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Option pricing theory
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Mandjes, Michel
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Finance and stochastics
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A Wiener-Hopf based approach to numerical computations in fluctuation theory for Lévy processes
Iseger, Peter den
;
Gruntjes, Paul
;
Mandjes, Michel
- In:
Mathematical methods of operations research
78
(
2013
)
1
,
pp. 101-118
Persistent link: https://www.econbiz.de/10009774853
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2
Regime switching affine processes with applications to finance
Beek, Misha van
;
Mandjes, Michel
;
Spreij, Peter
; …
- In:
Finance and stochastics
24
(
2020
)
2
,
pp. 309-333
Persistent link: https://www.econbiz.de/10012253354
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3
Transform-based evluation of prices and Greeks of lookback options driven by Lévy processes
Asghari, Naser M.
;
Mandjes, Michel
- In:
The journal of computational finance
20
(
2016
)
2
,
pp. 67-100
Persistent link: https://www.econbiz.de/10011656711
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