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~isPartOf:"International journal of financial engineering"
~subject:"CAPM"
~subject:"Markov chain"
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Search: subject_exact:"Optionspreistheorie"
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CAPM
Markov chain
Option pricing theory
116
Optionspreistheorie
116
Stochastic process
55
Stochastischer Prozess
55
Volatility
47
Volatilität
47
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32
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32
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24
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20
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14
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option pricing
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Giribone, Pier Giuseppe
3
Ligato, Simone
2
Ahlip, Rehez
1
Bottasso, Anna
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Chan, Leunglung
1
Dang-Nguyen, S.
1
De Spiegeleer, Jan
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1
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1
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1
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1
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1
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1
Schoutens, Wim
1
Shiraya, Kenichiro
1
Takahashi, Akihiko
1
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1
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International journal of financial engineering
International journal of theoretical and applied finance
53
Mathematical finance : an international journal of mathematics, statistics and financial theory
27
Finance and stochastics
26
Quantitative finance
26
Applied mathematical finance
19
Journal of mathematical finance
19
Finance research letters
18
Journal of economic dynamics & control
18
Annals of finance
16
European journal of operational research : EJOR
16
Journal of banking & finance
15
Insurance / Mathematics & economics
14
The European journal of finance
14
NBER working paper series
13
Review of derivatives research
13
Review of quantitative finance and accounting
12
The journal of derivatives : the official publication of the International Association of Financial Engineers
12
The journal of finance : the journal of the American Finance Association
12
Computational economics
11
Journal of financial economics
11
Research paper series / Swiss Finance Institute
11
The journal of futures markets
11
Asia-Pacific financial markets
10
The journal of computational finance
10
Working paper / National Bureau of Economic Research, Inc.
10
Mathematics and financial economics
9
Risks : open access journal
9
Journal of econometrics
8
Journal of risk and financial management : JRFM
8
Energy economics
7
Journal of financial and quantitative analysis : JFQA
7
NBER Working Paper
7
Discussion paper / B
6
International journal of theoretical and applied finance : IJTAF
6
Journal of empirical finance
6
Management science : journal of the Institute for Operations Research and the Management Sciences
6
SFB 649 discussion paper
6
Staff working paper / Bank of Canada
6
The North American journal of economics and finance : a journal of financial economics studies
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ECONIS (ZBW)
15
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1
Investment certificates pricing using a Quasi-Monte Carlo framework : case-studies based on the Italian market
Bottasso, Anna
;
Fusaro, Michelangelo
;
Giribone, Pier …
- In:
International journal of financial engineering
10
(
2023
)
3
,
pp. 1-39
Persistent link: https://www.econbiz.de/10014444661
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
The semi-martingale equilibrium equity premium for risk-neutral investors
Mukupa, George M.
;
Offen, Elias R.
- In:
International journal of financial engineering
5
(
2018
)
4
,
pp. 1-15
Persistent link: https://www.econbiz.de/10012028816
Saved in:
5
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:
6
The impact of skew on the pricing of CoCo bonds
De Spiegeleer, Jan
;
Forys, Monika B.
;
Marquet, Ine
; …
- In:
International journal of financial engineering
4
(
2017
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10011673124
Saved in:
7
Pricing currency options in the Heston/CIR double exponential jump-diffusion model
Ahlip, Rehez
;
Park, Laurence A. F.
;
Prodan, Ante
- In:
International journal of financial engineering
4
(
2017
)
1
,
pp. 1-30
Persistent link: https://www.econbiz.de/10011673127
Saved in:
8
The effects of negative interest rates on the estimation of option sensitivities : the impact of switching from a log-normal to a normal model
Giribone, Pier Giuseppe
;
Ligato, Simone
;
Mulas, Martina
- In:
International journal of financial engineering
4
(
2017
)
1
,
pp. 1-42
Persistent link: https://www.econbiz.de/10011673134
Saved in:
9
Asset pricing under general collateralization
Mi, Yanhui
- In:
International journal of financial engineering
4
(
2017
)
2/3
,
pp. 1-23
Persistent link: https://www.econbiz.de/10011777842
Saved in:
10
Price impacts of imperfect collateralization
Shiraya, Kenichiro
;
Takahashi, Akihiko
- In:
International journal of financial engineering
3
(
2016
)
1
,
pp. 1-31
Persistent link: https://www.econbiz.de/10011532751
Saved in:
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