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Stochastischer Prozess
Asian options
69
Option pricing theory
51
Optionspreistheorie
51
Option trading
49
Optionsgeschäft
49
Stochastic process
23
Volatility
15
Volatilität
14
Asia
12
Asien
12
Derivat
11
Derivative
11
Monte Carlo simulation
11
Asian Options
10
Black-Scholes model
7
Black-Scholes-Modell
7
Hedging
7
Malliavin calculus
7
American options
5
Barrier options
5
Fourier transform
5
Monte-Carlo-Simulation
5
Option Pricing
5
option pricing
5
Jump diffusion
4
Lévy processes
4
Monte Carlo Simulation
4
Option pricing
4
arithmetic Asian options
4
stochastic volatility
4
CAPM
3
Derivatives
3
Experiment
3
Greeks
3
Markov chain
3
Markov-Kette
3
Martingale
3
Simulation
3
asian options
3
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Article
22
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1
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22
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1
Graue Literatur
1
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1
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1
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English
23
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Pirjol, Dan
3
Brignone, Riccardo
2
Ewald, Christian-Oliver
2
Kirkby, J. Lars
2
Kyriakou, Ioannis
2
Privault, Nicolas
2
Zhu, Lingjiong
2
Arai, Takuji
1
Ballotta, Laura
1
Chung, Shing Fung
1
Ewald, Christian
1
Fusai, Gianluca
1
Gerrard, Russell
1
Henderson, Vicky
1
Jang, Hyun Jin
1
Jang, Jiwook
1
Kwok, Yue-Kuen
1
Leitao, Álvaro
1
Liang, Zhian
1
Liu, Allen
1
Lund, Bruno
1
Lyasoff, Andrew
1
Mao, Zhijuan
1
Nguyen, Duy
1
Ortiz-Garcia, Luis
1
Park, Jong Jun
1
Prayoga, Adrian
1
Sgarra, Carlo
1
Suzuki, Ryoichi
1
Ting, Sai Hung Marten
1
Tong, Zhigang
1
Wojakowski, Rafa L.
1
Wong, Hoi Ying
1
Wu, Yuexiang
1
Yor, Marc
1
Yu, Jiadong
1
Zeng, Pingping
1
Zhang, Aihua
1
Zhang, Weinan
1
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Quantitative finance
3
Annals of finance
2
International journal of financial engineering
2
The journal of computational finance
2
Applied mathematical finance
1
Asia-Pacific financial markets
1
Brazilian review of econometrics : BRE ; the review of the Brazilian Econometric Society
1
Finance and stochastics
1
Finance research letters
1
Insurance / Mathematics & economics
1
International journal of theoretical and applied finance : IJTAF
1
Journal of banking & finance
1
Journal of mathematical finance
1
Mathematical finance
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
1
Mathematics of operations research
1
Operations research letters
1
The European journal of finance
1
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ECONIS (ZBW)
23
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23
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1
Pricing
Asian
options
with stochastic convenience yield and jumps
Ewald, Christian
;
Wu, Yuexiang
;
Zhang, Aihua
- In:
Quantitative finance
23
(
2023
)
4
,
pp. 677-692
Persistent link: https://www.econbiz.de/10014304306
Saved in:
2
Asymptotics for short maturity
Asian
options
in jump-diffusion models with local volatility
Pirjol, Dan
;
Zhu, Lingjiong
- In:
Quantitative finance
24
(
2024
)
3/4
,
pp. 433-449
Persistent link: https://www.econbiz.de/10014552074
Saved in:
3
Subleading correction to the
Asian
options
volatility in the black-scholes model
Pirjol, Dan
- In:
International journal of theoretical and applied …
26
(
2023
)
2/3
,
pp. 1-19
Persistent link: https://www.econbiz.de/10014365668
Saved in:
4
Efficient recursion-quadrature algorithms for pricing
Asian
options
and variance derivatives under stochastic volatility and Lévy jumps
Zhang, Weinan
;
Zeng, Pingping
;
Kwok, Yue-Kuen
- In:
Operations research letters
51
(
2023
)
6
,
pp. 687-694
Persistent link: https://www.econbiz.de/10014465892
Saved in:
5
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:
6
The role of jumps and options in the risk premia of interest rates
Lund, Bruno
- In:
Brazilian review of econometrics : BRE ; the review of …
38
(
2018
)
2
,
pp. 263-285
Persistent link: https://www.econbiz.de/10012129514
Saved in:
7
The CTMC–Heston model : calibration and exotic option pricing with SWIFT
Leitao, Álvaro
;
Kirkby, J. Lars
;
Ortiz-Garcia, Luis
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 71-114
Persistent link: https://www.econbiz.de/10012544164
Saved in:
8
Pricing arithmetic
Asian
options
under jump diffusion CIR processes
Park, Jong Jun
;
Jang, Hyun Jin
;
Jang, Jiwook
- In:
Finance research letters
34
(
2020
),
pp. 1-8
Persistent link: https://www.econbiz.de/10012436988
Saved in:
9
Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
Kirkby, J. Lars
;
Nguyen, Duy
- In:
Annals of finance
16
(
2020
)
3
,
pp. 307-351
Persistent link: https://www.econbiz.de/10012496337
Saved in:
10
Asian
options
pricing in Hawkes-type jump-diffusion models
Brignone, Riccardo
;
Sgarra, Carlo
- In:
Annals of finance
16
(
2020
)
1
,
pp. 101-119
Persistent link: https://www.econbiz.de/10012495966
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