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~subject:"Derivat"
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Search: subject:"Esscher Transform"
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Derivat
Esscher transform
83
Option pricing theory
53
Optionspreistheorie
53
Stochastic process
35
Stochastischer Prozess
35
Volatility
22
Volatilität
22
Markov chain
19
Markov-Kette
16
Option pricing
14
Option trading
13
Optionsgeschäft
13
Derivative
10
Hedging
9
Lévy process
9
Theorie
9
Theory
9
ARCH model
8
ARCH-Modell
8
CAPM
7
Currency derivative
6
Esscher Transform
6
Estimation theory
6
Schätztheorie
6
Währungsderivat
6
Black-Scholes model
5
Comonotonicity
5
Exchange rate
5
Reflection principle
5
Risk measures
5
Statistical distribution
5
Statistische Verteilung
5
Wechselkurs
5
option pricing
5
Additivity
4
Barrier option
4
Black-Scholes-Modell
4
Brownian motion
4
Conditional Esscher transform
4
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10
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Chen, Jun-Home
2
Elliott, Robert J.
2
Lian, Yu-Min
2
Liao, Szu-Lang
2
Sviščuk, Anatolij
2
Tertychnyi, Maksym
2
Abdessalem, Mehdi Bekralas
1
Badescu, Alexandru
1
Chen, Son-nan
1
Fabozzi, Frank J.
1
Gracianti, Giovani
1
Hoang, Winsor
1
Kim, Young Shin
1
Kulperger, Reg
1
Li, Chang-Yi
1
Li, Johnny Siu-Hang
1
Lin, Shih-kuei
1
Lin, Zuodong
1
López Cabrera, Brenda
1
Miettinen, Jarkko
1
Odening, Martin
1
Ohnishi, Masamitsu
1
Račev, Svetlozar T.
1
Ritter, Matthias
1
Rui, Zhou
1
Siu, Tak Kuen
1
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Journal of mathematical finance
2
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
1
Insurance / Mathematics & economics
1
International journal of theoretical and applied finance
1
International review of economics & finance : IREF
1
Journal of banking & finance
1
Review of derivatives research
1
The European journal of finance
1
The North American journal of economics and finance : a journal of financial economics studies
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ECONIS (ZBW)
10
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1
An assessment of model risk in pricing wind derivatives
Gracianti, Giovani
;
Rui, Zhou
;
Li, Johnny Siu-Hang
;
Wu, …
- In:
Annals of actuarial science : publ. by the Institute of …
17
(
2023
)
3
,
pp. 479-502
Persistent link: https://www.econbiz.de/10014436785
Saved in:
2
Pricing derivatives on foreign assets using Markov-modulated cojump-diffusion dynamics
Lian, Yu-Min
;
Chen, Jun-Home
;
Liao, Szu-Lang
- In:
International review of economics & finance : IREF
93
(
2024
)
2
,
pp. 503-519
Persistent link: https://www.econbiz.de/10014535585
Saved in:
3
Pricing derivatives with modeling CO2 emission allowance using a regime-switching jump diffusion model : with regime-switching risk premium
Li, Chang-Yi
;
Chen, Son-nan
;
Lin, Shih-kuei
- In:
The European journal of finance
22
(
2016
)
10/12
,
pp. 887-908
Persistent link: https://www.econbiz.de/10011715220
Saved in:
4
State-dependent jump risks for American gold futures option pricing
Lian, Yu-Min
;
Liao, Szu-Lang
;
Chen, Jun-Home
- In:
The North American journal of economics and finance : a …
33
(
2015
),
pp. 115-133
Persistent link: https://www.econbiz.de/10011534881
Saved in:
5
Currency derivatives pricing for Markov-modulated Merton jump-diffusion spot forex rate
Sviščuk, Anatolij
;
Tertychnyi, Maksym
;
Hoang, Winsor
- In:
Journal of mathematical finance
4
(
2014
)
4
,
pp. 265-278
Persistent link: https://www.econbiz.de/10011312416
Saved in:
6
Pricing currency derivatives with Markov-modulated Lévy dynamics
Sviščuk, Anatolij
;
Tertychnyi, Maksym
;
Elliott, Robert J.
- In:
Insurance / Mathematics & economics
57
(
2014
),
pp. 67-76
Persistent link: https://www.econbiz.de/10010402730
Saved in:
7
Catastrophe risk derivatives : a new approach
Abdessalem, Mehdi Bekralas
;
Ohnishi, Masamitsu
- In:
Journal of mathematical finance
4
(
2014
)
1
,
pp. 21-34
Persistent link: https://www.econbiz.de/10010422906
Saved in:
8
Pricing rainfall futures at the CME
López Cabrera, Brenda
;
Odening, Martin
;
Ritter, Matthias
- In:
Journal of banking & finance
37
(
2013
)
11
,
pp. 4286-4298
Persistent link: https://www.econbiz.de/10010245538
Saved in:
9
Option pricing and hedging under a stochastic volatility Lévy process model
Kim, Young Shin
;
Fabozzi, Frank J.
;
Lin, Zuodong
; …
- In:
Review of derivatives research
15
(
2012
)
1
,
pp. 81-97
Persistent link: https://www.econbiz.de/10009627431
Saved in:
10
A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions
Badescu, Alexandru
;
Elliott, Robert J.
;
Kulperger, Reg
; …
- In:
International journal of theoretical and applied finance
14
(
2011
)
5
,
pp. 669-708
Persistent link: https://www.econbiz.de/10009298478
Saved in:
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