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accessRights:"restricted"
~person:"Blazsek, Szabolcs"
~person:"Cui, Zhenyu"
~type_genre:"Article in journal"
~type_genre:"Government document"
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Search: subject_exact:"Markov chain"
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Markov chain
14
Markov-Kette
14
Option pricing theory
9
Optionspreistheorie
9
Stochastic process
6
Stochastischer Prozess
6
Estimation
5
Schätzung
5
Volatility
5
Volatilität
5
Continuous-time Markov chain
4
Finance
4
Derivat
3
Derivative
3
Option pricing
3
Option trading
3
Optionsgeschäft
3
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3
ARCH model
2
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2
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2
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2
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Markov process
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Prognoseverfahren
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American options
1
Asian option
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Bermudan options
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Black-Scholes model
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Black-Scholes-Modell
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Börsenkurs
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Continuous-time Markov chains
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14
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Blazsek, Szabolcs
Cui, Zhenyu
Tsionas, Efthymios G.
17
Gupta, Rangan
14
Serletis, Apostolos
11
Xu, Libo
9
Casarin, Roberto
7
Chang, Kuang-Liang
7
Elliott, Robert J.
7
Kirkby, J. Lars
7
Legros, Benjamin
7
Li, Lingfei
7
Li, Yong
7
Lunday, Brian J.
7
Ma, Feng
7
Nguyen, Duy
7
Robbins, Matthew J.
7
Shi, Yanlin
7
Siu, Tak Kuen
7
Cavicchioli, Maddalena
6
D'Amico, Guglielmo
6
Dimitrakopoulos, Stefanos
6
Feinberg, Eugene A.
6
Goyal, Vineet
6
Guo, Xianping
6
He, Xin-Jiang
6
Houtum, Geert-Jan van
6
Lee, Hsiang-Tai
6
Leiva-Leon, Danilo
6
Maheu, John M.
6
Wei, Qingda
6
Zhu, Song-Ping
6
Balcilar, Mehmet
5
Banik, A. D.
5
Billio, Monica
5
Ching, Wai Ki
5
Clempner, Julio B.
5
Geng, Na
5
Goutte, Stéphane
5
Guidolin, Massimo
5
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European journal of operational research : EJOR
4
Applied economics
3
Quantitative finance
2
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
2
Insurance / Mathematics & economics
1
Mathematical methods of operations research : ZOR
1
The journal of derivatives : JOD
1
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ECONIS (ZBW)
14
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1
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
MacKay, Anne
;
Vachon, Marie-Claude
;
Cui, Zhenyu
- In:
Quantitative finance
23
(
2023
)
7/8
,
pp. 1055-1078
Persistent link: https://www.econbiz.de/10014321664
Saved in:
2
Score-driven multi-regime Markov-switching EGARCH : empirical evidence using the Meixner distribution
Blazsek, Szabolcs
;
Haddad, Michel Ferreira Cardia
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
4
,
pp. 589-634
Persistent link: https://www.econbiz.de/10014372917
Saved in:
3
Multivariate Markov-switching score-driven models : an application to the global crude oil market
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
3
,
pp. 313-335
Persistent link: https://www.econbiz.de/10013334746
Saved in:
4
Analysis of Markov chain approximation for Asian options and occupation-time derivatives : Greeks and convergence rates
Yang, Wensheng
;
Ma, Jingtang
;
Cui, Zhenyu
- In:
Mathematical methods of operations research : ZOR
93
(
2021
)
2
,
pp. 359-412
Persistent link: https://www.econbiz.de/10012548535
Saved in:
5
A Markov chain approximation scheme for option pricing under skew diffusions
Ding, Kailin
;
Cui, Zhenyu
;
Wang, Yongjin
- In:
Quantitative finance
21
(
2021
)
3
,
pp. 461-480
Persistent link: https://www.econbiz.de/10012483834
Saved in:
6
Pricing discretely monitored barrier options under Markov processes through markov chain approximation
Cui, Zhenyu
;
Taylor, Stephen
- In:
The journal of derivatives : JOD
28
(
2021
)
3
,
pp. 8-33
Persistent link: https://www.econbiz.de/10012486028
Saved in:
7
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:
8
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:
9
Score-driven Markov-switching EGARCH models : an application to systematic risk analysis
Blazsek, Szabolcs
;
Ho, Han-Chiang
;
Liu, Su-Ping
- In:
Applied economics
50
(
2018
)
56
,
pp. 6047-6060
Persistent link: https://www.econbiz.de/10012063386
Saved in:
10
Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes
Cui, Zhenyu
;
Lee, Chihoon
;
Liu, Yanchu
- In:
European journal of operational research : EJOR
266
(
2018
)
3
,
pp. 1134-1139
Persistent link: https://www.econbiz.de/10011812242
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