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~subject:"Optionspreistheorie"
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Optionspreistheorie
Option pricing theory
21
Theorie
18
Theory
18
Derivat
8
Derivative
8
CAPM
7
Stochastic process
7
Stochastischer Prozess
7
Yield curve
7
Zinsstruktur
7
Credit risk
6
Option trading
6
Optionsgeschäft
6
Kreditrisiko
5
Eigenfunction expansions
4
Markov chain
4
Markov-Kette
4
Volatility
4
Volatilität
4
Anleihe
3
Black-Scholes model
3
Black-Scholes-Modell
3
Bond
3
CEV model
3
Optimal stopping
3
Stochastic discount factor
3
Asset-backed finance
2
Bankruptcy law
2
Börsenkurs
2
Callable bonds
2
Commodity derivative
2
Corporate bonds
2
Credit derivatives
2
Credit spread
2
Default
2
Discounting
2
Diskontierung
2
Equipment finance
2
Equity derivatives
2
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14
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1
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English
21
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Linetsky, Vadim
21
Li, Lingfei
7
Feng, Liming
4
Mendoza-Arriaga, Rafael
3
Qin, Likuan
3
Carr, Peter
2
Lim, Dongjae
2
Kovalov, Pavlo
1
Marcozzi, Michael
1
Morales, Jose Luis
1
Nocedal, Jorge
1
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Finance and stochastics
4
Mathematical finance : an international journal of mathematics, statistics and financial theory
4
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
European finance review : the official journal of the European Finance Association
1
Financial engineering
1
International journal of theoretical and applied finance
1
Journal of economic dynamics & control
1
Mathematical Finance, Forthcoming
1
Mathematics and financial economics
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ECONIS (ZBW)
21
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1
The spectral decomposition of the option value
Linetsky, Vadim
- In:
International journal of theoretical and applied finance
7
(
2004
)
3
,
pp. 337-384
Persistent link: https://www.econbiz.de/10002111464
Saved in:
2
Lookback options and diffusion hitting times : a spectral expansion approach
Linetsky, Vadim
- In:
Finance and stochastics
8
(
2004
)
3
,
pp. 373-398
Persistent link: https://www.econbiz.de/10002130320
Saved in:
3
Step options
Linetsky, Vadim
- In:
Mathematical finance : an international journal of …
9
(
1999
)
1
,
pp. 55-96
Persistent link: https://www.econbiz.de/10001363486
Saved in:
4
Computing exponential moments of the discrete maximum of a Lévy process and lookback options
Feng, Liming
;
Linetsky, Vadim
- In:
Finance and stochastics
13
(
2009
)
4
,
pp. 501-529
Persistent link: https://www.econbiz.de/10003899518
Saved in:
5
Time-changed Markov processes in unified credit-equity modeling
Mendoza-Arriaga, Rafael
;
Carr, Peter
;
Linetsky, Vadim
- In:
Mathematical finance : an international journal of …
20
(
2010
)
4
,
pp. 527-569
Persistent link: https://www.econbiz.de/10008666998
Saved in:
6
Variational methods in derivatives pricing
Feng, Liming
;
Kovalov, Pavlo
;
Linetsky, Vadim
; …
- In:
Financial engineering
,
(pp. 301-342)
.
2008
Persistent link: https://www.econbiz.de/10003567137
Saved in:
7
Pricing equity default swaps under the jump-to-default extended CEV model
Mendoza-Arriaga, Rafael
;
Linetsky, Vadim
- In:
Finance and stochastics
15
(
2011
)
3
,
pp. 513-540
Persistent link: https://www.econbiz.de/10009303137
Saved in:
8
Discretely monitored first passage problems and barrier options : an eigenfunction expansion approach
Li, Lingfei
;
Linetsky, Vadim
- In:
Finance and stochastics
19
(
2015
)
4
,
pp. 941-977
Persistent link: https://www.econbiz.de/10011421097
Saved in:
9
Evaluating callable and putable bonds : an eigenfunction expansion approach
Lim, Dongjae
;
Li, Lingfei
;
Linetsky, Vadim
- In:
Journal of economic dynamics & control
36
(
2012
)
12
,
pp. 1888-1908
Persistent link: https://www.econbiz.de/10009701917
Saved in:
10
Time-changed Ornstein-Uhlenbeck processes and their applications in commodity derivative models
Li, Lingfei
;
Linetsky, Vadim
- In:
Mathematical finance : an international journal of …
24
(
2014
)
2
,
pp. 289-330
Persistent link: https://www.econbiz.de/10010357373
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