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A dynamic program under Lévy p...
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Optionsgeschäft
Stochastischer Prozess
17,105
Stochastic process
16,665
Optionspreistheorie
14,743
Theorie
14,511
Option pricing theory
14,285
Theory
14,134
Volatilität
5,960
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5,853
Dynamic programming
3,798
Dynamische Optimierung
3,526
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3,051
Option trading
2,897
Derivat
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Derivative
2,539
Portfolio-Management
2,484
Portfolio selection
2,463
Schätzung
2,237
Estimation
2,175
Zeitreihenanalyse
1,542
Time series analysis
1,493
Hedging
1,457
USA
1,455
Risiko
1,427
CAPM
1,418
Risk
1,414
United States
1,400
Schätztheorie
1,338
Estimation theory
1,313
Zinsstruktur
1,276
Yield curve
1,258
Markov chain
1,250
Markov-Kette
1,250
Black-Scholes-Modell
1,169
Börsenkurs
1,127
Black-Scholes model
1,113
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1,089
Statistische Verteilung
1,084
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Hull, John
27
Cui, Zhenyu
21
Wang, Xingchun
21
Joshi, Mark S.
17
Madan, Dilip B.
17
Stentoft, Lars
17
Lee, Hangsuck
16
Carr, Peter
14
Fusai, Gianluca
14
Todorov, Viktor
13
Zhang, Jin E.
13
Fusari, Nicola
12
Orosi, Greg
12
Guirguis, Michel
11
Jacobs, Kris
11
Schoutens, Wim
11
Alghalith, Moawia
10
Ewald, Christian-Oliver
10
Fabozzi, Frank J.
10
Kräussl, Roman
10
Levendorskii, Sergei
10
Perrakis, Stylianos
10
Ryu, Doojin
10
Zanette, Antonino
10
Benth, Fred Espen
9
Chen, An
9
Escobar, Marcos
9
Kwok, Yue-Kuen
9
Kyriakou, Ioannis
9
Lee, Minha
9
Li, Lingfei
9
Stork, Philip
9
Takahashi, Akihiko
9
Zhu, Song-Ping
9
Alexander, Carol
8
Andersen, Torben
8
Bayraktar, Erhan
8
Bernales, Alejandro
8
Bernard, Carole
8
Broeders, Dirk
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National Bureau of Economic Research
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Center for Economic Research <Tilburg>
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Centre for Analytical Finance <Århus>
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Christian-Albrechts-Universität zu Kiel
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Institut for Finansiering <Frederiksberg>
2
International Centre for Trade and Sustainable Development
2
Pearson Studium
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Weltwirtschaftsforum
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Australian National University / Faculty of Economics and Commerce
1
Berliner Wissenschafts-Verlag
1
Birkbeck College / Department of Economics
1
Center for International Food and Agricultural Policy
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Centre for Actuarial Studies
1
Deutsche Forschungsgemeinschaft
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EOE
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Eberhard Karls Universität Tübingen
1
Energy, Mines and Resources, Canada
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Erasmus Research Institute of Management
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Expert Meeting on Crisis and Development in Latin America and the Caribbean, Santiago, Chile, 29.4.-3.5.1985
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Federal Reserve Bank of Chicago
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Investors Intelligence
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Salomon Brothers Center for the Study of Financial Institutions
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Senter for Anvendt Forskning <Oslo; Bergen, Norwegen>
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Sonderforschungsbereich 303 - Information und die Koordination Wirtschaftlicher Aktivitäten, Universität Bonn
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Springer Fachmedien Wiesbaden
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Svenska Handelshögskolan <Helsinki>
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Universitat Pompeu Fabra / Departament d'Economia i Empresa
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University of York / Department of Economics and Related Studies
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Universität Konstanz
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The journal of futures markets
85
International journal of theoretical and applied finance
84
Review of derivatives research
58
The journal of computational finance
58
Applied mathematical finance
51
Quantitative finance
51
The journal of derivatives : the official publication of the International Association of Financial Engineers
50
Journal of banking & finance
44
Finance research letters
43
Mathematical finance : an international journal of mathematics, statistics and financial theory
39
Journal of economic dynamics & control
38
The North American journal of economics and finance : a journal of financial economics studies
36
International journal of financial engineering
32
Finance and stochastics
30
Computational economics
28
European journal of operational research : EJOR
27
Journal of mathematical finance
26
Research paper series / Swiss Finance Institute
22
International review of economics & finance : IREF
21
Journal of financial economics
21
Management science : journal of the Institute for Operations Research and the Management Sciences
19
Risks : open access journal
19
Asia-Pacific financial markets
18
Review of quantitative finance and accounting
17
The European journal of finance
17
Economic modelling
16
The journal of derivatives : JOD
16
Insurance / Mathematics & economics
15
Applied economics
14
Swiss Finance Institute Research Paper
14
Annals of finance
13
Journal of econometrics
13
Journal of risk and financial management : JRFM
13
Decisions in economics and finance : DEF ; a journal of applied mathematics
12
International review of financial analysis
12
Journal of financial markets
11
Energy economics
10
Journal of derivatives & hedge funds
10
Journal of risk
10
Operations research letters
10
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ECONIS (ZBW)
2,906
EconStor
7
USB Cologne (EcoSocSci)
3
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1
Dynamic programming for valuing options embedded in corporate bonds
Ben-Abdellatif, Malek
;
Ben-Ameur, Hatem
;
Chérif, Rim
; …
-
2023
Persistent link: https://www.econbiz.de/10014443102
Saved in:
2
American option sensitivities estimation via a generalized infinitesimal perturbation analysis approach
Chen, Nan
;
Liu, Yanchu
- In:
Operations research
62
(
2014
)
3
,
pp. 616-632
Persistent link: https://www.econbiz.de/10010381847
Saved in:
3
A new type of barrier options : lizard option
Kawanishi, Yasuhiro
- In:
Asia-Pacific financial markets
22
(
2015
)
1
,
pp. 75-86
Persistent link: https://www.econbiz.de/10010511547
Saved in:
4
Local risk-minimization for Lévy markets
Arai, Takuji
;
Suzuki, Ryoichi
- In:
International journal of financial engineering
2
(
2015
)
2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011333451
Saved in:
5
Prices of barrier and first-touch digital options in Lévy-driven models, near barrier
Boyarchenko, Mitya
;
Innocentis, Marco de
;
Levendorskij, …
- In:
International journal of theoretical and applied finance
14
(
2011
)
7
,
pp. 1045-1090
Persistent link: https://www.econbiz.de/10009407673
Saved in:
6
Pricing and hedging of lookback options in hyper-exponential jump diffusion models
Hofer, Markus
;
Mayer, Philipp
- In:
Applied mathematical finance
20
(
2013
)
5/6
,
pp. 489-511
Persistent link: https://www.econbiz.de/10010235585
Saved in:
7
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:
8
Method of paired contours and pricing barrier options and CDSs of long maturities
Levendorskij, Sergej Z.
- In:
International journal of theoretical and applied finance
17
(
2014
)
5
,
pp. 1-58
Persistent link: https://www.econbiz.de/10010437194
Saved in:
9
Moments of maximum of Lévy processes : application to barrier and lookback option pricing
Li, Yuan
;
Shiraya, Kenichiro
;
Umezawa, Yuji
;
Yamazaki, Akira
-
2022
Persistent link: https://www.econbiz.de/10013271751
Saved in:
10
Hedging and pricing early-exercise options with complex fourier series expansion
Chan, Tat Lung
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-25
Persistent link: https://www.econbiz.de/10012666044
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