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Option Prices with Stochastic...
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Monte Carlo simulation
Option pricing theory
218
Optionspreistheorie
218
Theorie
114
Theory
114
Stochastic process
84
Stochastischer Prozess
84
Volatility
41
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Option trading
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Arbitrage pricing
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Search theory
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Suchtheorie
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Interest rate derivative
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Markov chain
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Giles, Michael B.
2
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2
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1
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1
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1
Chen, Nan
1
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1
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1
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1
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Lyuu, Yuh-dauh
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Mair, Maximilian
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Mao, Xuerong
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Finance and stochastics
The journal of computational finance
42
International journal of theoretical and applied finance
32
Quantitative finance
24
Computational economics
16
European journal of operational research : EJOR
14
Applied mathematical finance
13
Energy economics
11
Mathematical finance : an international journal of mathematics, statistics and financial theory
11
Journal of risk and financial management : JRFM
9
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
9
Risks : open access journal
9
International journal of financial engineering
8
Journal of economic dynamics & control
8
The North American journal of economics and finance : a journal of financial economics studies
8
The journal of futures markets
8
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
7
Decisions in economics and finance : DEF ; a journal of applied mathematics
6
Finance research letters
6
Mathematics of operations research
6
The journal of derivatives : the official publication of the International Association of Financial Engineers
6
Applied economics
5
Asia-Pacific financial markets
5
Journal of mathematical finance
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Management science : journal of the Institute for Operations Research and the Management Sciences
5
International review of financial analysis
4
Operations research letters
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The European journal of finance
4
Advances in mathematical economics
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Diskussionsbeiträge / Fakultät Wirtschaftswissenschaft, FernUniversität in Hagen
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Finance and economics discussion series
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Insurance / Mathematics & economics
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Numerical methods in finance : Bordeaux, June 2010
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Review of derivatives research
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1
Optimal importance sampling with explicit formulas in continuous time
Guasoni, Paolo
;
Robertson, Scott
- In:
Finance and stochastics
12
(
2008
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10003592542
Saved in:
2
Multilevel Monte Carlo for exponential Lévy models
Giles, Michael B.
;
Xia, Yuan
- In:
Finance and stochastics
21
(
2017
)
4
,
pp. 995-1026
Persistent link: https://www.econbiz.de/10011944462
Saved in:
3
Chebyshev interpolation for parametric option pricing
Gaß, Maximilian
;
Glau, Kathrin
;
Mahlstedt, Mirco
; …
- In:
Finance and stochastics
22
(
2018
)
3
,
pp. 701-731
Persistent link: https://www.econbiz.de/10011945899
Saved in:
4
An analysis of a least squares regression method for American option pricing
Clément, Emmanuelle
;
Lamberton, Damien
;
Protter, Philip
- In:
Finance and stochastics
6
(
2002
)
4
,
pp. 449-471
Persistent link: https://www.econbiz.de/10001702781
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5
Pricing options under stochastic volatility : a power series approach
Antonelli, Fabio
;
Scarlatti, Sergio
- In:
Finance and stochastics
13
(
2009
)
2
,
pp. 269-303
Persistent link: https://www.econbiz.de/10003939521
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6
Quasi-Monte Carlo methods with applications in finance
L'Ecuyer, Pierre
- In:
Finance and stochastics
13
(
2009
)
3
,
pp. 307-349
Persistent link: https://www.econbiz.de/10003899308
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7
Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff
Giles, Michael B.
;
Higham, Desmond J.
;
Mao, Xuerong
- In:
Finance and stochastics
13
(
2009
)
3
,
pp. 403-413
Persistent link: https://www.econbiz.de/10003899321
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8
Unbiased and efficient Greeks of financial options
Lyuu, Yuh-dauh
;
Teng, Huei-wen
- In:
Finance and stochastics
15
(
2011
)
1
,
pp. 141-181
Persistent link: https://www.econbiz.de/10008824129
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9
Dual pricing of multi-exercise options under volume constraints
Bender, Christian
- In:
Finance and stochastics
15
(
2011
)
1
,
pp. 1-26
Persistent link: https://www.econbiz.de/10008824146
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10
Quantitative error estimates for a least-squares Monte Carlo algorithm for American option pricing
Zanger, Daniel Z.
- In:
Finance and stochastics
17
(
2013
)
3
,
pp. 503-534
Persistent link: https://www.econbiz.de/10009756026
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