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~isPartOf:"Applied economics letters"
~isPartOf:"Insurance / Mathematics & economics"
~isPartOf:"Quantitative finance"
~subject:"Credit risk"
~subject:"Monte Carlo simulation"
~subject:"Portfolio-Management"
~subject:"Real options analysis"
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Option Prices with Stochastic...
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1
Bachelier model with stopping time and its insurance application
Glazyrina, Anna
;
Melʹnikov, Aleksandr V.
- In:
Insurance / Mathematics & economics
93
(
2020
),
pp. 156-167
Persistent link: https://www.econbiz.de/10012294092
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2
Implied stopping rules for American basket options from Markovian projection
Bayer, Christian
;
Häppölä, Juho
;
Tempone, Raúl
- In:
Quantitative finance
19
(
2019
)
3
,
pp. 371-390
Persistent link: https://www.econbiz.de/10012194659
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3
Real options under a double exponential jump-diffusion model with regime switching and partial information
Luo, Pengfei
;
Xiong, Jie
;
Yang, Jinqiang
;
Yang, Zhaojun
- In:
Quantitative finance
19
(
2019
)
6
,
pp. 1061-1073
Persistent link: https://www.econbiz.de/10012194743
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4
The QLBS Q-Learner goes NuQLear : fitted Q iteration, inverse RL, and option portfolios
Halperin, Igor
- In:
Quantitative finance
19
(
2019
)
9
,
pp. 1543-1553
Persistent link: https://www.econbiz.de/10012194805
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5
A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing
Yamada, Toshihiro
;
Yamamoto, Kenta
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1825-1837
Persistent link: https://www.econbiz.de/10012313518
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6
Path-wise Monte Carlo simulation for Greeks of worst-of-all autocallables under multi-variate Black-Scholes model
Hu, Xiaobo
;
Xue, Jungong
;
Yu, Xiandi
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1693-1716
Persistent link: https://www.econbiz.de/10013367941
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7
Quantification of risk in classical models of finance
Pichler, Alois
;
Schlotter, Ruben
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 31-45
Persistent link: https://www.econbiz.de/10012872493
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8
Optimal strategies for hedging portfolios of unit-linked life insurance contracts with minimum death guarantee
Nteukam T., Oberlain
;
Planchet, Frédéric
;
Thérond, …
- In:
Insurance / Mathematics & economics
48
(
2011
)
2
,
pp. 161-175
Persistent link: https://www.econbiz.de/10008989359
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9
Lévy risk model with two-sided jumps and a barrier dividend strategy
Bo, Lijun
;
Song, Renming
;
Tang, DanLing
;
Wang, Yongjin
; …
- In:
Insurance / Mathematics & economics
50
(
2012
)
2
,
pp. 280-291
Persistent link: https://www.econbiz.de/10009507927
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10
Pricing credit default swaps with a random recovery rate by a double inverse Fourier transform
Hao, Xuemiao
;
Li, Xuan
- In:
Insurance / Mathematics & economics
65
(
2015
),
pp. 103-110
Persistent link: https://www.econbiz.de/10011422882
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