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person:"Madan, Dilip B."
~isPartOf:"International journal of theoretical and applied finance"
~person:"Levendorskij, Sergej Z."
~person:"Neumann, C. D. D."
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Option pricing theory
15
Optionspreistheorie
15
Stochastic process
7
Stochastischer Prozess
7
Option trading
4
Optionsgeschäft
4
Wiener-Hopf factorization
4
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barrier options
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Madan, Dilip B.
Levendorskij, Sergej Z.
Neumann, C. D. D.
Kwok, Yue-Kuen
9
Takahashi, Akihiko
7
Elliott, Robert J.
6
Gapeev, Pavel V.
6
Jeanblanc, Monique
6
Benth, Fred Espen
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5
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Hui, Cho H.
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Lo, C. F.
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Macrina, Andrea
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Račev, Svetlozar T.
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Wu, Lixin
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Arai, Takuji
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Bernard, Carole
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International journal of theoretical and applied finance
Robert H. Smith School Research Paper
11
Mathematical finance : an international journal of mathematics, statistics and financial theory
10
The journal of computational finance
8
Applied mathematical finance
5
Annals of finance
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Finance research letters
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European finance review : the official journal of the European Finance Association
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Finance and stochastics
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Queen's Economics Department working paper
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Digital finance : smart data analytics, investment innovation, and financial technology
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Discussion paper / Institute for Economic Research, Queen's University
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Insurance / Mathematics & economics
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International Journal of Portfolio Analysis and Management
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International economic review
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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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Journal of financial economics
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Recent advances in financial engineering 2011: proceedings of the International Workshop on Finance 2011
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Review of derivatives research
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Risks : open access journal
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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ECONIS (ZBW)
15
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1
Option implied VIX, Skew and Kurtosis term structures
Madan, Dilip B.
;
Wang, King
- In:
International journal of theoretical and applied finance
24
(
2021
)
5
,
pp. 1-13
Persistent link: https://www.econbiz.de/10012662046
Saved in:
2
Sinh-acceleration for B-spline projection with option pricing applications
Bojarčenko, Svetlana I.
;
Levendorskij, Sergej Z.
; …
- In:
International journal of theoretical and applied finance
24
(
2021
)
8
,
pp. 1-50
Persistent link: https://www.econbiz.de/10012887408
Saved in:
3
Sinh-acceleration: efficient evaluation of probability distributions, option pricing, and Monte Carlo simulations
Bojarčenko, Svetlana I.
;
Levendorskij, Sergej Z.
- In:
International journal of theoretical and applied finance
22
(
2019
)
3
,
pp. 1-49
Persistent link: https://www.econbiz.de/10012019776
Saved in:
4
Ultra-fast pricing barrier options and CDSs
Levendorskij, Sergej Z.
- In:
International journal of theoretical and applied finance
20
(
2017
)
5
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011734044
Saved in:
5
Method of paired contours and pricing barrier options and CDSs of long maturities
Levendorskij, Sergej Z.
- In:
International journal of theoretical and applied finance
17
(
2014
)
5
,
pp. 1-58
Persistent link: https://www.econbiz.de/10010437194
Saved in:
6
Efficient Laplace inversion, Wiener-Hopf factorization and pricing lookbacks
Bojarčenko, Svetlana I.
;
Levendorskij, Sergej Z.
- In:
International journal of theoretical and applied finance
16
(
2013
)
3
,
pp. 1-40
Persistent link: https://www.econbiz.de/10009756073
Saved in:
7
Efficient pricing and reliable calibration in the Heston model
Levendorskij, Sergej Z.
- In:
International journal of theoretical and applied finance
15
(
2012
)
7
,
pp. 1-44
Persistent link: https://www.econbiz.de/10009685887
Saved in:
8
Prices of barrier and first-touch digital options in Lévy-driven models, near barrier
Boyarchenko, Mitya
;
Innocentis, Marco de
;
Levendorskij, …
- In:
International journal of theoretical and applied finance
14
(
2011
)
7
,
pp. 1045-1090
Persistent link: https://www.econbiz.de/10009407673
Saved in:
9
Put option prices as joint distribution functions in strike and maturity : the black-scholes case
Madan, Dilip B.
;
Roynette, Bernard
;
Yor, Marc
- In:
International journal of theoretical and applied finance
12
(
2009
)
8
,
pp. 1075-1090
Persistent link: https://www.econbiz.de/10003946566
Saved in:
10
Pricing of first touch digitals under normal inverse Gaussian processes
Kudryavtsev, Oleg
;
Levendorskij, Sergej Z.
- In:
International journal of theoretical and applied finance
9
(
2006
)
6
,
pp. 915-949
Persistent link: https://www.econbiz.de/10003380303
Saved in:
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