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Optionspreistheorie
Theorie
111
Theory
111
Option pricing theory
71
Markov chain
68
Markov-Kette
66
Stochastic process
56
Stochastischer Prozess
56
Portfolio selection
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Yield curve
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Zinsstruktur
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Derivat
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Option trading
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Optionsgeschäft
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English
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Elliott, Robert J.
49
Siu, Tak Kuen
31
Cohen, Samuel N.
6
Reisinger, Christoph
6
Shen, Yang
6
Wang, Sheng
6
Chan, Leunglung
5
Badescu, Alexandru
4
Barone-Adesi, Giovanni
4
Hoek, John van der
4
Nishide, Katsumasa
4
Ortega, Juan-Pablo
4
Fan, Kun
3
Wang, Rongming
3
Wu, Ping
3
Allegretto, Walter
2
Badescu, Alex
2
Chesney, Marc
2
Gibson, Rajna
2
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2
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2
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2
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Bensoussan, Alain
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1
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1
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1
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1
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Institut für Schweizerisches Bankwesen <Zürich>
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Applied mathematical finance
7
International journal of theoretical and applied finance
6
Annals of finance
5
Insurance / Mathematics & economics
5
Mathematical finance : an international journal of mathematics, statistics and financial theory
4
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3
The journal of futures markets
3
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Geld, Finanzwirtschaft, Banken und Versicherungen : 1996 ; Beiträge zum 7. Symposium Geld, Finanzwirtschaft, Banken und Versicherungen an der Universität Karlsruhe vom 11.- 13. Dezember 1996
1
Institut für Schweizerisches Bankwesen Zürich - Working Paper Series
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International journal of financial engineering
1
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1
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Mathematical finance - Bachelier Congress, 2000 : selected papers from the first World Congress of the Bachelier Finance Society, Paris, June 29 - July 1, 2000
1
Mathematical modeling and numerical methods in finance : special volume
1
New methods in fixed income modeling : fixed income modeling
1
Operations research letters
1
Quantitative finance
1
Rodney L. White Center for Financial Research
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Springer finance
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The journal of computational finance
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The journal of derivatives : JOD
1
The journal of finance : the journal of the American Finance Association
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ECONIS (ZBW)
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Option pricing for GARCH models with Markov switching
Elliott, Robert J.
;
Siu, Tak Kuen
;
Chan, Leunglung
- In:
International journal of theoretical and applied finance
9
(
2006
)
6
,
pp. 825-841
Persistent link: https://www.econbiz.de/10003380278
Saved in:
2
Risk measures for derivatives with Markov-modulated pure jump processes
Elliott, Robert J.
;
Chan, Leunglung
;
Siu, Tak Kuen
- In:
Asia-Pacific financial markets
13
(
2006
)
2
,
pp. 129-149
Persistent link: https://www.econbiz.de/10003496776
Saved in:
3
Pricing volatility swaps under Heston's stochastic volatility model with regime switching
Elliott, Robert J.
;
Siu, Tak Kuen
;
Chan, Leunglung
- In:
Applied mathematical finance
14
(
2007
)
1
,
pp. 41-62
Persistent link: https://www.econbiz.de/10003542938
Saved in:
4
On pricing and hedging options in regime-switching models with feedback effect
Elliott, Robert J.
;
Siu, Tak Kuen
;
Badescu, Alexandru
- In:
Journal of economic dynamics & control
35
(
2011
)
5
,
pp. 694-713
Persistent link: https://www.econbiz.de/10009240566
Saved in:
5
Attainable contingent claims in a Markovian regime-switching market
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
International journal of theoretical and applied finance
15
(
2012
)
8
,
pp. 1-19
Persistent link: https://www.econbiz.de/10009706331
Saved in:
6
A Dupire equation for a regime-switching model
Elliott, Robert J.
;
Chan, Leunglung
;
Siu, Tak Kuen
- In:
International journal of theoretical and applied finance
18
(
2015
)
4
,
pp. 1-13
Persistent link: https://www.econbiz.de/10011403770
Saved in:
7
A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions
Badescu, Alexandru
;
Elliott, Robert J.
;
Kulperger, Reg
; …
- In:
International journal of theoretical and applied finance
14
(
2011
)
5
,
pp. 669-708
Persistent link: https://www.econbiz.de/10009298478
Saved in:
8
American option pricing and filtering with a hidden regime-switching jump diffusion
Siu, Tak Kuen
;
Elliott, Robert J.
- In:
The journal of derivatives : JOD
29
(
2022
)
3
,
pp. 106-123
Persistent link: https://www.econbiz.de/10013174827
Saved in:
9
Option pricing and filtering with hidden Markov-modulated pure-jump processes
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
Applied mathematical finance
20
(
2013
)
1/2
,
pp. 1-25
Persistent link: https://www.econbiz.de/10009737182
Saved in:
10
Bitcoin option pricing with a SETAR-GARCH model
Siu, Tak Kuen
;
Elliott, Robert J.
- In:
The European journal of finance
27
(
2021
)
6
,
pp. 564-595
Persistent link: https://www.econbiz.de/10012484403
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