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Search: subject:"COS method"
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COS method
11
Option pricing theory
10
Optionspreistheorie
10
Option trading
6
Optionsgeschäft
6
Stochastic process
5
Stochastischer Prozess
5
Derivat
4
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4
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4
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4
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4
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3
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2
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2
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2
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2
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2
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2
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2
Affine jump-diffusion
1
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1
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1
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1
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1
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1
Capital income
1
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1
Change of numeraire
1
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1
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1
Fast Fourier methods
1
Fourier Series
1
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1
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1
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1
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1
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1
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1
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1
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9
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2
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11
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Baczynski, Jack
2
Silva, Allan Jonathan da
2
Ziveyi, Jonathan
2
Alonso-García, Jennifer
1
Baschetti, Fabio
1
Bormetti, Giacomo
1
Brignone, Riccardo
1
Deng, Geng
1
Dulaney, Tim
1
Guo, Shimin
1
Jing, Bo
1
Joshi, Mark
1
Kang, Boda
1
Li, Shenghong
1
Li, Zhe
1
Liu, Jianguo
1
Ma, Yong
1
McCann, Craig
1
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1
Rossi, Pietro
1
Sgarra, Carlo
1
Shen, Yang
1
Sun, Youfa
1
Vicente, José Valentim Machado
1
Wood, Oliver
1
Yan, Mike
1
Yi, Zhigao
1
Yuan, George
1
Yuan, Steven
1
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1
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Quantitative finance
2
The North American journal of economics and finance : a journal of financial economics studies
2
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1
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1
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1
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ECONIS (ZBW)
11
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11
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1
Discretely distributed scheduled jumps and interest rate derivatives : pricing in the context of central bank actions
Silva, Allan Jonathan da
;
Baczynski, Jack
- In:
Economies : open access journal
12
(
2024
)
3
,
pp. 1-29
models. The AJD-Skellam models are well suited for using the interest rate version of the Fourier-cosine series (
COS
)
method
…
Persistent link: https://www.econbiz.de/10014501143
Saved in:
2
Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier Cosine method
Kang, Boda
;
Shen, Yang
;
Zhu, Dan
;
Ziveyi, Jonathan
-
2021
Persistent link: https://www.econbiz.de/10012628839
Saved in:
3
Efficient solutions for pricing and hedging interest rate Asian options
Silva, Allan Jonathan da
;
Baczynski, Jack
;
Vicente, …
-
2020
Persistent link: https://www.econbiz.de/10012171315
Saved in:
4
The SINC way : a fast and accurate approach to Fourier pricing
Baschetti, Fabio
;
Bormetti, Giacomo
;
Romagnoli, Silvia
; …
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 427-446
Persistent link: https://www.econbiz.de/10013167768
Saved in:
5
Consistent pricing of VIX options with the Hawkes jump-diffusion model
Jing, Bo
;
Li, Shenghong
;
Ma, Yong
- In:
The North American journal of economics and finance : a …
56
(
2021
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012821987
Saved in:
6
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
Saved in:
7
An analytical approximation approach for pricing European options in a two-price economy
Li, Zhe
;
Zhang, Weiguo
;
Zhang, Yue
;
Yi, Zhigao
- In:
The North American journal of economics and finance : a …
50
(
2019
),
pp. 1-12
Persistent link: https://www.econbiz.de/10012201210
Saved in:
8
Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the
COS
method
Alonso-García, Jennifer
;
Wood, Oliver
;
Ziveyi, Jonathan
- In:
Quantitative finance
18
(
2018
)
6
,
pp. 1049-1075
Persistent link: https://www.econbiz.de/10011911282
Saved in:
9
The use of power numeraires in option pricing
Joshi, Mark
- In:
Operations research letters
45
(
2017
)
2
,
pp. 133-138
Persistent link: https://www.econbiz.de/10011687633
Saved in:
10
Efficient valuation of equity-indexed annuities under Lévy processes using Fourier cosine series
Deng, Geng
;
Dulaney, Tim
;
McCann, Craig
;
Yan, Mike
- In:
The journal of computational finance
21
(
2017/2018
)
2
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011848304
Saved in:
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