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Option pricing theory
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Quantitative finance
Physica A: Statistical Mechanics and its Applications
58
International journal of theoretical and applied finance
41
International Journal of Theoretical and Applied Finance (IJTAF)
38
Finance and Stochastics
37
MPRA Paper
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Applied Mathematical Finance
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Review of Derivatives Research
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International journal of financial engineering
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European journal of operational research : EJOR
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Finance research letters
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The North American journal of economics and finance : a journal of financial economics studies
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Refinement by reducing and reusing random numbers of the Hybrid scheme for Brownian semistationary processes
Fukasawa, Masaaki
;
Hirano, Asuto
- In:
Quantitative finance
21
(
2021
)
7
,
pp. 1127-1146
Persistent link: https://www.econbiz.de/10012588025
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2
JDOI variance reduction method and the pricing of American-style options
Auster, Johan
;
Mathys, Ludovic
;
Maeder, Fabio
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 639-656
Persistent link: https://www.econbiz.de/10013367843
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3
Volatility is rough
Gatheral, Jim
;
Jaisson, Thibault
;
Rosenbaum, Mathieu
- In:
Quantitative finance
18
(
2018
)
6
,
pp. 933-949
Persistent link: https://www.econbiz.de/10011910932
Saved in:
4
Option pricing based on hybrid GARCH-type models with improved ensemble empirical mode decomposition
Hua, Qiuling
;
Jiang, Tingfeng
;
Cheng, Zhang
- In:
Quantitative finance
18
(
2018
)
9
,
pp. 1501-1515
Persistent link: https://www.econbiz.de/10011913179
Saved in:
5
COS method for option pricing under a regime-switching model with time-changed Lévy processes
Tour, G.
;
Thakoor, N.
;
Khaliq, Abdul Q. M.
;
Tangman, D. Y.
- In:
Quantitative finance
18
(
2018
)
4
,
pp. 673-692
Persistent link: https://www.econbiz.de/10011906458
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6
Principled pasting : attaching tails to risk-neutral probability density functions recovered from option prices
Bollinger, Thomas R.
;
Melick, William Robert
;
Thomas, …
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1751-1768
Persistent link: https://www.econbiz.de/10014452468
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7
Equal risk pricing and hedging of financial derivatives with convex risk measures
Marzban, Saeed
;
Delage, Erick
;
Li, Jonathan Yu-Meng
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 47-73
Persistent link: https://www.econbiz.de/10012872521
Saved in:
8
A revised option pricing formula with the underlying being banned from short selling
He, Xin-Jiang
;
Zhu, Song-Ping
- In:
Quantitative finance
20
(
2020
)
6
,
pp. 935-948
Persistent link: https://www.econbiz.de/10012262638
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9
Turbocharging Monte Carlo pricing for the rough Bergomi model
McCrickerd, Ryan
;
Pakkanen, Mikko S.
- In:
Quantitative finance
18
(
2018
)
11
,
pp. 1877-1886
Persistent link: https://www.econbiz.de/10012262858
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10
Dynamic programming for optimal stopping via pseudo-regression
Bayer, Christian
;
Redmann, Martin
;
Schoenmakers, John
- In:
Quantitative finance
21
(
2021
)
1
,
pp. 29-44
Persistent link: https://www.econbiz.de/10012424631
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