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Markov chain
Option pricing theory
13
Optionspreistheorie
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Volatility
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Volatilität
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Stochastic process
11
Stochastischer Prozess
11
Theorie
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Theory
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Markov-Kette
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Börsenkurs
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CAPM
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Kapitaleinkommen
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Share price
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Lieferantenkredit
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Stochastic volatility
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Trade credit
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Behavioural finance
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Finance
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Jump diffusion
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Portfolio selection
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Portfolio-Management
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Aktienmarkt
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Auslandsinvestition
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Currency derivative
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Foreign investment
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Führungskräfte
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Managers
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Option trading
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Optionsgeschäft
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Risiko
3
Risikomanagement
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Risk
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Risk management
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Statistical distribution
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Statistische Verteilung
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Steuerwirkung
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English
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Nguyen, Duy
7
Kirkby, J. Lars
5
Cui, Zhenyu
4
Jiang, J. X.
1
Liu, Rui Hua
1
Lo, C. C.
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Nguyen, D.
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European journal of operational research : EJOR
3
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
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ECONIS (ZBW)
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1
A recombining tree method for option pricing with state-dependent switching rates
Jiang, J. X.
;
Liu, Rui Hua
;
Nguyen, D.
- In:
International journal of theoretical and applied finance
19
(
2016
)
2
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011455022
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2
A general framework for time-changed Markov processes and applications
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
273
(
2019
)
2
,
pp. 785-800
Persistent link: https://www.econbiz.de/10011987591
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3
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
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4
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
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5
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
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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
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:
8
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
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