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Option pricing theory
256
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256
Stochastic process
103
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103
Option trading
79
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79
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70
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Madan, Dilip B.
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Li, Yuying
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The journal of computational finance
NBER working paper series
844
Working paper / National Bureau of Economic Research, Inc.
691
NBER Working Paper
671
International journal of theoretical and applied finance
566
Journal of banking & finance
543
Journal of financial economics
394
Finance research letters
382
Finance and stochastics
373
Mathematical finance : an international journal of mathematics, statistics and financial theory
364
The journal of futures markets
357
The journal of finance : the journal of the American Finance Association
313
Journal of economic dynamics & control
302
European journal of operational research : EJOR
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Insurance / Mathematics & economics
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Quantitative finance
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The review of financial studies
295
Applied mathematical finance
278
Economics letters
251
Journal of empirical finance
239
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The journal of derivatives : the official publication of the International Association of Financial Engineers
233
Journal of econometrics
220
Research paper series / Swiss Finance Institute
217
Management science : journal of the Institute for Operations Research and the Management Sciences
213
Applied economics
207
Discussion paper / Centre for Economic Policy Research
199
International review of financial analysis
196
Journal of financial and quantitative analysis : JFQA
196
Review of derivatives research
192
Discussion paper series / IZA
187
International review of economics & finance : IREF
185
Economic modelling
176
Risks : open access journal
176
The European journal of finance
176
The North American journal of economics and finance : a journal of financial economics studies
171
Computational economics
165
Applied economics letters
163
IZA Discussion Paper
160
Journal of mathematical finance
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ECONIS (ZBW)
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1
Efficient computation of exposure profiles on real-world and risk-neutral scenarios for Bermudan swaptions
Feng, Qian
;
Jain, Shashi
;
Karlsson, Patrik
;
Kandhai, Drona
- In:
The journal of computational finance
20
(
2016
)
1
,
pp. 139-172
Persistent link: https://www.econbiz.de/10011639641
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2
A multifactor bottom-up model for pricing credit derivatives
Tsui, Lung Kwan
- In:
The journal of computational finance
17
(
2013
)
1
,
pp. 93-114
Persistent link: https://www.econbiz.de/10010337815
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3
A simple approximation for the no-arbitrage drifts in Libor market model–SABR-family interest-rate models
Rebonato, Riccardo
- In:
The journal of computational finance
19
(
2015
)
1
,
pp. 1-10
Persistent link: https://www.econbiz.de/10011480695
Saved in:
4
Finite difference techniques for arbitrage-free SABR
Le Floc'h, Fabien
;
Kennedy, Gary
- In:
The journal of computational finance
20
(
2016/2017
)
3
,
pp. 51-79
Persistent link: https://www.econbiz.de/10011689679
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5
Stratified approximations for the pricing of options on average
Privault, Nicolas
;
Yu, Jiadong
- In:
The journal of computational finance
19
(
2016
)
4
,
pp. 95-113
Persistent link: https://www.econbiz.de/10011603193
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6
Adjusting exponential Lévy models toward the simultaneous calibration of market prices for crash cliquets
Carr, Peter
;
Khanna, Ajay
;
Madan, Dilip B.
- In:
The journal of computational finance
20
(
2016
)
1
,
pp. 89-111
Persistent link: https://www.econbiz.de/10011639593
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7
Penalty methods for bilateral XVA pricing in European and American contingent claims by a partial differential equation model
Chen, Yuwei
;
Christara, Christiana C.
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 41-70
Persistent link: https://www.econbiz.de/10012544162
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8
Nonparametric estimation of an implied volatility surface
Bodurtha, James N.
;
Jermakyan, Martin
- In:
The journal of computational finance
2
(
1999
)
4
,
pp. 29-60
Persistent link: https://www.econbiz.de/10001517296
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9
Option valuation using the fast Fourier transform
Carr, Peter
;
Madan, Dilip B.
- In:
The journal of computational finance
2
(
1999
)
4
,
pp. 61-73
Persistent link: https://www.econbiz.de/10001517298
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10
An analytical approximation for the GARCH option pricing model
Duan, Jin-Chuan
;
Gauthier, Geneviève
;
Simonato, Jean-Guy
- In:
The journal of computational finance
2
(
1999
)
4
,
pp. 75-116
Persistent link: https://www.econbiz.de/10001517300
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