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~isPartOf:"Digital finance : smart data analytics, investment innovation, and financial technology"
~isPartOf:"Insurance / Mathematics & economics"
~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"The journal of derivatives : JOD"
~person:"Bojarčenko, Svetlana I."
~person:"Carr, Peter"
~person:"Elliott, Robert J."
~person:"Haucap, Justus"
~person:"Jeon, Doh-Shin"
~person:"Madan, Dilip B."
~person:"Ndoye, Mbaye"
~subject:"Option pricing theory"
~subject:"Telekommunikation"
~type_genre:"Article in journal"
~type_genre:"Aufsatz im Buch"
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Option pricing theory
Telekommunikation
Optionspreistheorie
23
Stochastic process
11
Stochastischer Prozess
11
Option trading
9
Optionsgeschäft
9
Markov chain
7
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7
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options
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regime switching
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statistical methods
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23
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Bojarčenko, Svetlana I.
Carr, Peter
Elliott, Robert J.
Haucap, Justus
Jeon, Doh-Shin
Madan, Dilip B.
Ndoye, Mbaye
Levendorskij, Sergej Z.
10
Siu, Tak Kuen
10
Kwok, Yue-Kuen
9
Cui, Zhenyu
7
Fabozzi, Frank J.
7
Takahashi, Akihiko
7
Benth, Fred Espen
6
Gapeev, Pavel V.
6
Jeanblanc, Monique
6
Pelsser, Antoon André Jean
6
Joshi, Mark S.
5
Oosterlee, Cornelis W.
5
Račev, Svetlozar T.
5
Schoutens, Wim
5
Shen, Yang
5
Yang, Hailiang
5
Ziveyi, Jonathan
5
Avellaneda, Marco
4
Brigo, Damiano
4
Chiarella, Carl
4
Ekström, Erik
4
Feng, Runhuan
4
Hess, Markus
4
Hui, Cho H.
4
Liu, Rui Hua
4
Lo, C. F.
4
Macrina, Andrea
4
Melʹnikov, Aleksandr V.
4
Schmidt, Thorsten
4
Taylor, Stephen
4
Wang, Yongjin
4
Wu, Lixin
4
Yamazaki, Kazutoshi
4
Arai, Takuji
3
Bernard, Carole
3
Bo, Lijun
3
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Digital finance : smart data analytics, investment innovation, and financial technology
Insurance / Mathematics & economics
International journal of theoretical and applied finance
The journal of derivatives : JOD
Mathematical finance : an international journal of mathematics, statistics and financial theory
15
Applied mathematical finance
9
The journal of computational finance
8
Annals of finance
7
Finance and stochastics
7
Finance research letters
4
Journal of financial economics
4
The journal of finance : the journal of the American Finance Association
4
European finance review : the official journal of the European Finance Association
3
Quantitative finance
3
Review of derivatives research
3
The European journal of finance
3
The journal of futures markets
3
Asia-Pacific financial markets
2
Computational economics
2
International journal of financial engineering
2
Journal of banking & finance
2
Journal of economic dynamics & control
2
Journal of financial and quantitative analysis : JFQA
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Journal of risk
2
Journal of risk and financial management : JRFM
2
The journal of business : B
2
The journal of fixed income
2
Effiziente Regeln für Telekommunikationsmärkte in der Zukunft : Kartellrecht, Netzneutralität und Preis-Kosten-Scheren
1
European journal of operational research : EJOR
1
Financial markets and portfolio management
1
Financial markets, institutions & instruments
1
Geld, Finanzwirtschaft, Banken und Versicherungen : 1996 ; Beiträge zum 7. Symposium Geld, Finanzwirtschaft, Banken und Versicherungen an der Universität Karlsruhe vom 11.- 13. Dezember 1996
1
International Journal of Portfolio Analysis and Management
1
International economic review
1
International journal of industrial organization
1
International journal of theoretical and applied finance : IJTAF
1
Journal of financial engineering
1
Journal of industry, competition and trade
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ECONIS (ZBW)
23
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1
Analytical valuation of compound options under regime-switching dynamics
Breton, Michèle
;
Ndoye, Mbaye
- In:
The journal of derivatives : JOD
29
(
2021
)
2
,
pp. 120-148
Persistent link: https://www.econbiz.de/10012698128
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
Option
pricing
using a regime switching stochastic discount factor
Elliott, Robert J.
;
Hamada, Ahmed S.
- In:
International journal of theoretical and applied finance
17
(
2014
)
3
,
pp. 1-26
Persistent link: https://www.econbiz.de/10010364754
Saved in:
4
American option
pricing
and filtering with a hidden regime-switching jump diffusion
Siu, Tak Kuen
;
Elliott, Robert J.
- In:
The journal of derivatives : JOD
29
(
2022
)
3
,
pp. 106-123
Persistent link: https://www.econbiz.de/10013174827
Saved in:
5
Semi-analytical
pricing
of barrier options in the time-dependent Heston model
Carr, Peter
;
Itkin, Andrey
;
Muravey, Dmitry
- In:
The journal of derivatives : JOD
30
(
2022
)
2
,
pp. 141-171
Persistent link: https://www.econbiz.de/10014231115
Saved in:
6
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:
7
Semi-analytical solutions for barrier and American options written on a time-dependent Ornstein-Uhlenbeck process
Carr, Peter
;
Itkin, Andrey
- In:
The journal of derivatives : JOD
29
(
2021
)
1
,
pp. 9-26
Persistent link: https://www.econbiz.de/10012612941
Saved in:
8
Pricing
and hedging options on assets with options on related assets
Madan, Dilip B.
;
Wang, King
- In:
The journal of derivatives : JOD
29
(
2021
)
1
,
pp. 27-47
Persistent link: https://www.econbiz.de/10012612942
Saved in:
9
A comparison of
pricing
kernels for GARCH option
pricing
with generalized hyperbolic distributions
Badescu, Alexandru
;
Elliott, Robert J.
;
Kulperger, Reg
; …
- In:
International journal of theoretical and applied finance
14
(
2011
)
5
,
pp. 669-708
Persistent link: https://www.econbiz.de/10009298478
Saved in:
10
Attainable contingent claims in a Markovian regime-switching market
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
International journal of theoretical and applied finance
15
(
2012
)
8
,
pp. 1-19
Persistent link: https://www.econbiz.de/10009706331
Saved in:
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