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isPartOf:"The journal of futures markets"
~person:"Elliott, Robert J."
~person:"Lee, Hangsuck"
~subject:"Stochastic process"
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Stochastic process
Option pricing theory
5
Option trading
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Optionsgeschäft
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Stochastischer Prozess
4
Esscher transform
2
Volatility
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American options
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Brownian motion
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Brownian motion of piecewise constant drift
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Hedging
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barrier option
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barrier options
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crossing probabilities for piecewise linear boundaries
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drift refraction
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early exercise
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exchange options
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filtering
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hidden markov models
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icicles
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jump diffusion
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local volatility
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multi-step barrier
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multi-step reflection principle
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option hedging
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Elliott, Robert J.
Lee, Hangsuck
He, Xin-Jiang
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Lin, Sha
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Albert, Pascal
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Doran, James S.
1
Ha, Hongjun
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Song, Seongjoo
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Tarrant, Brian C.
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Tchuindjo, Léonard
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The journal of futures markets
The North American journal of economics and finance : a journal of financial economics studies
3
Annals of finance
2
International journal of theoretical and applied finance
1
The journal of derivatives : JOD
1
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ECONIS (ZBW)
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Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 925-950
Persistent link: https://www.econbiz.de/10014293270
Saved in:
2
Piecewise linear double barrier options
Lee, Hangsuck
;
Ha, Hongjun
;
Lee, Minha
- In:
The journal of futures markets
42
(
2022
)
1
,
pp. 125-151
Persistent link: https://www.econbiz.de/10012796299
Saved in:
3
Multi-step reflection principle and barrier options
Lee, Hangsuck
;
Lee, Gaeun
;
Song, Seongjoo
- In:
The journal of futures markets
42
(
2022
)
4
,
pp. 692-721
Persistent link: https://www.econbiz.de/10013187581
Saved in:
4
Approximate pricing of American exchange options with jumps
Lian, Guanghua
;
Elliott, Robert J.
;
Kalev, Petko S.
; …
- In:
The journal of futures markets
42
(
2022
)
6
,
pp. 983-1001
Persistent link: https://www.econbiz.de/10013287907
Saved in:
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