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accessRights:"restricted"
~person:"Kirkby, J. Lars"
~person:"Nguyen, Duy"
~person:"Serletis, Apostolos"
~subject:"Optionspreistheorie"
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Optionspreistheorie
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Kirkby, J. Lars
Nguyen, Duy
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9
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4
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4
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3
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European journal of operational research : EJOR
4
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1
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Insurance / Mathematics & economics
1
International journal of financial engineering
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The journal of computational finance
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ECONIS (ZBW)
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1
Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation
Kirkby, J. Lars
- In:
European journal of operational research : EJOR
305
(
2023
)
2
,
pp. 961-978
Persistent link: https://www.econbiz.de/10013482166
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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
The CTMC–Heston model : calibration and exotic option pricing with SWIFT
Leitao, Álvaro
;
Kirkby, J. Lars
;
Ortiz-Garcia, Luis
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 71-114
Persistent link: https://www.econbiz.de/10012544164
Saved in:
4
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:
5
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:
6
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:
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 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
Saved in:
9
Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
Insurance / Mathematics & economics
74
(
2017
),
pp. 46-62
Persistent link: https://www.econbiz.de/10011712358
Saved in:
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