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person:"Chiarella, Carl"
~person:"Yamada, Toshihiro"
~subject:"Black-Scholes-Modell"
~subject:"Euler-Maruyama stochastic integral approximation"
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Black-Scholes-Modell
Euler-Maruyama stochastic integral approximation
Analysis
23
Mathematical analysis
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Option pricing theory
21
Optionspreistheorie
21
Stochastic process
16
Stochastischer Prozess
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Malliavin calculus
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Chiarella, Carl
Yamada, Toshihiro
Kohlmann, Michael
9
Fanelli, Viviana
3
Leitner, Johannes
3
Musti, Silvana
3
Zhou, Xun Yu
3
Wan, Justin W. L.
2
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1
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1
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1
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1
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1
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1
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1
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1
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2
Asia-Pacific financial markets
1
European journal of operational research : EJOR
1
Quantitative finance
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ECONIS (ZBW)
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A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing
Yamada, Toshihiro
;
Yamamoto, Kenta
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1825-1837
Persistent link: https://www.econbiz.de/10012313518
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2
An asymptotic expansion for forward-backward SDEs : a malliavin calculus approach
Takahashi, Akihiko
;
Yamada, Toshihiro
- In:
Asia-Pacific financial markets
23
(
2016
)
4
,
pp. 337-373
Persistent link: https://www.econbiz.de/10011619975
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3
Modelling the evolution of credit spreads using the Cox process within the HJM framework : a CDS option pricing model
Chiarella, Carl
;
Fanelli, Viviana
;
Musti, Silvana
-
2009
Persistent link: https://www.econbiz.de/10008662364
Saved in:
4
Modelling the evolution of credit spreads using the Cox process within the HUM framework : a CDS option pricing model
Chiarella, Carl
;
Fanelli, Viviana
;
Musti, Silvana
-
2008
Persistent link: https://www.econbiz.de/10003857131
Saved in:
5
Modelling the evolution of credit spreads using the Cox process within the HJM framework : a CDS option pricing model
Chiarella, Carl
;
Fanelli, Viviana
;
Musti, Silvana
- In:
European journal of operational research : EJOR
208
(
2011
)
2
,
pp. 95-108
Persistent link: https://www.econbiz.de/10008779603
Saved in:
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