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~person:"Cui, Zhenyu"
~person:"Malliaris, Anastasios G."
~person:"Siu, Tak Kuen"
~person:"Thomas, Oliver"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Sammelwerk"
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Option pricing theory
63
Optionspreistheorie
63
Stochastic process
33
Stochastischer Prozess
33
Markov chain
29
Markov-Kette
29
Volatility
29
Volatilität
29
Option trading
22
Optionsgeschäft
22
Derivat
16
Derivative
16
Theorie
14
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14
CAPM
11
Regime-switching
8
Bundling strategy
7
Hedging
7
Leistungsbündel
7
Martingal
7
Martingale
7
Option pricing
7
ARCH model
6
ARCH-Modell
6
Esscher transform
6
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77
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Aufsatz in Zeitschrift
Sammelwerk
Article in journal
77
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16
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16
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80
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4
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Cui, Zhenyu
Malliaris, Anastasios G.
Siu, Tak Kuen
Thomas, Oliver
Madan, Dilip B.
77
Zaremba, Adam
67
Fabozzi, Frank J.
65
Jarrow, Robert A.
60
Carr, Peter
56
Elliott, Robert J.
50
Chen, Jing
48
Faff, Robert W.
38
Lee, Cheng F.
38
Kwok, Yue-Kuen
37
Richards, Timothy J.
37
Verhoef, Erik T.
36
Hinterhuber, Andreas
35
Knieps, Günter
35
Cakici, Nusret
34
Palma, André de
34
Schoutens, Wim
33
Takahashi, Akihiko
33
Gebauer, Heiko
32
Wang, Xingchun
32
Chiarella, Carl
31
Peitz, Martin
31
Zhang, Jin E.
31
Proost, Stef
30
Zaccour, Georges
30
Benth, Fred Espen
29
Skiera, Bernd
29
Taleizadeh, Ata Allah
29
Cheng, T. C. E.
28
Kowalkowski, Christian
28
Liozu, Stephan
28
Račev, Svetlozar T.
28
Valletti, Tommaso M.
28
Hens, Thorsten
27
Hung, Mao-Wei
27
Kohtamäki, Marko
27
Rubio, Gonzalo
27
Satchell, Stephen
27
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Fachtagung Modellierung <2010, Klagenfurt>
1
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International journal of theoretical and applied finance
8
Insurance / Mathematics & economics
7
European journal of operational research : EJOR
6
Applied mathematical finance
5
Annals of finance
4
Computational economics
4
Economic modelling
4
The journal of derivatives : JOD
4
The journal of futures markets
4
International journal of financial engineering
3
Journal of economic dynamics & control
3
Quantitative finance
3
The international library of critical writings in financial economics
3
Asia-Pacific financial markets
2
Finance research letters
2
Journal of banking & finance
2
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2
American journal of agricultural economics
1
Annals of operations research
1
Energy economics
1
IMA journal of management mathematics
1
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1
International journal of product development : IJPD
1
International journal of product lifecycle management : IJPLM
1
International journal of production economics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Mathematical methods of operations research : ZOR
1
Mathematics and financial economics
1
North American actuarial journal
1
Operations research letters
1
The European journal of finance
1
The journal of computational finance
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ECONIS (ZBW)
84
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84
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1
Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 925-950
Persistent link: https://www.econbiz.de/10014293270
Saved in:
2
Sequential Itô-Taylor expansions and characteristic functions of stochastic volatility models
Ding, Kailin
;
Cui, Zhenyu
;
Liu, Yanchu
- In:
The journal of futures markets
43
(
2023
)
12
,
pp. 1750-1769
Persistent link: https://www.econbiz.de/10014433005
Saved in:
3
CTMC integral equation method for American options under stochastic local volatility models
Ma, Jingtang
;
Yang, Wensheng
;
Cui, Zhenyu
- In:
Journal of economic dynamics & control
128
(
2021
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012628259
Saved in:
4
Two price economic equilibria and financial market bid/ask prices
Elliott, Robert J.
;
Madan, Dilip B.
;
Siu, Tak Kuen
- In:
Annals of finance
17
(
2021
)
1
,
pp. 27-43
Persistent link: https://www.econbiz.de/10012489935
Saved in:
5
A generalized Esscher transform for option valuation with regime switching risk
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 691-705
Persistent link: https://www.econbiz.de/10013367853
Saved in:
6
Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
290
(
2021
)
3
,
pp. 1046-1062
Persistent link: https://www.econbiz.de/10012495249
Saved in:
7
Analysis of Markov chain approximation for Asian options and occupation-time derivatives : Greeks and convergence rates
Yang, Wensheng
;
Ma, Jingtang
;
Cui, Zhenyu
- In:
Mathematical methods of operations research : ZOR
93
(
2021
)
2
,
pp. 359-412
Persistent link: https://www.econbiz.de/10012548535
Saved in:
8
Sinh-acceleration for B-spline projection with option
pricing
applications
Bojarčenko, Svetlana I.
;
Levendorskij, Sergej Z.
; …
- In:
International journal of theoretical and applied finance
24
(
2021
)
8
,
pp. 1-50
Persistent link: https://www.econbiz.de/10012887408
Saved in:
9
A Markov chain approximation scheme for option
pricing
under skew diffusions
Ding, Kailin
;
Cui, Zhenyu
;
Wang, Yongjin
- In:
Quantitative finance
21
(
2021
)
3
,
pp. 461-480
Persistent link: https://www.econbiz.de/10012483834
Saved in:
10
Bitcoin option
pricing
with a SETAR-GARCH model
Siu, Tak Kuen
;
Elliott, Robert J.
- In:
The European journal of finance
27
(
2021
)
6
,
pp. 564-595
Persistent link: https://www.econbiz.de/10012484403
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