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~isPartOf:"Economic modelling"
~isPartOf:"International journal of production economics"
~isPartOf:"Journal of economic dynamics & control"
~language:"eng"
~person:"Cai, Ning"
~subject:"Stochastischer Prozess"
~type_genre:"Article in journal"
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Stochastischer Prozess
Option pricing theory
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CEV model
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Discretely monitored barrier options
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Hilbert transforms
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Malliavin calculus based expansions
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Cai, Ning
Li, Kai
5
Branger, Nicole
4
Gharbi, Ali
4
Govindan, Kannan
4
Marufuzzaman, Mohammad
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Yoon, Gawon
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Economic modelling
International journal of production economics
Journal of economic dynamics & control
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ECONIS (ZBW)
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Pricing discretely monitored barrier options : When Malliavin calculus expansions meet Hilbert transforms
Cai, Ning
;
Li, Chenxu
;
Shi, Chao
- In:
Journal of economic dynamics & control
127
(
2021
),
pp. 1-41
Persistent link: https://www.econbiz.de/10012668507
Saved in:
2
Valuation of stock loans with jump risk
Cai, Ning
;
Sun, Lihua
- In:
Journal of economic dynamics & control
40
(
2014
),
pp. 213-241
Persistent link: https://www.econbiz.de/10010424378
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