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Fabozzi, Frank J.
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93
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89
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86
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86
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82
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78
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76
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72
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70
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69
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66
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66
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66
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66
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65
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65
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65
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64
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62
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62
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58
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57
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57
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55
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55
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54
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54
Stentoft, Lars
54
Siu, Tak Kuen
52
Zhou, Guofu
52
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51
Schlag, Christian
51
Duffie, Darrell
50
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50
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49
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49
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Ekonomiska forskningsinstitutet <Stockholm>
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8
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European University Institute / Department of Economics
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International Center for Financial Asset Management and Engineering
6
Nationalekonomiska Institutionen <Lund>
6
Rodney L. White Center for Financial Research
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International journal of theoretical and applied finance
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NBER working paper series
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443
Journal of financial economics
395
European journal of operational research : EJOR
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Journal of economic dynamics & control
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Finance research letters
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The journal of finance : the journal of the American Finance Association
302
Finance and stochastics
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Applied mathematical finance
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The review of financial studies
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Economics letters
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210
International review of financial analysis
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205
International review of economics & finance : IREF
190
Management science : journal of the Institute for Operations Research and the Management Sciences
190
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189
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189
Discussion paper / Centre for Economic Policy Research
187
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187
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183
Research paper series / Swiss Finance Institute
178
The European journal of finance
175
Computational economics
173
Risks : open access journal
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ECONIS (ZBW)
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51
New numerical scheme for pricing American option with regime-switching
Khaliq, Abdul Q. M.
;
Liu, Rui Hua
- In:
International journal of theoretical and applied finance
12
(
2009
)
3
,
pp. 319-340
Persistent link: https://www.econbiz.de/10003867406
Saved in:
52
MCMC methods for continuous-time financial econometrics
Johannes, Michael
;
Polson, Nicholas G.
-
2010
Persistent link: https://www.econbiz.de/10003900732
Saved in:
53
Asymptotic analysis of option pricing in a Markov modulated market
Basu, Arnab
;
Ghosh, Mrinal K.
- In:
Operations research letters
37
(
2009
)
6
,
pp. 415-419
Persistent link: https://www.econbiz.de/10003905576
Saved in:
54
Option pricing with continuous-time Markov chain regime switching
Edwards, Craig Steven
-
2004
Persistent link: https://www.econbiz.de/10003378770
Saved in:
55
Computational methods for Levy and jump diffusion processes : applications in financial engineering
Feng, Liming
-
2006
Persistent link: https://www.econbiz.de/10003908099
Saved in:
56
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:
57
Barrier option pricing by branching processes
Mitov, Georgi K.
;
Račev, Svetlozar T.
;
Kim, Young Shin
; …
- In:
International journal of theoretical and applied finance
12
(
2009
)
7
,
pp. 1055-1073
Persistent link: https://www.econbiz.de/10003928804
Saved in:
58
Pricing American options under the constant elasticity of variance model and subject to bankruptcy
Nunes, Joaõ Pedro Vidal
- In:
Journal of financial and quantitative analysis : JFQA
44
(
2009
)
5
,
pp. 1231-1263
Persistent link: https://www.econbiz.de/10003939136
Saved in:
59
The dependence structure of running maxima and minima : results and option pricing applications
Cherubini, Umberto
;
Romagnoli, Silvia
- In:
Mathematical finance : an international journal of …
20
(
2010
)
1
,
pp. 35-58
Persistent link: https://www.econbiz.de/10003955657
Saved in:
60
A hidden Markov regime-switching model for option valuation
Liew, Chuin Ching
;
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
47
(
2010
)
3
,
pp. 374-384
Persistent link: https://www.econbiz.de/10008747009
Saved in:
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