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Lévy processes
Asian options
69
Option pricing theory
51
Optionspreistheorie
51
Option trading
49
Optionsgeschäft
49
Stochastic process
23
Stochastischer Prozess
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Hedging
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Malliavin calculus
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American options
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Barrier options
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Fourier transform
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Option Pricing
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option pricing
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Jump diffusion
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arithmetic Asian options
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stochastic volatility
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Kyriakou, Ioannis
2
Arai, Takuji
1
Ballotta, Laura
1
Brignone, Riccardo
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Fusai, Gianluca
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Suzuki, Ryoichi
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International journal of financial engineering
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ECONIS (ZBW)
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Moments of integrated exponential Lévy processes and applications to
Asian
options
pricing
Brignone, Riccardo
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1717-1729
Persistent link: https://www.econbiz.de/10013367942
Saved in:
2
Hedging of
Asian
options
under exponential Lévy models : computation and performance
Ballotta, Laura
;
Gerrard, Russell
;
Kyriakou, Ioannis
- In:
The European journal of finance
23
(
2017
)
4/6
,
pp. 297-323
Persistent link: https://www.econbiz.de/10011736257
Saved in:
3
General optimized lower and upper bounds for discrete and continuous arithmetic
Asian
options
Fusai, Gianluca
;
Kyriakou, Ioannis
- In:
Mathematics of operations research
41
(
2016
)
2
,
pp. 531-559
Persistent link: https://www.econbiz.de/10011520483
Saved in:
4
Local risk-minimization for Lévy markets
Arai, Takuji
;
Suzuki, Ryoichi
- In:
International journal of financial engineering
2
(
2015
)
2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011333451
Saved in:
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