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~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~person:"Zhang, Yuanyuan"
~person:"Zhuang, Xintian"
~subject:"Business cycle"
~subject:"Stochastic volatility"
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Business cycle
Stochastic volatility
Option pricing theory
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Stochastischer Prozess
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Volatility
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Volatilität
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Affine model
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Closed-form solution
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Financial risk measurement
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Fix-income variance swaps
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Jumps
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Portfolio reversion
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Zhang, Yuanyuan
Zhuang, Xintian
Li, Shaoyu
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Bian, Zhicun
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Będowska-Sójka, Barbara
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Chang, Chia-Chang
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Chen, Naiwei
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Lin, Chung-Gee
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Perez Rodriguez, Gabriel
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The North American journal of economics and finance : a journal of financial economics studies
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A closed-form exact solution for pricing fixed-income variance swaps with affine-jump model
Li, Shaoyu
;
Zhang, Yuanyuan
;
Zhu, Chunhui
- In:
The North American journal of economics and finance : a …
58
(
2021
),
pp. 1-19
Persistent link: https://www.econbiz.de/10013188207
Saved in:
2
Measuring financial risk and portfolio reversion with time changed tempered stable Lévy processes
Gong, Xiaoli
;
Zhuang, Xintian
- In:
The North American journal of economics and finance : a …
40
(
2017
),
pp. 148-159
Persistent link: https://www.econbiz.de/10011878807
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