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Option pricing theory
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discrete time
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discrete-time models
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discrete-time stochastic control
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humped volatility
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stochastic liquidity
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stochastic volatility
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Applied mathematical finance
Mathematical Methods of Operations Research
17
Computational Statistics
16
European journal of operational research : EJOR
11
IZA Discussion Papers
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International journal of production research
8
Physica A: Statistical Mechanics and its Applications
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Opsearch : journal of the Operational Research Society of India
7
RAIRO / Operations research
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Working Papers / Nationalekonomiska Institutionen, Ekonomihögskolan
7
Computers & operations research : and their applications to problems of world concern ; an international journal
6
Dynamic games and applications : DGA
6
Mathematics and Computers in Simulation (MATCOM)
6
Applied Mathematical Finance
5
MPRA Paper
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Operations research letters
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Research Paper Series / Finance Discipline Group, Business School
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Statistics & Probability Letters
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Stochastic Processes and their Applications
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Top : an official journal of the Spanish Society of Statistics and Operations Research
5
Asia-Pacific Financial Markets
4
Bonn Econ Discussion Papers
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Discussion paper series / IZA
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IFN Working Paper
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Management Science
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Mathematical methods of operations research
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Social Science & Medicine
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Statistical Inference for Stochastic Processes
4
TOP: An Official Journal of the Spanish Society of Statistics and Operations Research
4
Working Paper
4
Working Paper Series / Institutet för Näringslivsforskning (IFN)
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Annals of the Institute of Statistical Mathematics
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Asia-Pacific Journal of Operational Research (APJOR)
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CREATES Research Papers
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Economics Bulletin
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FAU discussion papers in economics
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Health, Econometrics and Data Group (HEDG) Working Papers
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Insurance / Mathematics & economics
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Optimal trade execution under stochastic volatility and liquidity
Cheridito, Patrick
;
Sepin, Tardu
- In:
Applied mathematical finance
21
(
2014
)
3/4
,
pp. 342-362
Persistent link: https://www.econbiz.de/10010499674
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2
A path-independent humped volatility model for option pricing
Costabile, Massimo
;
Massabo, Ivar
;
Russo, Emilio
- In:
Applied mathematical finance
20
(
2013
)
3/4
,
pp. 191-210
Persistent link: https://www.econbiz.de/10010187670
Saved in:
3
Portfolio selection in
discrete
time
with transaction costs and power utility function : a perturbation analysis
Quek, Gary
;
Atkinson, Colin
- In:
Applied mathematical finance
24
(
2017
)
1/2
,
pp. 77-111
Persistent link: https://www.econbiz.de/10011746994
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