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~person:"Cui, Zhenyu"
~subject:"Aufsatzsammlung"
~subject:"Landwirtschaft"
~subject:"Volatilität"
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Aufsatzsammlung
Landwirtschaft
Volatilität
Stochastic process
44
Stochastischer Prozess
44
Option pricing theory
35
Optionspreistheorie
35
Volatility
33
Markov chain
10
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10
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7
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7
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6
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stochastic volatility
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33
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Cui, Zhenyu
McAleer, Michael
69
Asai, Manabu
40
Koopman, Siem Jan
38
Todorov, Viktor
34
Chan, Joshua
33
Chiarella, Carl
30
Clark, Todd E.
25
Mumtaz, Haroon
25
Escobar, Marcos
24
Barndorff-Nielsen, Ole E.
23
Shephard, Neil G.
23
Tauchen, George Eugene
23
Bos, Charles S.
21
Fouque, Jean-Pierre
21
Andersen, Torben
20
Carriero, Andrea
19
Nguyen, Duy
19
Yu, Jun
19
Marcellino, Massimiliano
18
Alòs, Elisa
17
Hafner, Christian M.
17
Martin, Gael M.
17
Platen, Eckhard
17
Takahashi, Akihiko
17
Kang, Boda
16
Renò, Roberto
16
Rodriguez, Gabriel
16
Wong, Hoi Ying
16
Branger, Nicole
15
Chan, Joshua C. C.
15
Grasselli, Martino
15
Jacquier, Antoine (Jack)
15
Benth, Fred Espen
14
Caporin, Massimiliano
14
Carr, Peter
14
Forde, Martin
14
Lucas, André
14
Corsi, Fulvio
13
Fabozzi, Frank J.
13
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European journal of operational research : EJOR
2
International journal of financial engineering
2
International journal of theoretical and applied finance
2
Journal of economic dynamics & control
2
Finance research letters
1
Insurance / Mathematics & economics
1
Journal of banking & finance
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Mathematics and financial economics
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North American actuarial journal
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ECONIS (ZBW)
33
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1
Nearly exact option price simulation using characteristic functions
Bernard, Carole
;
Cui, Zhenyu
;
McLeish, Don L.
- In:
International journal of theoretical and applied finance
15
(
2012
)
7
,
pp. 1-29
Persistent link: https://www.econbiz.de/10009685897
Saved in:
2
A note on the Wang transform for stochastic volatility pricing models
Badescu, Alexandru
;
Cui, Zhenyu
;
Ortega, Juan-Pablo
- In:
Finance research letters
19
(
2016
),
pp. 189-196
Persistent link: https://www.econbiz.de/10011657622
Saved in:
3
Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
Insurance / Mathematics & economics
74
(
2017
),
pp. 46-62
Persistent link: https://www.econbiz.de/10011712358
Saved in:
4
A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
262
(
2017
)
1
,
pp. 381-400
Persistent link: https://www.econbiz.de/10011785790
Saved in:
5
Integral representations of probability density of stochastic volatility models and timer options
Cui, Zhenyu
;
Kirkby, J. Lars
;
Lian, Guanghua
;
Nguyen, Duy
- In:
International journal of theoretical and applied finance
20
(
2017
)
8
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011787421
Saved in:
6
On the martingale property in stochastic volatility models based on time-homogeneous diffusions
Bernard, Carole
;
Cui, Zhenyu
;
McLeish, Don L.
- In:
Mathematical finance : an international journal of …
27
(
2017
)
1
,
pp. 194-223
Persistent link: https://www.econbiz.de/10011739452
Saved in:
7
Semi-analytical valuation for discrete barrier options under time-dependent Lévy processes
Lian, Guanghua
;
Zhu, Song-Ping
;
Elliott, Robert J.
; …
- In:
Journal of banking & finance
75
(
2017
),
pp. 167-183
Persistent link: https://www.econbiz.de/10011742159
Saved in:
8
Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model
Cui, Zhenyu
;
Feng, Runhuan
;
MacKay, Anne
- In:
North American actuarial journal
21
(
2017
)
3
,
pp. 458-483
Persistent link: https://www.econbiz.de/10011858078
Saved in:
9
A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
Kirkby, J. Lars
;
Nguyen, Duy
;
Cui, Zhenyu
- In:
Journal of economic dynamics & control
80
(
2017
),
pp. 75-100
Persistent link: https://www.econbiz.de/10011817629
Saved in:
10
An integral representation of elasticity and sensitivity for stochastic volatility models
Cui, Zhenyu
;
Nguyen, Duy
;
Park, Hyungbin
- In:
Mathematics and financial economics
12
(
2018
)
2
,
pp. 249-274
Persistent link: https://www.econbiz.de/10011963852
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