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~isPartOf:"European journal of operational research : EJOR"
~isPartOf:"Journal of economic dynamics & control"
~person:"Li, Lingfei"
~subject:"Option pricing theory"
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Option pricing theory
Optionspreistheorie
3
Eigenfunction expansions
2
Optimal stopping
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Option pricing
2
Stochastic process
2
Stochastischer Prozess
2
Anleihe
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Bond
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Callable bonds
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Derivat
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Derivative
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Drawdown
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Finance
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Hedging
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Interest rate
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Interest rate models
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Linear complementarity problem
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Markov chain
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Markov chain approximation
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Markov-Kette
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Mathematical programming
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Mathematische Optimierung
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Option trading
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Options embedded in bonds
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Optionsgeschäft
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Pure jump
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Search theory
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Stochastic games
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Stochastic time changes
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Suchtheorie
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Time change
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VIX derivatives
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Volatility
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Volatilität
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Li, Lingfei
Cui, Zhenyu
7
Dai, Min
5
Fabozzi, Frank J.
5
Fusai, Gianluca
5
Kirkby, J. Lars
5
Nguyen, Duy
5
Zenios, Stauros Andrea
5
Liu, Xiaoquan
4
Marazzina, Daniele
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Badescu, Alexandru
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Branger, Nicole
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Broadie, Mark
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Chang, Chien-hung
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Chiarella, Carl
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Chockalingam, Arun
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Elliott, Robert J.
3
Fanelli, Viviana
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Germano, Guido
3
Glasserman, Paul
3
Joshi, Mark S.
3
Kort, Peter M.
3
Kwok, Yue-Kuen
3
Leisen, Dietmar
3
Li, Chenxu
3
Lin, Yueh-neng
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Liu, Yanchu
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Pflug, Georg
3
Shiraya, Kenichiro
3
Tunaru, Radu
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Wong, Hoi Ying
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Yang, Zhaojun
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Zhang, Jin E.
3
Ballestra, Luca Vincenzo
2
Ballotta, Laura
2
Balter, Anne G.
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Ben-Ameur, Hatem
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Boyle, Phelim P.
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European journal of operational research : EJOR
Journal of economic dynamics & control
Finance and stochastics
3
Quantitative finance
2
International journal of financial engineering
1
Mathematical Finance, Forthcoming
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
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Operations research
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Operations research letters
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Review of derivatives research
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ECONIS (ZBW)
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1
Pricing American drawdown options under Markov models
Zhang, Xiang
;
Li, Lingfei
;
Zhang, Gongqiu
- In:
European journal of operational research : EJOR
293
(
2021
)
3
,
pp. 1188-1205
Persistent link: https://www.econbiz.de/10012533822
Saved in:
2
Pure jump models for pricing and hedging VIX derivatives
Li, Jing
;
Li, Lingfei
;
Zhang, Gongqiu
- In:
Journal of economic dynamics & control
74
(
2017
),
pp. 28-55
Persistent link: https://www.econbiz.de/10011740472
Saved in:
3
Evaluating callable and putable bonds : an eigenfunction expansion approach
Lim, Dongjae
;
Li, Lingfei
;
Linetsky, Vadim
- In:
Journal of economic dynamics & control
36
(
2012
)
12
,
pp. 1888-1908
Persistent link: https://www.econbiz.de/10009701917
Saved in:
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