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Search: subject:"Bermudan options"
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Stochastic process
Bermudan options
32
Optionspreistheorie
20
Option pricing theory
18
Monte Carlo simulation
15
American and Bermudan options
9
Monte-Carlo-Simulation
7
Optimal stopping times
6
Regression methods
6
LIBOR market model
5
Option trading
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Optionsgeschäft
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American options
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Derivat
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Simulation
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Stochastischer Prozess
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Boundary condition
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Conditional probabilistic representations
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Consumption process
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Deltas
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Dynamic programming
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Option pricing
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Regression
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Callability
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Credit risk
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Dynamische Optimierung
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Early exercise
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Expected exposure
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Finance
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Heston
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Interest rate derivative
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Kreditrisiko
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Bouveret, Géraldine
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Cui, Zhenyu
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Feng, Qian
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Graaf, Cornelis S. L. de
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Kandhai, Drona
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Kirkby, J. Lars
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Applied mathematical finance
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European journal of operational research : EJOR
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International journal of financial engineering
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ECONIS (ZBW)
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Optimal exercise frontier of
Bermudan
options
by simulation methods
Xie, Dejun
;
Edwards, David A.
;
Wu, Xiaoxia
- In:
International journal of financial engineering
9
(
2022
)
3
,
pp. 2250013-1-2250013-20
Persistent link: https://www.econbiz.de/10013367611
Saved in:
2
A general framework for time-changed Markov processes and applications
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
273
(
2019
)
2
,
pp. 785-800
Persistent link: https://www.econbiz.de/10011987591
Saved in:
3
Dual representation of the cost of designing a portfolio satisfying multiple risk constraints
Bouveret, Géraldine
- In:
Applied mathematical finance
26
(
2019
)
3
,
pp. 222-256
Persistent link: https://www.econbiz.de/10012210285
Saved in:
4
Efficient computation of exposure profiles for counterparty credit risk
Graaf, Cornelis S. L. de
;
Feng, Qian
;
Kandhai, Drona
; …
- In:
International journal of theoretical and applied finance
17
(
2014
)
4
,
pp. 1-23
Persistent link: https://www.econbiz.de/10010391508
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