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Characteristic function
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Option pricing theory
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Computational economics
Annals of the Institute of Statistical Mathematics
11
International journal of theoretical and applied finance
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TEST: An Official Journal of the Spanish Society of Statistics and Operations Research
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International Game Theory Review (IGTR)
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1
Foreign currency power option pricing based on Esscher transform
Li, Wenhan
;
Li, Cuixiang
;
Liu, Lixia
;
Wang, Mengna
- In:
Computational economics
58
(
2021
)
2
,
pp. 535-548
Persistent link: https://www.econbiz.de/10012615075
Saved in:
2
Pricing vulnerable options with stochastic volatility and stochastic interest rate
Ma, Chaoqun
;
Yue, Shengjie
;
Wu, Hui
;
Ma, Yong
- In:
Computational economics
56
(
2020
)
2
,
pp. 391-429
Persistent link: https://www.econbiz.de/10012272041
Saved in:
3
Option pricing under a stochastic interest rate and volatility model with hidden Markovian regime-switching
Zhu, Dong-Mei
;
Lu, Jiejun
;
Ching, Wai Ki
;
Siu, Tak Kuen
- In:
Computational economics
53
(
2019
)
2
,
pp. 555-586
Persistent link: https://www.econbiz.de/10012134818
Saved in:
4
Estimation of dynamic mixed hitting time model using
characteristic
function
based moments
Purwono, Yogo
;
Irwan Adi Ekaputra
;
Husodo, Zaäfri Ananto
- In:
Computational economics
51
(
2018
)
2
,
pp. 295-321
Persistent link: https://www.econbiz.de/10011963671
Saved in:
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