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~accessRights:"restricted"
~person:"Bayer, Christian"
~person:"He, Xin-Jiang"
~person:"Korn, Ralf"
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Option pricing theory
26
Optionspreistheorie
26
Stochastic process
15
Stochastischer Prozess
15
Option trading
13
Optionsgeschäft
13
Volatility
13
Volatilität
13
Monte Carlo simulation
7
Monte-Carlo-Simulation
7
Black-Scholes model
5
Black-Scholes-Modell
5
Markov chain
5
Markov-Kette
5
Option pricing
5
Monte Carlo
4
Closed-form
3
Yield curve
3
Zinsstruktur
3
Derivat
2
Derivative
2
Dividend
2
Dividende
2
EU countries
2
EU-Staaten
2
Empirical studies
2
European option pricing
2
European options
2
Experiment
2
Heston model
2
Quasi-Monte Carlo
2
Regime switching
2
Richardson extrapolation
2
Search theory
2
Stochastic volatility
2
Suchtheorie
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Swap
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option pricing
2
regime switching
2
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29
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English
27
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Bayer, Christian
He, Xin-Jiang
Korn, Ralf
Wang, Xingchun
32
Cui, Zhenyu
30
Fabozzi, Frank J.
25
Ryu, Doojin
24
Lee, Cheng F.
23
Yang, Zhaojun
20
Madan, Dilip B.
19
Lee, Hangsuck
18
Zhang, Jin E.
18
Carr, Peter
16
Takahashi, Akihiko
15
Chiarella, Carl
14
Fusai, Gianluca
14
Jacobs, Kris
14
Li, Lingfei
14
Siu, Tak Kuen
14
Zhong, Zhaodong
14
Benth, Fred Espen
13
Elliott, Robert J.
13
Kim, Jeong-Hoon
13
Kim, Young Shin
13
Kirkby, J. Lars
13
Leippold, Markus
13
Shahzad, Syed Jawad Hussain
13
Augustin, Patrick
12
Hammoudeh, Shawkat
12
Kang, Boda
12
Nguyen, Duy
12
Račev, Svetlozar T.
12
Alòs, Elisa
11
Escobar, Marcos
11
Kiesel, Florian
11
Kwok, Yue-Kuen
11
Sarkar, Sudipto
11
Wang, King
11
Xu, Wei
11
Yang, Heejin
11
Bouri, Elie
10
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Springer Fachmedien Wiesbaden
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Quantitative finance
10
Computational economics
2
IMA journal of management mathematics
2
The journal of futures markets
2
Advanced modelling in mathematical finance : in honour of Ernst Eberlein
1
Finance and Stochastics
1
Financial Markets and Portfolio Management
1
International journal of financial engineering
1
International journal of theoretical and applied finance
1
International journal of theoretical and applied finance : IJTAF
1
International review of financial analysis
1
Journal of economic dynamics & control
1
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1
Studienbücher Wirtschaftsmathematik
1
The European journal of finance
1
The North American journal of economics and finance : a journal of financial economics studies
1
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The journal of computational finance : JFC
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ECONIS (ZBW)
28
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2
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1
Optimal damping with a hierarchical adaptive quadrature for efficient Fourier pricing of multi-asset options in Lévy models
Bayer, Christian
;
Ben Hammouda, Chiheb
;
Papapantoleon, …
- In:
The journal of computational finance : JFC
27
(
2023
)
3
,
pp. 43-86
Persistent link: https://www.econbiz.de/10014487037
Saved in:
2
Analytically pricing exchange options with stochastic liquidity and regime switching
He, Xin-Jiang
;
Lin, Sha
- In:
The journal of futures markets
43
(
2023
)
5
,
pp. 662-676
Persistent link: https://www.econbiz.de/10014293179
Saved in:
3
Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure
He, Xin-Jiang
;
Lin, Sha
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 951-967
Persistent link: https://www.econbiz.de/10014293271
Saved in:
4
An analytical approximation formula for barrier
option
prices under the heston model
He, Xin-Jiang
;
Lin, Sha
- In:
Computational economics
60
(
2022
)
4
,
pp. 1413-1425
Persistent link: https://www.econbiz.de/10013447445
Saved in:
5
Skew-Brownian motion and pricing European exchange options
Pasricha, Puneet
;
He, Xin-Jiang
- In:
International review of financial analysis
82
(
2022
),
pp. 1-9
Persistent link: https://www.econbiz.de/10013426145
Saved in:
6
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
Saved in:
7
Pricing American options by exercise rate optimization
Bayer, Christian
;
Tempone, Raúl
;
Wolfers, Sören
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1749-1760
Persistent link: https://www.econbiz.de/10012295635
Saved in:
8
Implied stopping rules for American basket options from Markovian projection
Bayer, Christian
;
Häppölä, Juho
;
Tempone, Raúl
- In:
Quantitative finance
19
(
2019
)
3
,
pp. 371-390
Persistent link: https://www.econbiz.de/10012194659
Saved in:
9
Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient
option
pricing
Bayer, Christian
;
Ben Hammouda, Chiheb
;
Tempone, Raúl
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 209-227
Persistent link: https://www.econbiz.de/10014232621
Saved in:
10
A new integral equation formulation for American put options
Zhu, Song-Ping
;
He, Xin-Jiang
;
Lu, Xiaoping
- In:
Quantitative finance
18
(
2018
)
3
,
pp. 483-490
Persistent link: https://www.econbiz.de/10011906400
Saved in:
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