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~isPartOf:"Economic modelling"
~subject:"Optionspreistheorie"
~type_genre:"Article in journal"
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Optionspreistheorie
Portfolio selection
4
Portfolio-Management
4
Regime-switching
4
Theorie
4
Theory
4
Markov chain
3
Markov-Kette
3
Option pricing theory
3
Stochastic process
3
Stochastischer Prozess
3
Dynamic programming principle
2
Fast Fourier transform
2
Option trading
2
Optionsgeschäft
2
Reinsurance
2
Rückversicherung
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Yield curve
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Zinsstruktur
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Anleihe
1
Bond
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Bond options
1
Commodity exchange
1
Commodity options
1
Derivat
1
Derivative
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Dividend
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Dividende
1
Excess of loss reinsurance
1
Expectation-Maximization (EM) Algorithm
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Expected value premium principle
1
Foreign equity option
1
Forward measures
1
Futures options
1
Gibson-Schwartz two-factor model
1
HJB equation
1
Heavy-tailed claims
1
Higher-Order Autoregressive Hidden Markov Model (HO-HMMAR)
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Hull-White model
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Interest rate
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Article in journal
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English
3
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Shen, Yang
3
Siu, Tak Kuen
3
Fan, Kun
2
Wang, Rongming
2
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Economic modelling
International journal of theoretical and applied finance
5
Insurance / Mathematics & economics
4
Applied mathematical finance
3
Annals of finance
2
Computational economics
2
American journal of agricultural economics
1
Asia-Pacific financial markets
1
Energy economics
1
European journal of operational research : EJOR
1
Journal of economic dynamics & control
1
Operations research letters
1
Quantitative finance
1
The European journal of finance
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The journal of derivatives : JOD
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The journal of futures markets
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ECONIS (ZBW)
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Valuing commodity options and futures options with changing economic conditions
Fan, Kun
;
Shen, Yang
;
Siu, Tak Kuen
;
Wang, Rongming
- In:
Economic modelling
51
(
2015
),
pp. 524-533
Persistent link: https://www.econbiz.de/10011476145
Saved in:
2
Pricing foreign equity options with regime-switching
Fan, Kun
;
Shen, Yang
;
Siu, Tak Kuen
;
Wang, Rongming
- In:
Economic modelling
37
(
2014
),
pp. 296-305
Persistent link: https://www.econbiz.de/10010417689
Saved in:
3
Pricing bond options under a Markovian regime-switching Hull-White model
Shen, Yang
;
Siu, Tak Kuen
- In:
Economic modelling
30
(
2013
),
pp. 933-940
Persistent link: https://www.econbiz.de/10009710001
Saved in:
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