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accessRights:"restricted"
~person:"Cui, Zhenyu"
~person:"Guidolin, Massimo"
~person:"Nguyen, Duy"
~type_genre:"Article in journal"
~type_genre:"Government document"
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Search: subject_exact:"Markov chain"
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Markov chain
17
Markov-Kette
17
Option pricing theory
12
Optionspreistheorie
12
Stochastic process
10
Stochastischer Prozess
10
Volatility
7
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7
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5
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4
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Cui, Zhenyu
Guidolin, Massimo
Nguyen, Duy
Tsionas, Efthymios G.
17
Gupta, Rangan
13
Serletis, Apostolos
11
Xu, Libo
9
Casarin, Roberto
7
Chang, Kuang-Liang
7
Elliott, Robert J.
7
Kirkby, J. Lars
7
Legros, Benjamin
7
Li, Lingfei
7
Li, Yong
7
Lunday, Brian J.
7
Ma, Feng
7
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7
Shi, Yanlin
7
Siu, Tak Kuen
7
Cavicchioli, Maddalena
6
D'Amico, Guglielmo
6
Dimitrakopoulos, Stefanos
6
Feinberg, Eugene A.
6
Guo, Xianping
6
He, Xin-Jiang
6
Leiva-Leon, Danilo
6
Wei, Qingda
6
Zhu, Song-Ping
6
Balcilar, Mehmet
5
Banik, A. D.
5
Billio, Monica
5
Blazsek, Szabolcs
5
Ching, Wai Ki
5
Geng, Na
5
Goutte, Stéphane
5
Goyal, Vineet
5
Hammoudeh, Shawkat
5
Hou, Chenghan
5
Houtum, Geert-Jan van
5
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5
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European journal of operational research : EJOR
5
Quantitative finance
2
Annals of finance
1
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1
Insurance / Mathematics & economics
1
International journal of financial engineering
1
Journal of banking & finance
1
Journal of econometrics
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1
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ECONIS (ZBW)
17
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1
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
MacKay, Anne
;
Vachon, Marie-Claude
;
Cui, Zhenyu
- In:
Quantitative finance
23
(
2023
)
7/8
,
pp. 1055-1078
Persistent link: https://www.econbiz.de/10014321664
Saved in:
2
Pricing discretely monitored barrier options under Markov processes through markov chain approximation
Cui, Zhenyu
;
Taylor, Stephen
- In:
The journal of derivatives : JOD
28
(
2021
)
3
,
pp. 8-33
Persistent link: https://www.econbiz.de/10012486028
Saved in:
3
Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
290
(
2021
)
3
,
pp. 1046-1062
Persistent link: https://www.econbiz.de/10012495249
Saved in:
4
Analysis of Markov chain approximation for Asian options and occupation-time derivatives : Greeks and convergence rates
Yang, Wensheng
;
Ma, Jingtang
;
Cui, Zhenyu
- In:
Mathematical methods of operations research : ZOR
93
(
2021
)
2
,
pp. 359-412
Persistent link: https://www.econbiz.de/10012548535
Saved in:
5
A Markov chain approximation scheme for option pricing under skew diffusions
Ding, Kailin
;
Cui, Zhenyu
;
Wang, Yongjin
- In:
Quantitative finance
21
(
2021
)
3
,
pp. 461-480
Persistent link: https://www.econbiz.de/10012483834
Saved in:
6
Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
Kirkby, J. Lars
;
Nguyen, Duy
- In:
Annals of finance
16
(
2020
)
3
,
pp. 307-351
Persistent link: https://www.econbiz.de/10012496337
Saved in:
7
A general framework for time-changed Markov processes and applications
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
273
(
2019
)
2
,
pp. 785-800
Persistent link: https://www.econbiz.de/10011987591
Saved in:
8
Modeling systemic risk with Markov Switching Graphical SUR models
Bianchi, Daniele
;
Billio, Monica
;
Casarin, Roberto
; …
- In:
Journal of econometrics
210
(
2019
)
1
,
pp. 58-74
Persistent link: https://www.econbiz.de/10012303377
Saved in:
9
A hybrid Markov chain-tree valuation framework for stochastic volatility jump diffusion models
Nguyen, Duy
- In:
International journal of financial engineering
5
(
2018
)
4
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012028829
Saved in:
10
Estimating stochastic discount factor models with hidden regimes : applications to commodity pricing
Giampietro, Marta
;
Guidolin, Massimo
;
Pedio, Manuela
- In:
European journal of operational research : EJOR
265
(
2018
)
2
,
pp. 685-702
Persistent link: https://www.econbiz.de/10011811481
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