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person:"Madan, Dilip B."
~isPartOf:"Discussion paper / Institute for Economic Research, Queen's University"
~isPartOf:"The journal of computational finance"
~person:"Forsyth, Peter A."
~person:"Kirkby, J. Lars"
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Search: subject_exact:"Optionsbewertung"
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Option pricing theory
17
Optionspreistheorie
17
Option trading
6
Optionsgeschäft
6
Stochastic process
6
Stochastischer Prozess
6
Theorie
6
Theory
6
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Madan, Dilip B.
Forsyth, Peter A.
Kirkby, J. Lars
Reisinger, Christoph
5
Andersen, Leif B. G.
4
Coleman, Thomas F.
4
Joshi, Mark S.
4
Oosterlee, Cornelis Willebrordus
4
Rebonato, Riccardo
4
Vetzal, Kenneth R.
4
Brotherton-Ratcliffe, Rupert
3
Carr, Peter
3
Ehrhardt, Matthias
3
Glasserman, Paul
3
Grzelak, Lech A.
3
Korn, Ralf
3
Le Floc'h, Fabien
3
Li, Yuying
3
Oosterlee, Cornelis W.
3
Schoenmakers, John
3
Tankov, Peter
3
Zvan, R.
3
AitSahlia, Farid
2
Cakici, Nusret
2
Cao, Melanie
2
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2
Christara, Christina C.
2
Cont, Rama
2
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2
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2
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2
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2
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2
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2
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2
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Discussion paper / Institute for Economic Research, Queen's University
The journal of computational finance
Robert H. Smith School Research Paper
11
Applied mathematical finance
6
Mathematical finance : an international journal of mathematics, statistics and financial theory
6
European journal of operational research : EJOR
4
International journal of theoretical and applied finance
4
Annals of finance
3
Finance research letters
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Journal of economic dynamics & control
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Review of derivatives research
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European finance review : the official journal of the European Finance Association
2
Insurance / Mathematics & economics
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Queen's Economics Department working paper
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International Journal of Portfolio Analysis and Management
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International journal of financial engineering
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Journal of financial and quantitative analysis : JFQA
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Recent advances in financial engineering 2011: proceedings of the International Workshop on Finance 2011
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Risks : open access journal
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Scandinavian actuarial journal
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
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ECONIS (ZBW)
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1
The CTMC–Heston model : calibration and exotic option pricing with SWIFT
Leitao, Álvaro
;
Kirkby, J. Lars
;
Ortiz-Garcia, Luis
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 71-114
Persistent link: https://www.econbiz.de/10012544164
Saved in:
2
The Chebyshev method for the implied volatility
Glau, Kathrin
;
Herold, Paul
;
Madan, Dilip B.
;
Pötz, …
- In:
The journal of computational finance
23
(
2019
)
3
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012162365
Saved in:
3
American and exotic option pricing with jump diffusions and other Lévy processes
Kirkby, J. Lars
- In:
The journal of computational finance
22
(
2018
)
3
,
pp. 89-148
Persistent link: https://www.econbiz.de/10011988194
Saved in:
4
Robust option pricing with characteristic functions and the B-spline order of density projection
Kirkby, J. Lars
- In:
The journal of computational finance
21
(
2017/2018
)
2
,
pp. 61-100
Persistent link: https://www.econbiz.de/10011848311
Saved in:
5
Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous-time mean-variance asset allocation under stochastic volatility
Ma, K.
;
Forsyth, Peter A.
- In:
The journal of computational finance
20
(
2016
)
1
,
pp. 1-37
Persistent link: https://www.econbiz.de/10011639504
Saved in:
6
Adjusting exponential Lévy models toward the simultaneous calibration of market prices for crash cliquets
Carr, Peter
;
Khanna, Ajay
;
Madan, Dilip B.
- In:
The journal of computational finance
20
(
2016
)
1
,
pp. 89-111
Persistent link: https://www.econbiz.de/10011639593
Saved in:
7
Saddlepoint methods for option pricing
Carr, Peter
;
Madan, Dilip B.
- In:
The journal of computational finance
13
(
2009/10
)
1
,
pp. 49-61
Persistent link: https://www.econbiz.de/10003969743
Saved in:
8
Representing the CGMY and Meixner Lévy processes as time changed Brownian motions
Madan, Dilip B.
;
Yor, Marc
- In:
The journal of computational finance
12
(
2008
)
1
,
pp. 27-47
Persistent link: https://www.econbiz.de/10009534636
Saved in:
9
Robust numerical valuation of European and American options under the CGMY process
Wang, Iris R.
;
Wan, Justin W. L.
;
Forsyth, Peter A.
- In:
The journal of computational finance
10
(
2006/07
)
4
,
pp. 31-69
Persistent link: https://www.econbiz.de/10003542262
Saved in:
10
Pricing American options under variance gamma
Hirsa, Ali
;
Madan, Dilip B.
- In:
The journal of computational finance
7
(
2003/2004
)
2
,
pp. 63-80
Persistent link: https://www.econbiz.de/10001908061
Saved in:
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