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~subject:"Option pricing theory"
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Option pricing theory
Theorie
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25
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Glasserman, Paul
22
Broadie, Mark
7
Merener, Nicolas
3
Wu, Qi
3
Heidelberger, Philip
2
Kim, Kyoung-kuk
2
Nouri, Behzad
2
Shahabuddin, Perwez
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The journal of computational finance
4
Finance and stochastics
3
Journal of economic dynamics & control
3
Mathematical finance : an international journal of mathematics, statistics and financial theory
3
The journal of derivatives : the official publication of the International Association of Financial Engineers
2
Applications of mathematics : stochastic modelling and applied probability
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International journal of theoretical and applied finance
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Journal of commodity markets
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ECONIS (ZBW)
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Cap and swaption approximations in Libor market models with jumps
Glasserman, Paul
;
Merener, Nicolas
- In:
The journal of computational finance
7
(
2003
)
1
,
pp. 1-36
Persistent link: https://www.econbiz.de/10001805437
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2
An efficient Monte Carlo method for discrete variance contracts
Merener, Nicolas
;
Vicchi, Leonardo
- In:
The journal of computational finance
18
(
2014/15
)
3
,
pp. 1-25
Persistent link: https://www.econbiz.de/10011298488
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3
Equilibrium and real options in the ethanol industry : modeling and empirical evidence
Davison, Matt
;
Merener, Nicolas
- In:
Journal of commodity markets
31
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014477821
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4
Monte Carlo methods in financial engineering
Glasserman, Paul
-
2004
Persistent link: https://www.econbiz.de/10001763783
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5
Fast greeks by simulation in forward LIBOR models
Glasserman, Paul
;
Zhao, Xiaoliang
- In:
The journal of computational finance
3
(
1999
)
1
,
pp. 5-39
Persistent link: https://www.econbiz.de/10001517406
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6
Importance sampling in the Health-Jarrow-Morton framework
Glasserman, Paul
;
Heidelberger, Philip
;
Shahabuddin, Perwez
- In:
The journal of derivatives : the official publication …
7
(
1999
)
1
,
pp. 32-50
Persistent link: https://www.econbiz.de/10001432466
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7
Estimating security price derivatives using simulation
Broadie, Mark
;
Glasserman, Paul
-
1993
Persistent link: https://www.econbiz.de/10000990346
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8
A continuity correction for discrete barrier options
Broadie, Mark
- In:
Mathematical finance : an international journal of …
7
(
1997
)
4
,
pp. 325-349
Persistent link: https://www.econbiz.de/10001232779
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9
Connecting discrete and continuous path-dependent options
Broadie, Mark
;
Glasserman, Paul
;
Kou, S. G.
- In:
Finance and stochastics
3
(
1999
)
1
,
pp. 55-82
Persistent link: https://www.econbiz.de/10001367460
Saved in:
10
Asymptotically optimal importance sampling and stratification for pricing path-dependent options
Glasserman, Paul
;
Heidelberger, Philip
;
Shahabuddin, Perwez
- In:
Mathematical finance : an international journal of …
9
(
1999
)
2
,
pp. 117-152
Persistent link: https://www.econbiz.de/10001372181
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