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~subject:"Derivative"
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Search: subject:"Jump diffusion model"
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Derivative
Optionspreistheorie
47
Option pricing theory
46
Stochastic process
45
Stochastischer Prozess
45
Volatility
33
Volatilität
33
jump-diffusion model
26
Jump-diffusion model
19
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13
Jump diffusion model
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Option trading
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jump diffusion model
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Share price
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Capital income
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Kapitaleinkommen
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Statistische Verteilung
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Statistical distribution
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Black-Scholes model
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Black-Scholes-Modell
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Derivat
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Markov chain
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Markov-Kette
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Muroi, Yoshifumi
2
Suda, Shintaro
2
Bhuruth, Muddun
1
Chen, Son-nan
1
Coonjobeharry, Radha Krishn
1
Kwok, Yue-Kuen
1
Kyriakou, Ioannis
1
Li, Chang-Yi
1
Lin, Shih-kuei
1
Ma, Changfu
1
Nomikos, Nikos K.
1
Papapostolou, Nikos C.
1
Pouliasis, Panos K.
1
Saeki, Ryota
1
Tangman, Désiré Yannick
1
Xiao, Weilin
1
Xu, Wei
1
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1
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International journal of financial engineering
2
Applied economics letters
1
Journal of economic dynamics & control
1
The European journal of finance
1
The journal of computational finance
1
Transportation research / E : an international journal
1
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ECONIS (ZBW)
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1
Binomial tree method for option pricing : discrete Carr and Madan formula approach
Muroi, Yoshifumi
;
Saeki, Ryota
;
Suda, Shintaro
- In:
International journal of financial engineering
8
(
2021
)
2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012662360
Saved in:
2
Willow tree algorithms for pricing VIX derivatives under stochastic volatility models
Ma, Changfu
;
Xu, Wei
;
Kwok, Yue-Kuen
- In:
International journal of financial engineering
7
(
2020
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012602678
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
Computation of Greeks using binomial trees in a
jump-diffusion
model
Suda, Shintaro
;
Muroi, Yoshifumi
- In:
Journal of economic dynamics & control
51
(
2015
),
pp. 93-110
Persistent link: https://www.econbiz.de/10011474273
Saved in:
5
Pricing black-scholes options with correlated credit risk and jump risk
Xu, Weidong
;
Xu, Weijun
;
Xiao, Weilin
- In:
Applied economics letters
22
(
2015
)
1/3
,
pp. 87-93
Persistent link: https://www.econbiz.de/10010482058
Saved in:
6
A novel partial integrodifferential equation-based framework for pricing interest rate derivatives under jump-extended short-rate models
Coonjobeharry, Radha Krishn
;
Tangman, Désiré Yannick
; …
- In:
The journal of computational finance
18
(
2014/2015
)
4
,
pp. 129-161
Persistent link: https://www.econbiz.de/10011441273
Saved in:
7
Freight options : price modelling and empirical analysis
Nomikos, Nikos K.
;
Kyriakou, Ioannis
;
Papapostolou, Nikos C.
- In:
Transportation research / E : an international journal
51
(
2013
),
pp. 82-94
Persistent link: https://www.econbiz.de/10009734013
Saved in:
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