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THE EFFICIENT COMPUTATION OF P...
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Stochastic process
Greeks
105
Optionspreistheorie
47
Greece
46
Option pricing theory
46
Griechenland
45
Griechen
26
Derivat
23
Derivative
23
Stochastischer Prozess
23
Option trading
19
Optionsgeschäft
19
Monte Carlo simulation
18
Black-Scholes-Modell
17
Black-Scholes model
16
Volatility
16
Volatilität
16
Monte-Carlo-Simulation
15
BGM
12
Deutschland
11
Germany
11
Hedging
10
LMM
10
Theorie
10
Malliavin calculus
9
Risikomanagement
9
Risk management
9
Theory
9
Option pricing
8
greeks
7
option pricing
7
Arbeitsmigranten
6
BGF
6
Migrant workers
6
Estimation
5
Estimation theory
5
Portfolio selection
5
Portfolio-Management
5
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5
Risk
5
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English
23
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Cui, Zhenyu
2
Ackerer, Damien
1
Aguilar, Jean-Philippe
1
Bayer, Christian
1
Baños, D.
1
Ben Hammouda, Chiheb
1
Cathcart, Mark J.
1
Chan, Jiun Hong
1
Chen, Xi
1
Cherif, Sidi Mohamed Lalaoui Ben
1
Coleman, Thomas F.
1
Duedahl, S.
1
Eddahbi, M'hamed
1
Filipović, Damir
1
Hess, Markus
1
Hofer, Markus
1
Inkaya, B. Alper
1
Joshi, Mark S.
1
Kang, Boda
1
Kang, Wanmo
1
Kirkby, Justin Lars
1
Korbel, Jan
1
Lavagnini, Silvia
1
Lee, Jong Mun
1
Lok, Hsiao Yen
1
Ludkovski, Mike
1
Lyuu, Yuh-dauh
1
Ma, Jingtang
1
Ma, Yong
1
Mayer, Philipp
1
McNeil, Alexander J.
1
Meyer-Brandis, T.
1
Mordecki, Ernesto
1
Morrison, Steven
1
Muroi, Yoshifumi
1
Nasroallah, Abdelaziz
1
Nguyen, Duy
1
Nikitopoulos, Christina Sklibosios
1
Olivera, Federico de
1
Pan, Dongtao
1
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International journal of theoretical and applied finance
3
Quantitative finance
3
Applied mathematical finance
2
Mathematics of operations research
2
The journal of computational finance
2
Astin bulletin : the journal of the International Actuarial Association
1
Computational Management Science : CMS
1
Finance and stochastics
1
Journal of economic dynamics & control
1
Journal of risk
1
Mathematical methods of operations research : ZOR
1
Mathematics and financial economics
1
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
1
Research paper series / Swiss Finance Institute
1
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1
Trends in mathematical economics : dialogues between Southern Europe and Latin America
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ECONIS (ZBW)
23
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1
Optimal investment : bounds and heuristics
Rogers, Leonard C. G.
;
Zaczkowski, P.
- In:
The journal of computational finance
19
(
2015/2016
)
2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011442629
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2
Pricing Asian options with correlators
Lavagnini, Silvia
- In:
International journal of theoretical and applied finance
24
(
2021
)
8
,
pp. 1-44
Persistent link: https://www.econbiz.de/10012887425
Saved in:
3
First- and second-order
Greeks
in the Heston model
Chan, Jiun Hong
;
Joshi, Mark S.
;
Zhu, Dan
- In:
Journal of risk
17
(
2014/2015
)
4
,
pp. 19-69
Persistent link: https://www.econbiz.de/10013262933
Saved in:
4
Pricing and hedging of lookback options in hyper-exponential jump diffusion models
Hofer, Markus
;
Mayer, Philipp
- In:
Applied mathematical finance
20
(
2013
)
5/6
,
pp. 489-511
Persistent link: https://www.econbiz.de/10010235585
Saved in:
5
Computation of
Greeks
using binomial trees in a jump-diffusion model
Suda, Shintaro
;
Muroi, Yoshifumi
- In:
Journal of economic dynamics & control
51
(
2015
),
pp. 93-110
Persistent link: https://www.econbiz.de/10011474273
Saved in:
6
Calculating variable annuity liability "
Greeks
" using Monte Carlo simulation
Cathcart, Mark J.
;
Lok, Hsiao Yen
;
McNeil, Alexander J.
; …
- In:
Astin bulletin : the journal of the International …
45
(
2015
)
2
,
pp. 239-266
Persistent link: https://www.econbiz.de/10011312287
Saved in:
7
On error estimates for asymptotic expansions with Malliavin weights : application to stochastic volatility model
Takahashi, Akihiko
;
Yamada, Toshihiro
- In:
Mathematics of operations research
40
(
2015
)
3
,
pp. 513-541
Persistent link: https://www.econbiz.de/10011338705
Saved in:
8
Computation of
Greeks
for jump-diffusion models
Eddahbi, M'hamed
;
Cherif, Sidi Mohamed Lalaoui Ben
; …
- In:
International journal of theoretical and applied finance
18
(
2015
)
6
,
pp. 1-30
Persistent link: https://www.econbiz.de/10011403918
Saved in:
9
Option pricing with orthogonal polynomial expansions
Ackerer, Damien
;
Filipović, Damir
-
2017
nested affine case. We also derive and numerically validate series representations for option
Greeks
. We depict an extension …
Persistent link: https://www.econbiz.de/10011870651
Saved in:
10
Computation of the delta of European options under stochastic volatility models
Yolcu-Okur, Yeliz
;
Sayer, Tilman
;
Yilmaz, Bilgi
; …
- In:
Computational Management Science : CMS
15
(
2018
)
2
,
pp. 213-237
Persistent link: https://www.econbiz.de/10011876576
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