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~person:"Korn, Ralf"
~person:"Sarkar, Sudipto"
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Search: subject:"Option"
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Option pricing theory
13
Optionspreistheorie
13
Stochastic process
5
Stochastischer Prozess
5
Theorie
5
Theory
5
Volatility
5
Volatilität
5
Derivat
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Entscheidung unter Unsicherheit
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GMWB
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Korn, Ralf
Sarkar, Sudipto
Xu, Wei
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
He, Xin-Jiang
15
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
Wang, King
11
Yang, Heejin
11
Bayer, Christian
10
Bouri, Elie
10
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1
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Finance and Stochastics
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ECONIS (ZBW)
19
RePEc
8
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1
Joint calibration of S&P 500 and VIX options under local stochastic volatility models
Zhou, Zhiqiang
;
Xu, Wei
;
Rubtsov, Alexey
- In:
International journal of finance & economics : IJFE
29
(
2024
)
1
,
pp. 273-310
Persistent link: https://www.econbiz.de/10014469009
Saved in:
2
Implied volatility surface construction for commodity futures options traded in China
Xu, Wei
;
Šević, Aleksandar
;
Šević, Željko
- In:
Research in international business and finance
61
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10014246888
Saved in:
3
Evaluating credit valuation adjustment with wrong-way risk for Bermudan options
Dong, Bing
;
Xu, Wei
;
Wang, Guangguang
- In:
The journal of computational finance : JFC
27
(
2023
)
3
,
pp. 115-155
Persistent link: https://www.econbiz.de/10014487048
Saved in:
4
Uncertain energy model for electricity and gas futures with application in spark-spread
option
price
Mehrdoust, Farshid
;
Noorani, Idin
;
Xu, Wei
- In:
Fuzzy optimization and decision making : a journal of …
22
(
2023
)
1
,
pp. 123-148
Persistent link: https://www.econbiz.de/10014227971
Saved in:
5
An efficient convergant lattice method for Asian
option
pricing with superlinear complexity
Lu, Ling
;
Xu, Wei
;
Qian, Zhehui
- In:
The journal of computational finance
20
(
2016/2017
)
4
,
pp. 1-38
Persistent link: https://www.econbiz.de/10011691626
Saved in:
6
Can outstanding dividend payments be estimated by American options?
Desmettre, Sascha
;
Grün, Sarah
;
Korn, Ralf
- In:
Quantitative finance
18
(
2018
)
9
,
pp. 1437-1446
Persistent link: https://www.econbiz.de/10011913129
Saved in:
7
Application of the Heath-Platen estimator in the Fong-Vasicek short rate model
Coskun, Sema
;
Korn, Ralf
;
Desmettre, Sascha
- In:
The journal of computational finance
23
(
2019
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012064963
Saved in:
8
Cosine willow tree structure under Lévy processes with application to pricing variance derivatives
Ma, Junmei
;
Xu, Wei
;
Yao, Yi
- In:
The journal of derivatives : JOD
29
(
2021
)
2
,
pp. 30-60
Persistent link: https://www.econbiz.de/10012698124
Saved in:
9
The investment decision with technological and market uncertainties
Fan, Yunfeng
;
Sarkar, Sudipto
;
Zhang, Chuanqian
- In:
The European journal of finance
25
(
2019
)
2
,
pp. 116-138
Persistent link: https://www.econbiz.de/10012206960
Saved in:
10
Willow tree algorithms for pricing VIX derivatives under stochastic volatility models
Ma, Changfu
;
Xu, Wei
;
Kwok, Yue-Kuen
- In:
International journal of financial engineering
7
(
2020
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012602678
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