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Search: subject:"exponential Lévy model"
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Exponential Lévy model
3
Stochastic process
3
Stochastischer Prozess
3
Option pricing theory
2
Optionspreistheorie
2
exponential Lévy model
2
American option
1
American options
1
CAPM
1
Call-put duality
1
Duality principle in option pricing
1
Exotic options
1
Exponential semimartingale model
1
Markov chain
1
Markov-Kette
1
Marshall-Olkin distribution
1
Mathematical programming
1
Mathematische Optimierung
1
Mean-variance optimality
1
Optimal stopping
1
Option pricing
1
Portfolio selection
1
Portfolio-Management
1
Regime switching Esscher transform
1
Regime switching risk
1
Search theory
1
Suchtheorie
1
Theorie
1
Theory
1
backward stochastic differential equation
1
logarithmic utility
1
obstacle problem
1
optimal stopping
1
portfolio optimization
1
power utility
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English
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Asiimwe, Pious
1
Eberlein, Ernst
1
Klimsiak, Tomasz
1
Lamberton, Damien
1
Mahera, Charles Wilson
1
Mai, Jan-Frederik
1
Menoukeu-Pamen, Oliver
1
Mikou, Mohammed
1
Papapantoleon, Antonis
1
Rozkosz, Andrzej
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Shiryaev, Albert
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Finance and Stochastics
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Applied mathematical finance
1
Asia-Pacific financial markets
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
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ECONIS (ZBW)
3
RePEc
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Portfolio optimization for credit-risky assets under Marshall–Olkin dependence
Mai, Jan-Frederik
- In:
Applied mathematical finance
26
(
2019
)
6
,
pp. 598-618
Persistent link: https://www.econbiz.de/10012210432
Saved in:
2
The valuation of American options in a multidimensional
exponential
Lévy
model
Klimsiak, Tomasz
;
Rozkosz, Andrzej
- In:
Mathematical finance : an international journal of …
28
(
2018
)
4
,
pp. 1107-1142
Persistent link: https://www.econbiz.de/10011969076
Saved in:
3
On the price of risk under a regime switching CGMY process
Asiimwe, Pious
;
Mahera, Charles Wilson
;
Menoukeu-Pamen, …
- In:
Asia-Pacific financial markets
23
(
2016
)
4
,
pp. 305-335
Persistent link: https://www.econbiz.de/10011619970
Saved in:
4
On the duality principle in option pricing: semimartingale setting
Eberlein, Ernst
;
Papapantoleon, Antonis
;
Shiryaev, Albert
- In:
Finance and Stochastics
12
(
2008
)
2
,
pp. 265-292
Persistent link: https://www.econbiz.de/10005166855
Saved in:
5
The critical price for the American put in an
exponential
Lévy
model
Lamberton, Damien
;
Mikou, Mohammed
- In:
Finance and Stochastics
12
(
2008
)
4
,
pp. 561-581
Persistent link: https://www.econbiz.de/10005613382
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