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Search: subject:"Jump diffusion model"
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Optionsgeschäft
Optionspreistheorie
47
Option pricing theory
46
Stochastic process
45
Stochastischer Prozess
45
Volatility
33
Volatilität
33
jump-diffusion model
26
Jump-diffusion model
19
Theorie
17
Theory
17
CAPM
13
Jump diffusion model
13
Option trading
13
Portfolio selection
12
Portfolio-Management
12
jump diffusion model
12
Börsenkurs
11
Share price
11
Capital income
10
Kapitaleinkommen
10
Statistische Verteilung
10
Statistical distribution
9
Black-Scholes model
7
Black-Scholes-Modell
7
Derivat
7
Derivative
7
Markov chain
7
Markov-Kette
7
Risk
7
Monte Carlo simulation
6
Risiko
6
Schätztheorie
6
Time series analysis
6
Zeitreihenanalyse
6
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5
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5
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5
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English
13
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Vasiljević, Nikola
3
Leippold, Markus
2
Muroi, Yoshifumi
2
Suda, Shintaro
2
Burnetas, Apostolos N.
1
Chen, Yingzi
1
Chesney, Marc
1
Choi, Seung-mook S.
1
Fadugba, Sunday Emmanuel
1
Hainaut, Donatien
1
Li, Yong
1
Lou, Zhu-Sheng
1
Nwozo, Chuma Raphael
1
Ritchken, Peter H.
1
Saeki, Ryota
1
Sakuma, Takayuki
1
Shi, Chao
1
Wang, Wansheng
1
Wu, Wen-Bo
1
Xiao, Aiguo
1
Yang, Hongtao
1
Zhang, Jin-Yu
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Computational economics
2
Journal of economic dynamics & control
2
Journal of mathematical finance
2
International journal of financial engineering
1
Journal of banking & finance
1
Quantitative finance
1
Quantitative finance and economics
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Research paper series / Swiss Finance Institute
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Review of derivatives research
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ECONIS (ZBW)
13
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1
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13
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1
Asymptotic analysis of the mixed-exponential
jump
diffusion
model
and its financial applications
Shi, Chao
- In:
Journal of economic dynamics & control
143
(
2022
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013542969
Saved in:
2
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:
3
Pricing exotic option under jump-diffusion models by the quadrature method
Zhang, Jin-Yu
;
Wu, Wen-Bo
;
Li, Yong
;
Lou, Zhu-Sheng
- In:
Computational economics
58
(
2021
)
3
,
pp. 867-884
Persistent link: https://www.econbiz.de/10012651045
Saved in:
4
Continuous mixed-laplace jump diffusion models for stocks and commodities
Hainaut, Donatien
- In:
Quantitative finance and economics
1
(
2017
)
2
,
pp. 145-173
Persistent link: https://www.econbiz.de/10012137762
Saved in:
5
An efficient algorithm for options under Merton’s
jump-diffusion
model
on nonuniform grids
Chen, Yingzi
;
Wang, Wansheng
;
Xiao, Aiguo
- In:
Computational economics
53
(
2019
)
4
,
pp. 1565-1591
Persistent link: https://www.econbiz.de/10012135577
Saved in:
6
Model-free implied volatility under jump-diffusion models
Choi, Seung-mook S.
;
Yang, Hongtao
- In:
Review of economics & finance
16
(
2019
)
2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10012030898
Saved in:
7
Parisian options with jumps : a maturity-excursion randomization approach
Chesney, Marc
;
Vasiljević, Nikola
- In:
Quantitative finance
18
(
2018
)
11
,
pp. 1887-1908
Persistent link: https://www.econbiz.de/10012262861
Saved in:
8
Pricing and disentanglement of American puts in the hyper-exponential
jump-diffusion
model
Leippold, Markus
;
Vasiljević, Nikola
- In:
Journal of banking & finance
77
(
2017
),
pp. 78-94
Persistent link: https://www.econbiz.de/10011814354
Saved in:
9
Application of fast N-body algorithm to option pricing under CGMY model
Sakuma, Takayuki
- In:
Journal of mathematical finance
7
(
2017
)
2
,
pp. 308-318
Persistent link: https://www.econbiz.de/10011673900
Saved in:
10
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:
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