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Search: subject:"parisian options"
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Parisian options
20
Option pricing theory
11
Optionspreistheorie
11
Laplace transform
7
Option trading
7
Optionsgeschäft
7
Stochastic process
4
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2
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2
control variate
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discrete monitoring
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early exercise
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executive stock options
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exotic option pricing
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Adaptive control variable
1
Aktienoption
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American options
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Bernard, Carole
4
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4
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3
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3
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2
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2
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RePEc
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EconStor
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1
On the pricing of vulnerable
Parisian
options
Liu, Zheng
;
Li, Dongchen
;
Qian, Linyi
;
Yao, Jing
- In:
Finance research letters
68
(
2024
),
pp. 1-12
Persistent link: https://www.econbiz.de/10015063624
Saved in:
2
A general approach for Parisian stopping times under Markov processes
Zhang, Gongqiu
;
Li, Lingfei
- In:
Finance and stochastics
27
(
2023
)
3
,
pp. 769-829
Persistent link: https://www.econbiz.de/10014328990
Saved in:
3
Pricing double-barrier
Parisian
options
Liu, Chun-Yang
;
Zhu, Song-Ping
;
Zhang, Shu-Hua
- In:
IMA journal of management mathematics
34
(
2023
)
4
,
pp. 633-660
Persistent link: https://www.econbiz.de/10014389016
Saved in:
4
Monte Carlo simulation of boundary crossing probabilities with applications to finance and statistics
Gür, Sercan
-
2019
Persistent link: https://www.econbiz.de/10012197036
Saved in:
5
Robust barrier option pricing by frame projection under exponential Lévy dynamics
Kirkby, J. Lars
- In:
Applied mathematical finance
24
(
2017
)
3/4
,
pp. 337-386
Persistent link: https://www.econbiz.de/10011815237
Saved in:
6
Parisian
options
with jumps : a maturity-excursion randomization approach
Chesney, Marc
;
Vasiljević, Nikola
- In:
Quantitative finance
18
(
2018
)
11
,
pp. 1887-1908
Persistent link: https://www.econbiz.de/10012262861
Saved in:
7
An analytical solution for the two-sided Parisian stopping time, its asymptotics, and the pricing of
Parisian
options
Dassios, Angelos
;
Lim, Jia Wei
- In:
Mathematical finance : an international journal of …
27
(
2017
)
2
,
pp. 604-620
Persistent link: https://www.econbiz.de/10011752549
Saved in:
8
Fast binomial procedures for pricing Parisian/ParAsian options
Gaudenzi, Marcellino
;
Zanette, Antonino
- In:
Computational Management Science : CMS
14
(
2017
)
3
,
pp. 313-331
Persistent link: https://www.econbiz.de/10011710827
Saved in:
9
Brownian excursions outside a corridor and two-sided
Parisian
options
Dassios, Angelos
;
Wu, Shanle
-
London School of Economics (LSE)
-
2011
Parisian
options
. In this paper, we obtain an explicit expression for the Laplace transform of its price. …
Persistent link: https://www.econbiz.de/10010884699
Saved in:
10
The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing
Dassios, Angelos
;
Zhang, You You
- In:
Finance and stochastics
20
(
2016
)
3
,
pp. 773-804
Persistent link: https://www.econbiz.de/10011531449
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