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~accessRights:"restricted"
~person:"Lee, Cheng F."
~person:"Takahashi, Akihiko"
~subject:"Black-Scholes model"
~subject:"Konferenz"
~subject:"Malliavin calculus"
~subject:"Mathematische Optimierung"
~subject:"Portfolio selection"
~subject:"Volatilität"
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Black-Scholes model
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Lee, Cheng F.
Takahashi, Akihiko
Escobar, Marcos
16
Gendreau, Michel
16
Cui, Zhenyu
15
Chan, Joshua
14
Escudero, Laureano F.
12
Maggioni, Francesca
12
Shapiro, Alexander
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Marcellino, Massimiliano
11
Marti, Kurt
11
McAleer, Michael
11
Wang, Xingchun
11
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10
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10
Kim, Jeong-Hoon
10
Kopa, Miloš
10
Todorov, Viktor
10
Carriero, Andrea
9
Clark, Todd E.
9
Consigli, Giorgio
9
Kirkby, J. Lars
9
Moriggia, Vittorio
9
Nguyen, Duy
9
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9
Ahmed, Shabbir
8
Elliott, Robert J.
8
He, Xin-Jiang
8
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8
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8
Post, Thierry
8
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8
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8
Woodruff, David L.
8
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8
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7
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7
Gatheral, Jim
7
Homem-de-Mello, Tito
7
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7
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Review of Pacific Basin financial markets and policies
5
Handbook of investment analysis, portfolio management, and financial derivatives ; Volume 2
2
Review of Pacific Basin financial markets and policies : RPBFMP
2
Review of quantitative finance and accounting
2
Asia-Pacific financial markets
1
European journal of operational research : EJOR
1
Handbook of investment analysis, portfolio management, and financial derivatives ; Volume 1
1
Handbook of investment analysis, portfolio management, and financial derivatives ; Volume 4
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1
R-2GAM stochastic volatility model : flexibility and calibration
Lee, Cheng F.
;
Sokolinskiy, Oleg
- In:
Review of quantitative finance and accounting
45
(
2015
)
3
,
pp. 463-483
Persistent link: https://www.econbiz.de/10011531991
Saved in:
2
A general control variate method for multi-dimensional SDEs : an application to multi-asset options under local stochastic volatility with jumps models in finance
Shiraya, Kenichiro
;
Takahashi, Akihiko
- In:
European journal of operational research : EJOR
258
(
2017
)
1
,
pp. 358-371
Persistent link: https://www.econbiz.de/10011642221
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3
Alternative methods to derive option pricing models : review and comparison
Lee, Cheng F.
;
Chen, Yibing
;
Lee, John
- In:
Review of quantitative finance and accounting
47
(
2016
)
2
,
pp. 417-451
Persistent link: https://www.econbiz.de/10011595634
Saved in:
4
Pricing average and spread options under local-stochastic volatility jump-diffusion models
Shiraya, Kenichiro
;
Takahashi, Akihiko
- In:
Mathematics of operations research
44
(
2019
)
1
,
pp. 303-333
Persistent link: https://www.econbiz.de/10012001122
Saved in:
5
An asymptotic expansion for forward-backward SDEs : a malliavin calculus approach
Takahashi, Akihiko
;
Yamada, Toshihiro
- In:
Asia-Pacific financial markets
23
(
2016
)
4
,
pp. 337-373
Persistent link: https://www.econbiz.de/10011619975
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6
Empirical performance of the constant elasticity variance option pricing model
Chen, Ren-Raw
;
Lee, Cheng F.
;
Lee, Han-Hsing
-
2024
Persistent link: https://www.econbiz.de/10015049981
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7
Alternative methods to derive option pricing models : review and comparison
Lee, Cheng F.
;
Chen, Yibing
;
Lee, John
-
2024
Persistent link: https://www.econbiz.de/10015045614
Saved in:
8
Time-changed GARCH versus GARJI model for extreme events : an empirical study
Kao, Lie Jane
;
Wu, Po-Cheng
;
Lee, Cheng F.
-
2024
Persistent link: https://www.econbiz.de/10015046799
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9
Alternative methods for determining option bounds : a review and comparison
Lee, Cheng F.
;
Zhong, Zhaodong
;
Tai, Tzu
;
Chuang, Hongwei
-
2024
Persistent link: https://www.econbiz.de/10015046626
Saved in:
10
Recap of the 23rd annual conference on pacific basin finance, economics, accounting, and management
Lee, Cheng F.
;
Thi, Cao Hao
- In:
Review of Pacific Basin financial markets and policies
19
(
2016
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011490560
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