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type_genre:"Government document"
~person:"Cui, Zhenyu"
~subject:"Optionspreistheorie"
~type_genre:"Aufsatz in Zeitschrift"
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Optionspreistheorie
Option pricing theory
11
Option trading
11
Optionsgeschäft
11
Stochastic process
5
Stochastischer Prozess
5
Volatility
4
Volatilität
4
Derivat
3
Derivative
3
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3
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3
Asian option
2
Continuous-time Markov chains
2
Integral equation
2
Probability theory
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American Asian options
1
American option pricing
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American options
1
American put options
1
Asia
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Asien
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B-splines
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Black-Scholes model
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Early exercise premium
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Cui, Zhenyu
Wang, Xingchun
20
Lee, Hangsuck
13
Zhang, Jin E.
12
Carr, Peter
10
Zanette, Antonino
10
Kwok, Yue-Kuen
9
Ryu, Doojin
9
Cai, Ning
8
Escobar, Marcos
8
He, Xin-Jiang
8
Joshi, Mark S.
8
Kirkby, J. Lars
8
Fusai, Gianluca
7
Kim, Sol
7
Orosi, Greg
7
Schoutens, Wim
7
Stentoft, Lars
7
Elliott, Robert J.
6
Gaudenzi, Marcellino
6
Hobson, David G.
6
Kitapbayev, Yerkin
6
Kou, Steven
6
Lee, Minha
6
Levendorskij, Sergej Z.
6
Madan, Dilip B.
6
Ruan, Xinfeng
6
Siu, Tak Kuen
6
Takahashi, Akihiko
6
Todorov, Viktor
6
Zhu, Song-Ping
6
Alexander, Carol
5
Benth, Fred Espen
5
Bernales, Alejandro
5
Bernard, Carole
5
Borochin, Paul
5
Chen, Son-nan
5
Chung, San-lin
5
Gehricke, Sebastian A.
5
Ha, Hongjun
5
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International journal of theoretical and applied finance
3
Journal of economic dynamics & control
2
European journal of operational research : EJOR
1
Finance research letters
1
Mathematical methods of operations research : ZOR
1
The journal of computational finance
1
The journal of derivatives : JOD
1
The journal of futures markets
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ECONIS (ZBW)
11
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1
Pricing arithmetic Asian and Amerasian options : a diffusion operator integral expansion approach
Ding, Kailin
;
Cui, Zhenyu
;
Yang, Xiaoguang
- In:
The journal of futures markets
43
(
2023
)
2
,
pp. 217-241
Persistent link: https://www.econbiz.de/10014293009
Saved in:
2
CTMC integral equation method for American options under stochastic local volatility models
Ma, Jingtang
;
Yang, Wensheng
;
Cui, Zhenyu
- In:
Journal of economic dynamics & control
128
(
2021
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012628259
Saved in:
3
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:
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
Sinh-acceleration for B-spline projection with option pricing applications
Bojarčenko, Svetlana I.
;
Levendorskij, Sergej Z.
; …
- In:
International journal of theoretical and applied finance
24
(
2021
)
8
,
pp. 1-50
Persistent link: https://www.econbiz.de/10012887408
Saved in:
6
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
Saved in:
7
Integral representations of probability density of stochastic volatility models and timer options
Cui, Zhenyu
;
Kirkby, J. Lars
;
Lian, Guanghua
;
Nguyen, Duy
- In:
International journal of theoretical and applied finance
20
(
2017
)
8
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011787421
Saved in:
8
A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
Kirkby, J. Lars
;
Nguyen, Duy
;
Cui, Zhenyu
- In:
Journal of economic dynamics & control
80
(
2017
),
pp. 75-100
Persistent link: https://www.econbiz.de/10011817629
Saved in:
9
Integral representation of vega for American put options
Liu, Yanchu
;
Cui, Zhenyu
;
Zhang, Ning
- In:
Finance research letters
19
(
2016
),
pp. 204-208
Persistent link: https://www.econbiz.de/10011657637
Saved in:
10
Nearly exact option price simulation using characteristic functions
Bernard, Carole
;
Cui, Zhenyu
;
McLeish, Don L.
- In:
International journal of theoretical and applied finance
15
(
2012
)
7
,
pp. 1-29
Persistent link: https://www.econbiz.de/10009685897
Saved in:
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