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Search: subject:"jump diffusion"
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Option pricing theory
4
Optionspreistheorie
4
Stochastic process
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Stochastischer Prozess
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Derivat
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Derivative
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Option trading
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Optionsgeschäft
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Barone-Adesi and Whaley approximation
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Bond
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Estimation theory
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Hamilton-Jacobi-Bellman equations
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Interest rate derivative
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Jump diffusion
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Schätztheorie
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bond
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derivatives pricing
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exotic options
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finite difference
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free-boundary problems
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interest rate option
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jump-diffusion
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jump-diffusion model
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jump-diffusion models
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jump-diffusion process
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matrix exponential
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partial integro-differential equation (PIDE)
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partial integrodifferential equation
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Finance
The journal of computational finance
International journal of theoretical and applied finance
26
International Journal of Theoretical and Applied Finance (IJTAF)
21
Insurance / Mathematics & economics
18
Quantitative finance
15
Risk-Sensitive Investment Management
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Journal of banking & finance
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Finance and Stochastics
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European journal of operational research : EJOR
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International journal of financial engineering
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Statistics & Probability Letters
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Review of Derivatives Research
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The European journal of finance
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Mathematical Methods of Operations Research
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Review of derivatives research
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Scandinavian actuarial journal
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Journal of econometrics
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Mathematics of operations research
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Review of Quantitative Finance and Accounting
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Review of quantitative finance and accounting
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Risks
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The North American journal of economics and finance : a journal of financial economics studies
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On extensions of the Barone-Adesi and Whaley method to price American-type options
Mathys, Ludovic
- In:
The journal of computational finance
24
(
2020
)
2
,
pp. 33-76
Persistent link: https://www.econbiz.de/10012543615
Saved in:
2
European option pricing under geometric Lévy processes with proportional transaction costs
Xing, Haipeng
;
Yu, Yang
;
Lim, Tiong Wee
- In:
The journal of computational finance
21
(
2017/2018
)
2
,
pp. 101-127
Persistent link: https://www.econbiz.de/10011848317
Saved in:
3
Accelerated trinomial trees applied to American basket options and American options under the Bates model
O'Sullivan, Conall
;
O'Sullivan, Stephen
- In:
The journal of computational finance
19
(
2016
)
4
,
pp. 29-72
Persistent link: https://www.econbiz.de/10011603176
Saved in:
4
Efficient solution of backward
jump-diffusion
partial integro-differential equations with splitting and matrix exponentials
Itkin, Andrey
- In:
The journal of computational finance
19
(
2016
)
3
,
pp. 29-70
Persistent link: https://www.econbiz.de/10011563465
Saved in:
5
A novel partial integrodifferential equation-based framework for pricing interest rate derivatives under jump-extended short-rate models
Coonjobeharry, Radha Krishn
;
Tangman, Désiré Yannick
; …
- In:
The journal of computational finance
18
(
2014/2015
)
4
,
pp. 129-161
Persistent link: https://www.econbiz.de/10011441273
Saved in:
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