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~subject:"Optionspreistheorie"
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Optionspreistheorie
Option pricing theory
21
Stochastischer Prozess
18
Stochastic process
15
Theorie
11
Theory
11
Option trading
6
Optionsgeschäft
6
Real options analysis
6
Realoptionsansatz
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Wiener-Hopf factorization
5
Yield curve
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Zinsstruktur
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Decision under uncertainty
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Entscheidung unter Unsicherheit
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Lévy processes
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Search theory
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Suchtheorie
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Volatility
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Volatilität
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barrier options
4
Black-Scholes-Modell
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Economy of time
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Entscheidung bei Unsicherheit
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Fourier transform
3
Geldsubstitut
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Near money
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Optimales Stoppen
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Zeitökonomie
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credit default swaps
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parabolic inverse Laplace transform
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Barter economy
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Black-Scholes model
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Credit derivative
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Derivat
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Derivative
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Heston model
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Laplace inversion
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English
22
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Levendorskij, Sergej Z.
22
Bojarčenko, Svetlana I.
10
Boyarchenko, Mitya
2
Boyarchenko, Nina
1
Cui, Zhenyu
1
Innocentis, Marco de
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Kudryavtsev, Oleg
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Kyrkby, J. Lars
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Centre for Analytical Finance <Århus>
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International journal of theoretical and applied finance
10
Mathematical finance : an international journal of mathematics, statistics and financial theory
4
Applied mathematical finance
2
Advanced series on statistical science & applied probability
1
Annals of finance
1
Finance and stochastics
1
International economic review
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The journal of computational finance
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
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ECONIS (ZBW)
21
USB Cologne (EcoSocSci)
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1
Sinh-acceleration for B-spline projection with option pricing applications
Bojarčenko, Svetlana I.
;
Levendorskij, Sergej Z.
; …
- In:
International journal of theoretical and applied finance
24
(
2021
)
8
,
pp. 1-50
Persistent link: https://www.econbiz.de/10012887408
Saved in:
2
Sinh-acceleration: efficient evaluation of probability distributions, option pricing, and Monte Carlo simulations
Bojarčenko, Svetlana I.
;
Levendorskij, Sergej Z.
- In:
International journal of theoretical and applied finance
22
(
2019
)
3
,
pp. 1-49
Persistent link: https://www.econbiz.de/10012019776
Saved in:
3
Ultra-fast pricing barrier options and CDSs
Levendorskij, Sergej Z.
- In:
International journal of theoretical and applied finance
20
(
2017
)
5
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011734044
Saved in:
4
Efficent pricing of barrier options and credit default swapts in Lévy models with stochastic interest rate
Bojarčenko, Svetlana I.
;
Levendorskij, Sergej Z.
- In:
Mathematical finance : an international journal of …
27
(
2017
)
4
,
pp. 1089-1123
Persistent link: https://www.econbiz.de/10011765022
Saved in:
5
Pitfalls of the fourier transform method in affine models, and remedies
Levendorskij, Sergej Z.
- In:
Applied mathematical finance
23
(
2016
)
1/2
,
pp. 81-134
Persistent link: https://www.econbiz.de/10011546994
Saved in:
6
Method of paired contours and pricing barrier options and CDSs of long maturities
Levendorskij, Sergej Z.
- In:
International journal of theoretical and applied finance
17
(
2014
)
5
,
pp. 1-58
Persistent link: https://www.econbiz.de/10010437194
Saved in:
7
Efficient Laplace inversion, Wiener-Hopf factorization and pricing lookbacks
Bojarčenko, Svetlana I.
;
Levendorskij, Sergej Z.
- In:
International journal of theoretical and applied finance
16
(
2013
)
3
,
pp. 1-40
Persistent link: https://www.econbiz.de/10009756073
Saved in:
8
American options in the Heston model with stochastic interest rate and its generalizations
Bojarčenko, Svetlana I.
;
Levendorskij, Sergej Z.
- In:
Applied mathematical finance
20
(
2013
)
1/2
,
pp. 26-49
Persistent link: https://www.econbiz.de/10009737181
Saved in:
9
Valuation of continuously monitored double barrier options and related securities
Boyarchenko, Mitya
;
Levendorskij, Sergej Z.
- In:
Mathematical finance : an international journal of …
22
(
2012
)
3
,
pp. 419-444
Persistent link: https://www.econbiz.de/10009613187
Saved in:
10
Efficient pricing and reliable calibration in the Heston model
Levendorskij, Sergej Z.
- In:
International journal of theoretical and applied finance
15
(
2012
)
7
,
pp. 1-44
Persistent link: https://www.econbiz.de/10009685887
Saved in:
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