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~isPartOf:"Finance and stochastics"
~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~person:"Li, Lingfei"
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Option pricing theory
3
Optionspreistheorie
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Additive subordination
1
Barrier options
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Bochner's subordination
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Diffusions
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Eigenfunction expansions
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First passage times
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Grid design
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Markov chain
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Option trading
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Optionsgeschäft
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Parisian ruin probability
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Parisian stopping time
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Li, Lingfei
Carr, Peter
8
Chen, Son-nan
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Hobson, David G.
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Wu, Ting-pin
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Kabanov, Jurij M.
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White, Alan
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Filipović, Damir
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Benth, Fred Espen
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Björk, Tomas
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Tian, Yisong Sam
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Lyuu, Yuh-dauh
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Mijatovi´c, Aleksandar
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Newton, David P.
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Finance and stochastics
The journal of derivatives : the official publication of the International Association of Financial Engineers
Quantitative finance
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Journal of economic dynamics & control
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European journal of operational research : EJOR
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International journal of financial engineering
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Journal of Economic Dynamics and Control
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Mathematical Finance, Forthcoming
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Mathematical finance : an international journal of mathematics, statistics and financial economics
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Operations research letters
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Review of derivatives research
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The journal of credit risk : published quarterly by Incisive Media
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A general approach for Parisian stopping times under Markov processes
Zhang, Gongqiu
;
Li, Lingfei
- In:
Finance and stochastics
27
(
2023
)
3
,
pp. 769-829
Persistent link: https://www.econbiz.de/10014328990
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2
Discretely monitored first passage problems and barrier options : an eigenfunction expansion approach
Li, Lingfei
;
Linetsky, Vadim
- In:
Finance and stochastics
19
(
2015
)
4
,
pp. 941-977
Persistent link: https://www.econbiz.de/10011421097
Saved in:
3
Additive subordination and its applications in finance
Li, Jing
;
Li, Lingfei
;
Mendoza-Arriaga, Rafael
- In:
Finance and stochastics
20
(
2016
)
3
,
pp. 589-634
Persistent link: https://www.econbiz.de/10011531020
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