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~subject:"Option pricing theory"
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Option pricing theory
Optionspreistheorie
5
Credit risk
4
Derivat
4
Derivative
4
Kreditrisiko
4
Option trading
4
Optionsgeschäft
4
Stochastic process
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Stochastischer Prozess
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Theorie
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Theory
3
Credit default swap
2
Default risk
2
Insolvency
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Insolvenz
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Markov modulated processes
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Portfolio selection
2
Portfolio-Management
2
Risikoprämie
2
Risk premium
2
Swap
2
counterparty risk
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ARCH model
1
ARCH-Modell
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Barrier strategy
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Basket-spread options
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Credit derivative
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Deficit
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Dividend
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Dividende
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Double exponential distribution
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Expected discounted dividend
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Financial services
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Finanzdienstleistung
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GARCH
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Hawkes process
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Integro-differential operator
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Jump-diffusion
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Kreditderivat
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Tang, Dan
4
Bo, Lijun
2
Wang, Xingchun
2
Wang, Yongjin
2
Dong, Ziming
1
Li, Zelei
1
Song, Renming
1
Song, Shiyu
1
Tang, DanLing
1
Xu, Guangli
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Yang, Xuewei
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Yin, Xunbai
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Insurance / Mathematics & economics
1
International review of economics & finance : IREF
1
Journal of economic dynamics & control
1
Review of derivatives research
1
The European journal of finance
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ECONIS (ZBW)
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1
An analytical GARCH valuation model for spread options with default risk
Song, Shiyu
;
Tang, Dan
;
Xu, Guangli
;
Yin, Xunbai
- In:
International review of economics & finance : IREF
83
(
2023
),
pp. 1-20
Persistent link: https://www.econbiz.de/10014239894
Saved in:
2
Valuing basket-spread options with default risk under Hawkes jump-diffusion processes
Li, Zelei
;
Tang, Dan
;
Wang, Xingchun
- In:
The European journal of finance
29
(
2023
)
12
,
pp. 1406-1431
Persistent link: https://www.econbiz.de/10014323018
Saved in:
3
Pricing vulnerable basket spread options with liquidity risk
Dong, Ziming
;
Tang, Dan
;
Wang, Xingchun
- In:
Review of derivatives research
26
(
2023
)
1
,
pp. 23-50
Persistent link: https://www.econbiz.de/10014266355
Saved in:
4
Optimal investment of variance-swaps in jump-diffusion market with regime-switching
Bo, Lijun
;
Tang, Dan
;
Wang, Yongjin
- In:
Journal of economic dynamics & control
83
(
2017
),
pp. 175-197
Persistent link: https://www.econbiz.de/10011915585
Saved in:
5
Lévy risk model with two-sided jumps and a barrier dividend strategy
Bo, Lijun
;
Song, Renming
;
Tang, DanLing
;
Wang, Yongjin
; …
- In:
Insurance / Mathematics & economics
50
(
2012
)
2
,
pp. 280-291
Persistent link: https://www.econbiz.de/10009507927
Saved in:
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