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subject:"Stochastischer Prozess"
~person:"Shiraya, Kenichiro"
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Stochastischer Prozess
Monte Carlo simulation
4
Monte-Carlo-Simulation
4
Option pricing theory
4
Optionspreistheorie
4
Stochastic process
4
Control variate
2
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barrier option
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control variate
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finance
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Shiraya, Kenichiro
Koopman, Siem Jan
22
Forbes, Catherine Scipione
7
Kleijnen, Jack P. C.
7
Martin, Gael M.
7
Mertens, Elmar
7
Scharth, Marcel
7
Bos, Charles S.
6
Chiarella, Carl
6
Liesenfeld, Roman
6
Maneesoonthorn, Worapree
6
Asai, Manabu
5
León-González, Roberto
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Lucas, André
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Omori, Yasuhiro
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Ooms, Marius
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Platen, Eckhard
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Rodrigues, Paulo Jorge Maurício
5
Seeger, Norman
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Wirjanto, Tony S.
5
Zhang, Xibin
5
Beers, Wim C. M. van
4
Chan, Joshua
4
Dimitrakopoulos, Stefanos
4
Dufour, Jean-Marie
4
Grzelak, Lech A.
4
Ignatieva, Ekaterina
4
Jensen, Mark J.
4
Kang, Boda
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Kim, Dongwoo
4
Kolkiewicz, Adam W.
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McAleer, Michael
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Men, Zhongxian
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Nason, James Michael
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Oosterlee, Cornelis Willebrordus
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Richard, Jean-François
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Rodriguez, Gabriel
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Shevchenko, Pavel V.
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Takahashi, Akihiko
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European journal of operational research : EJOR
2
CARF working paper
1
The journal of computational finance : JFC
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ECONIS (ZBW)
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Moments of maximum of Lévy processes : application to barrier and lookback option pricing
Li, Yuan
;
Shiraya, Kenichiro
;
Umezawa, Yuji
;
Yamazaki, Akira
-
2022
Persistent link: https://www.econbiz.de/10013271751
Saved in:
2
A general control variate method for time-changed Lévy processes : an application to options pricing
Shiraya, Kenichiro
;
Wang, Cong
;
Yamazaki, Akira
- In:
The journal of computational finance : JFC
27
(
2023
)
1
,
pp. 25-57
Persistent link: https://www.econbiz.de/10014486932
Saved in:
3
A general control variate method for Lévy models in finance
Shiraya, Kenichiro
;
Uenishi, Hiroki
;
Yamazaki, Akira
- In:
European journal of operational research : EJOR
284
(
2020
)
3
,
pp. 1190-1200
Persistent link: https://www.econbiz.de/10012238947
Saved in:
4
A general control variate method for multi-dimensional SDEs : an application to multi-asset options under local stochastic volatility with jumps models in finance
Shiraya, Kenichiro
;
Takahashi, Akihiko
- In:
European journal of operational research : EJOR
258
(
2017
)
1
,
pp. 358-371
Persistent link: https://www.econbiz.de/10011642221
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