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Stochastischer Prozess
Option pricing theory
13
Optionspreistheorie
13
Volatility
13
Volatilität
13
Stochastic process
11
Theorie
9
Theory
9
Markov chain
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Markov-Kette
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Börsenkurs
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CAPM
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Capital income
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Kapitaleinkommen
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Share price
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Lieferantenkredit
5
Stochastic volatility
5
Trade credit
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Anlageverhalten
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Behavioural finance
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Finance
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Jump diffusion
4
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
3
Managers
3
Option trading
3
Optionsgeschäft
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Risiko
3
Risikomanagement
3
Risk
3
Risk management
3
Statistical distribution
3
Statistische Verteilung
3
Steuerwirkung
3
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English
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Nguyen, Duy
10
Cui, Zhenyu
7
Kirkby, J. Lars
7
Jiang, J. X.
1
Lian, Guanghua
1
Liu, Rui Hua
1
Lo, C. C.
1
Nguyen, D.
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Park, Hyungbin
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Skindilias, K.
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European journal of operational research : EJOR
3
International journal of theoretical and applied finance
2
Annals of finance
1
Finance research letters
1
Insurance / Mathematics & economics
1
International journal of financial engineering
1
Journal of economic dynamics & control
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Mathematics and financial economics
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ECONIS (ZBW)
11
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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
Saved in:
2
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
Saved in:
3
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:
4
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
Saved in:
5
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
Saved in:
6
An integral representation of elasticity and sensitivity for stochastic volatility models
Cui, Zhenyu
;
Nguyen, Duy
;
Park, Hyungbin
- In:
Mathematics and financial economics
12
(
2018
)
2
,
pp. 249-274
Persistent link: https://www.econbiz.de/10011963852
Saved in:
7
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:
8
A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
Kirkby, J. Lars
;
Nguyen, Duy
;
Cui, Zhenyu
- In:
Journal of economic dynamics & control
80
(
2017
),
pp. 75-100
Persistent link: https://www.econbiz.de/10011817629
Saved in:
9
Integral representations of probability density of stochastic volatility models and timer options
Cui, Zhenyu
;
Kirkby, J. Lars
;
Lian, Guanghua
;
Nguyen, Duy
- In:
International journal of theoretical and applied finance
20
(
2017
)
8
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011787421
Saved in:
10
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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