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~person:"Nguyen, Duy"
~subject:"Stochastischer Prozess"
~type_genre:"Article in journal"
~type_genre:"Lehrbuch"
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Stochastischer Prozess
Option pricing theory
10
Optionspreistheorie
10
Volatility
10
Volatilität
10
Stochastic process
9
Markov chain
6
Markov-Kette
6
Stochastic volatility
5
Jump diffusion
4
Option trading
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Derivat
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Nguyen, Duy
McAleer, Michael
25
Escobar, Marcos
21
Asai, Manabu
20
Todorov, Viktor
19
Tauchen, George Eugene
17
Cui, Zhenyu
16
Chan, Joshua
13
Fouque, Jean-Pierre
12
Takahashi, Akihiko
12
Wang, Xingchun
12
Carr, Peter
11
Kim, Jeong-Hoon
11
Benth, Fred Espen
9
Fabozzi, Frank J.
9
Forde, Martin
9
Lin, Shih-kuei
9
Mumtaz, Haroon
9
Sircar, Kaushik Ronnie
9
Wong, Hoi Ying
9
Yu, Jun
9
Alòs, Elisa
8
Andersen, Torben
8
Hainaut, Donatien
8
He, Xin-Jiang
8
Kim, Young Shin
8
Kirkby, J. Lars
8
Kwok, Yue-Kuen
8
Li, Jia
8
Li, Yong
8
Renault, Eric
8
Renò, Roberto
8
Rodriguez, Gabriel
8
Shiraya, Kenichiro
8
Bollerslev, Tim
7
Branger, Nicole
7
Elliott, Robert J.
7
Goutte, Stéphane
7
Grasselli, Martino
7
Jacquier, Antoine
7
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European journal of operational research : EJOR
2
Annals of finance
1
Finance research letters
1
Insurance / Mathematics & economics
1
International journal of financial engineering
1
International journal of theoretical and applied finance
1
Journal of economic dynamics & control
1
Mathematics and financial economics
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ECONIS (ZBW)
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1
A hybrid Markov chain-tree valuation framework for stochastic
volatility
jump diffusion models
Nguyen, Duy
- In:
International journal of financial engineering
5
(
2018
)
4
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012028829
Saved in:
2
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:
3
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:
4
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:
5
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:
6
A unified tree approach for options pricing under stochastic
volatility
models
Lo, C. C.
;
Nguyen, Duy
;
Skindilias, K.
- In:
Finance research letters
20
(
2017
),
pp. 260-268
Persistent link: https://www.econbiz.de/10011806944
Saved in:
7
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
Saved in:
8
Efficient Asian option pricing under regime switching jump diffusions and stochastic
volatility
models
Kirkby, J. Lars
;
Nguyen, Duy
- In:
Annals of finance
16
(
2020
)
3
,
pp. 307-351
Persistent link: https://www.econbiz.de/10012496337
Saved in:
9
Efficient simulation of generalized SABR and stochastic local
volatility
models based on Markov chain approximations
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
290
(
2021
)
3
,
pp. 1046-1062
Persistent link: https://www.econbiz.de/10012495249
Saved in:
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