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~person:"Cai, Ning"
~person:"Joshi, Mark S."
~person:"Kyriakou, Ioannis"
~person:"Orosi, Greg"
~subject:"Optionsgeschäft"
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Optionsgeschäft
Option pricing theory
120
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120
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46
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28
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28
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28
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Cai, Ning
Joshi, Mark S.
Kyriakou, Ioannis
Orosi, Greg
Hull, John
27
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21
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21
Madan, Dilip B.
17
Ryu, Doojin
17
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17
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16
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15
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13
Fusai, Gianluca
13
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13
Zhang, Jin E.
13
Perrakis, Stylianos
12
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11
Jacobs, Kris
11
Schoutens, Wim
11
Alghalith, Moawia
10
Ewald, Christian-Oliver
10
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10
Kräussl, Roman
10
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10
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9
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9
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8
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Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
6
Operations research
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Journal of economic dynamics & control
3
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2
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ECONIS (ZBW)
46
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1
Closed-form interpolation-based formulas for European call options written on defaultable assets
Orosi, Greg
- In:
The journal of asset management
16
(
2015
)
4
,
pp. 236-242
Persistent link: https://www.econbiz.de/10011413347
Saved in:
2
General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
Fusai, Gianluca
;
Kyriakou, Ioannis
- In:
Mathematics of operations research
41
(
2016
)
2
,
pp. 531-559
Persistent link: https://www.econbiz.de/10011520483
Saved in:
3
A general framework for pricing Asian options under stochastic volatility on parallel architecture
Corsaro, Stefania
;
Kyriakou, Ioannis
;
Marazzina, Daniele
; …
- In:
European journal of operational research : EJOR
272
(
2019
)
3
,
pp. 1082-1095
Persistent link: https://www.econbiz.de/10011942796
Saved in:
4
Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
Joshi, Mark S.
;
Tang, Robert
- In:
Journal of economic dynamics & control
40
(
2014
),
pp. 25-45
Persistent link: https://www.econbiz.de/10010424450
Saved in:
5
Novel no-arbitrage conditions for options written on defaultable assets
Orosi, Greg
- In:
Journal of derivatives & hedge funds
20
(
2014
)
4
,
pp. 201-205
Persistent link: https://www.econbiz.de/10010462904
Saved in:
6
Improved lower bounds of call options written on defaultable assets
Orosi, Greg
- In:
Journal of derivatives & hedge funds
20
(
2014
)
3
,
pp. 127-130
Persistent link: https://www.econbiz.de/10010462983
Saved in:
7
A general framework for pricing Asian options under Markov processes
Cai, Ning
;
Song, Yingda
;
Kou, Steven
- In:
Operations research
63
(
2015
)
3
,
pp. 540-554
Persistent link: https://www.econbiz.de/10011292278
Saved in:
8
General lattice methods for arithmetic Asian options
Gambaro, Anna Maria
;
Kyriakou, Ioannis
;
Fusai, Gianluca
- In:
European journal of operational research : EJOR
282
(
2020
)
3
,
pp. 1185-1199
Persistent link: https://www.econbiz.de/10012161893
Saved in:
9
A novel method for arbitrage-free option surface construction
Orosi, Greg
- In:
Annals of financial economics
14
(
2019
)
4
,
pp. 1-14
Persistent link: https://www.econbiz.de/10012226655
Saved in:
10
Affine-structure models and the pricing of energy commodity derivatives
Kyriakou, Ioannis
;
Nomikos, Nikos K.
;
Papapostolou, Nikos C.
- In:
European financial management : the journal of the …
22
(
2016
)
5
,
pp. 853-881
Persistent link: https://www.econbiz.de/10011713164
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