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Option pricing theory
18
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option pricing
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The journal of computational finance
International journal of theoretical and applied finance
46
Quantitative finance
42
Finance and Stochastics
41
International Journal of Theoretical and Applied Finance (IJTAF)
41
Physica A: Statistical Mechanics and its Applications
40
Applied Mathematical Finance
31
Finance
30
Review of Derivatives Research
30
MPRA Paper
29
Computational economics
28
Management Science
28
European journal of operational research : EJOR
23
Discussion Paper Serie B
21
Review of derivatives research
21
CIRANO Working Papers
20
International journal of financial engineering
20
Risks : open access journal
20
Finance research letters
17
Working Paper
17
IMF Working Papers
16
Journal of mathematical finance
15
Quantitative Finance
15
Applied mathematical finance
14
Journal of Risk and Financial Management
14
Asia-Pacific Financial Markets
13
CREATES Research Papers
13
International Journal of Financial Markets and Derivatives
13
Journal of banking & finance
13
Journal of risk and financial management : JRFM
13
Economics Papers from University Paris Dauphine
12
Research paper series / Swiss Finance Institute
12
Risks
12
Research Paper Series / Finance Discipline Group, Business School
11
The North American journal of economics and finance : a journal of financial economics studies
11
Discussion Paper / Tilburg University, Center for Economic Research
10
Mathematical finance : an international journal of mathematics, statistics and financial theory
10
The journal of futures markets
10
Journal of economic dynamics & control
9
Post-Print / HAL
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ECONIS (ZBW)
18
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1
A novel partial integrodifferential equation-based framework for pricing interest rate derivatives under jump-extended short-rate models
Coonjobeharry, Radha Krishn
;
Tangman, Désiré Yannick
; …
- In:
The journal of computational finance
18
(
2014/2015
)
4
,
pp. 129-161
Persistent link: https://www.econbiz.de/10011441273
Saved in:
2
High-performance American option pricing
Andersen, Leif B. G.
;
Lake, Mark
;
Offengenden, Dimitri
- In:
The journal of computational finance
20
(
2016
)
1
,
pp. 39-87
Persistent link: https://www.econbiz.de/10011639531
Saved in:
3
Faster comparison of stopping times by nested conditional Monte Carlo
Dickmann, Fabian
;
Schweizer, Nikolaus
- In:
The journal of computational finance
20
(
2016
)
2
,
pp. 101-123
Persistent link: https://www.econbiz.de/10011656716
Saved in:
4
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:
5
Pricing American options under negative rates
Healy, Jherek
- In:
The journal of computational finance
25
(
2021
)
1
,
pp. 1-27
Persistent link: https://www.econbiz.de/10012672294
Saved in:
6
Fast pricing of American options under variance gamma
Fu, Weilong
;
Hirsa, Ali
- In:
The journal of computational finance
25
(
2021
)
1
,
pp. 29-49
Persistent link: https://www.econbiz.de/10012672301
Saved in:
7
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:
8
A novel Fourier transform B-spline method for option pricing
Haslip, Gareth G.
;
Kaishev, Vladimir K.
- In:
The journal of computational finance
19
(
2015
)
1
,
pp. 41-74
Persistent link: https://www.econbiz.de/10011480709
Saved in:
9
Importance sampling applied to Greeks for jump : diffusion models with stochastic volatility
De Diego, Sergio
;
Ferreira, Eva
;
Nualart, Eulàlia
- In:
The journal of computational finance
22
(
2018
)
1
,
pp. 79-105
Persistent link: https://www.econbiz.de/10011890181
Saved in:
10
Importance sampling for jump-diffusions via cross-entropy
Rieke, Rebecca
;
Sun, Weifeng
;
Wang, Hui
- In:
The journal of computational finance
22
(
2018
)
1
,
pp. 107-130
Persistent link: https://www.econbiz.de/10011890185
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