11
Economics Papers from University Paris Dauphine
11
Journal of Risk and Financial Management
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Operations research letters
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The journal of futures markets
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ECONIS (ZBW)
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1
Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes
Torricelli, Lorenzo
- In:
Review of derivatives research
19
(
2016
)
1
,
pp. 1-39
Persistent link: https://www.econbiz.de/10011742279
Saved in:
2
A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation
Chen, Jie
;
Fan, Liaoyuan
;
Li, Lingfei
;
Zhang, Gongqiu
- In:
Review of derivatives research
25
(
2022
)
2
,
pp. 189-232
Persistent link: https://www.econbiz.de/10013457614
Saved in:
3
A recombining lattice option pricing model that relaxes the assumption of lognormality
Ji, Dasheng
;
Brorsen, Wade
- In:
Review of derivatives research
14
(
2011
)
3
,
pp. 349-367
Persistent link: https://www.econbiz.de/10009349984
Saved in:
4
The value of tradeability
Chesney, Marc
;
Kempf, Alexander
- In:
Review of derivatives research
15
(
2012
)
3
,
pp. 193-216
Persistent link: https://www.econbiz.de/10009709689
Saved in:
5
A copula-based approach for generating lattices
Wang, Tianyang
;
Dyer, James S.
;
Hahn, Warren J.
- In:
Review of derivatives research
18
(
2015
)
3
,
pp. 263-289
Persistent link: https://www.econbiz.de/10011477303
Saved in:
6
On pricing options with stressed-beta in a reduced form model
Kim, Geonwoo
;
Lim, Hyuncheul
;
Lee, Sungchul
- In:
Review of derivatives research
18
(
2015
)
1
,
pp. 29-50
Persistent link: https://www.econbiz.de/10011414105
Saved in:
7
Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing
Vitiello, Luiz
;
Poon, Ser-Huang
- In:
Review of derivatives research
17
(
2014
)
2
,
pp. 241-259
Persistent link: https://www.econbiz.de/10010529622
Saved in:
8
A closed-form solution for options with ambiguity about stochastic volatility
Faria, Gonçalo
;
Correira-da-Silva, João
- In:
Review of derivatives research
17
(
2014
)
2
,
pp. 125-159
Persistent link: https://www.econbiz.de/10010529639
Saved in:
9
On the multiplicity of option prices under CEV with positive elasticity of variance
Veestraeten, Dirk
- In:
Review of derivatives research
20
(
2017
)
1
,
pp. 1-13
Persistent link: https://www.econbiz.de/10011928028
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10
A bias in the volatility smile
Chance, Don M.
;
Hanson, Thomas A.
;
Li, Weiping
; …
- In:
Review of derivatives research
20
(
2017
)
1
,
pp. 47-90
Persistent link: https://www.econbiz.de/10011930559
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