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~isPartOf:"International journal of financial engineering"
~isPartOf:"Mathematics and financial economics"
~subject:"Markov chain"
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Search: subject_exact:"Optionspreistheorie"
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Markov chain
Option pricing theory
160
Optionspreistheorie
160
Stochastic process
71
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71
Volatility
61
Volatilität
61
Option trading
40
Optionsgeschäft
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Derivat
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Derivative
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Black-Scholes model
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Black-Scholes-Modell
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Portfolio selection
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Portfolio-Management
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Yield curve
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Zinsstruktur
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CAPM
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Hedging
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Option pricing
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Statistical distribution
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Statistische Verteilung
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Credit risk
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Interest rate derivative
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Kreditrisiko
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Zinsderivat
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option pricing
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Experiment
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Incomplete market
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Martingal
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Martingale
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Monte Carlo simulation
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Monte-Carlo-Simulation
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Risiko
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Unvollkommener Markt
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Chan, Leunglung
2
Giribone, Pier Giuseppe
1
Hayfavi, Azize
1
Ligato, Simone
1
Liu, David
1
Mehrdoust, Farshid
1
Nguyen, Duy
1
Noorani, Idin
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Omay, Tolga
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Türkvatan, Aysun
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International journal of financial engineering
Mathematics and financial economics
International journal of theoretical and applied finance
27
Quantitative finance
12
European journal of operational research : EJOR
11
Finance research letters
9
Insurance / Mathematics & economics
9
Finance and stochastics
8
Mathematical finance : an international journal of mathematics, statistics and financial theory
8
Annals of finance
7
Computational economics
7
Asia-Pacific financial markets
6
Energy economics
6
The journal of computational finance
6
Applied mathematical finance
5
Journal of economic dynamics & control
5
Review of derivatives research
5
Review of quantitative finance and accounting
5
The journal of derivatives : the official publication of the International Association of Financial Engineers
5
The journal of futures markets
5
International journal of theoretical and applied finance : IJTAF
4
Journal of econometrics
4
Stevens Institute of Technology School of Business Research Paper
4
The European journal of finance
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The North American journal of economics and finance : a journal of financial economics studies
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Journal of banking & finance
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Journal of financial and quantitative analysis : JFQA
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Journal of mathematical finance
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Operations research
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
3
Working paper / Department of Economics, Queen Mary
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Central European journal of economic modelling and econometrics
2
Cogent economics & finance
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Economic modelling
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International review of economics & finance : IREF
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International review of financial analysis
2
Journal of empirical finance
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Journal of risk and financial management : JRFM
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North American actuarial journal
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ECONIS (ZBW)
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1
A regime switching model for temperature modeling and applications to weather derivatives pricing
Türkvatan, Aysun
;
Hayfavi, Azize
;
Omay, Tolga
- In:
Mathematics and financial economics
14
(
2020
)
1
,
pp. 1-42
Persistent link: https://www.econbiz.de/10012239952
Saved in:
2
Pricing S&P500 barrier put option of American type under Heston-CIR model with regime-switching
Mehrdoust, Farshid
;
Noorani, Idin
- In:
International journal of financial engineering
6
(
2019
)
2
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012167493
Saved in:
3
Markov modulated jump-diffusions for currency options when regime switching risk is priced
Liu, David
- In:
International journal of financial engineering
6
(
2019
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10012314539
Saved in:
4
A hybrid Markov chain-tree valuation framework for stochastic volatility jump diffusion models
Nguyen, Duy
- In:
International journal of financial engineering
5
(
2018
)
4
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012028829
Saved in:
5
Flexible-forward pricing through Leisen-Reimer trees : implementation and performance comparison with traditional Markov chains
Giribone, Pier Giuseppe
;
Ligato, Simone
- In:
International journal of financial engineering
3
(
2016
)
2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011577108
Saved in:
6
Pricing volatility swaps in the Heston's stochastic volatility model with regime switching : a saddlepoint approximation method
Zhang, Mengzhe
;
Chan, Leunglung
- In:
International journal of financial engineering
3
(
2016
)
4
,
pp. 1-20
Persistent link: https://www.econbiz.de/10011673092
Saved in:
7
An explicit analytic formula for pricing barrier options with regime switching
Chan, Leunglung
;
Zhu, Song-Ping
- In:
Mathematics and financial economics
9
(
2015
)
1
,
pp. 29-37
Persistent link: https://www.econbiz.de/10010500699
Saved in:
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