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~person:"Cai, Ning"
~person:"Kyriakou, Ioannis"
~person:"Orosi, Greg"
~subject:"Optionsgeschäft"
~subject:"Portfolio-Management"
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Optionsgeschäft
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Option pricing theory
54
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Cai, Ning
Kyriakou, Ioannis
Orosi, Greg
Hull, John
28
Platen, Eckhard
26
Cui, Zhenyu
23
Fabozzi, Frank J.
22
Ryu, Doojin
21
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21
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20
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19
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18
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18
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17
Caporale, Guglielmo Maria
16
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16
Guidolin, Massimo
16
Lee, Hangsuck
16
Plastun, Alex
16
Zaremba, Adam
16
Fodor, Andy
15
Schoutens, Wim
15
Zhang, Jin E.
15
Lo, Andrew W.
14
Takahashi, Akihiko
14
Alexander, Carol
13
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Poteshman, Allen M.
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ECONIS (ZBW)
32
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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
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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
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:
5
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:
6
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:
7
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:
8
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
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9
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
Saved in:
10
A robust method to retrieve option implied risk neutral densities for defaultable assets
Leduc, Guillaume
;
Orosi, Greg
- In:
International journal of financial markets and derivatives
5
(
2016
)
2/4
,
pp. 212-224
Persistent link: https://www.econbiz.de/10011742316
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