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~person:"Schwartz, Eduardo S."
~person:"Wong, Hoi Ying"
~subject:"Option pricing theory"
~type:"article"
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Option pricing theory
Optionspreistheorie
42
Theorie
18
Theory
18
Stochastic process
13
Stochastischer Prozess
13
Volatility
12
Volatilität
12
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6
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Schwartz, Eduardo S.
Wong, Hoi Ying
Fabozzi, Frank J.
52
Madan, Dilip B.
51
Carr, Peter
46
Elliott, Robert J.
39
Kwok, Yue-Kuen
34
Cui, Zhenyu
32
Takahashi, Akihiko
32
Wang, Xingchun
32
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30
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27
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26
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26
Zhang, Jin E.
26
Račev, Svetlozar T.
24
Kim, Young Shin
23
Lee, Cheng F.
23
Stentoft, Lars
22
Escobar, Marcos
21
Wu, Liuren
21
Levendorskij, Sergej Z.
20
Chiarella, Carl
19
Glasserman, Paul
19
Joshi, Mark S.
19
Zanette, Antonino
19
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18
Fusai, Gianluca
18
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17
He, Xin-Jiang
17
Härdle, Wolfgang
17
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17
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16
Lin, Shih-kuei
16
Ryu, Doojin
16
Zhu, Song-Ping
16
Brigo, Damiano
15
Christoffersen, Peter F.
15
Chung, San-lin
15
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15
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European journal of operational research : EJOR
3
Quantitative finance
3
The journal of futures markets
3
Insurance / Mathematics & economics
2
Journal of banking & finance
2
Journal of energy finance & development
2
Journal of financial and quantitative analysis : JFQA
2
Operations research letters
2
Review of derivatives research
2
The journal of finance : the journal of the American Finance Association
2
The review of financial studies
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1
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1
European financial management : the journal of the European Financial Management Association
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Latin American journal of economics : LAJE
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
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1
Real estate economics : journal of the American Real Estate and Urban Economics Association
1
Real options and investment under uncertainty : classical readings and recent contributions
1
Recent advances in financial engineering : proceedings of the 2008 Daiwa International Workshop on Financial Engineering
1
The Canadian journal of economics
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1
Variance reduction for risk measures with importance sampling in nested simulation
Xing, Yue
;
Sit, Tony
;
Wong, Hoi Ying
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 657-673
Persistent link: https://www.econbiz.de/10013367849
Saved in:
2
Robust control in a rough environment
Han, Bingyan
;
Wong, Hoi Ying
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 481-500
Persistent link: https://www.econbiz.de/10013167772
Saved in:
3
Merton's portfolio problem under Volterra Heston model
Han, Bingyan
;
Wong, Hoi Ying
- In:
Finance research letters
39
(
2021
),
pp. 1-12
Persistent link: https://www.econbiz.de/10012805194
Saved in:
4
Simulation-based Value-at-Risk for nonlinear portfolios
Chen, Junyao
;
Sit, Tony
;
Wong, Hoi Ying
- In:
Quantitative finance
19
(
2019
)
10
,
pp. 1639-1658
Persistent link: https://www.econbiz.de/10012194812
Saved in:
5
Option pricing with threshold mean reversion
Chi, Zeyu
;
Dong, Fangyuan
;
Wong, Hoi Ying
- In:
The journal of futures markets
37
(
2017
)
2
,
pp. 107-131
Persistent link: https://www.econbiz.de/10011669768
Saved in:
6
Variance swap with mean reversion, multifactor stochastic volatility and jumps
Pun, Chi Seng
;
Chung, Shing Fung
;
Wong, Hoi Ying
- In:
European journal of operational research : EJOR
245
(
2015
)
2
,
pp. 571-580
Persistent link: https://www.econbiz.de/10011308968
Saved in:
7
Commodity derivatives pricing with cointegration and stochastic covariances
Chiu, Mei Choi
;
Wong, Hoi Ying
;
Zhao, Jing
- In:
European journal of operational research : EJOR
246
(
2015
)
2
,
pp. 476-486
Persistent link: https://www.econbiz.de/10011338124
Saved in:
8
Robust investment-reinsurance optimization with multiscale stochastic volatility
Pun, Chi Seng
;
Wong, Hoi Ying
- In:
Insurance / Mathematics & economics
62
(
2015
),
pp. 245-256
Persistent link: https://www.econbiz.de/10011312060
Saved in:
9
Cash flow multipliers and optimal investment decisions
Kraft, Holger
;
Schwartz, Eduardo S.
- In:
European financial management : the journal of the …
21
(
2015
)
3
,
pp. 399-429
Persistent link: https://www.econbiz.de/10011317999
Saved in:
10
Trading activity in the equity market and its contingent claims : an empirical investigation
Roll, Richard
;
Schwartz, Eduardo S.
;
Subrahmanyam, Avanidhar
- In:
Journal of empirical finance
28
(
2014
),
pp. 13-35
Persistent link: https://www.econbiz.de/10011284514
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