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~isPartOf:"The journal of derivatives : JOD"
~person:"Carr, Peter"
~person:"Cui, Zhenyu"
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Option pricing theory
5
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Carr, Peter
Cui, Zhenyu
Taylor, Stephen
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The journal of derivatives : JOD
Mathematical finance : an international journal of mathematics, statistics and financial theory
7
Finance and stochastics
6
European journal of operational research : EJOR
5
Finance
5
International journal of theoretical and applied finance
5
Stevens Institute of Technology School of Business Research Paper
5
The journal of computational finance
5
Finance research letters
4
Journal of financial economics
4
The journal of finance : the journal of the American Finance Association
4
Applied mathematical finance
3
International journal of financial engineering
3
Computational economics
2
European finance review : the official journal of the European Finance Association
2
Finance and Stochastics
2
Journal of banking & finance
2
Journal of economic dynamics & control
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Journal of risk
2
Quantitative finance
2
Review of Derivatives Research
2
Review of derivatives research
2
The journal of derivatives : the official publication of the International Association of Financial Engineers
2
The journal of fixed income
2
The journal of futures markets
2
The review of financial studies
2
Application of operations research to financial markets
1
Asia-Pacific financial markets
1
Bloomberg Portfolio Research Paper
1
Computers & Mathematics with Applications
1
Discussion paper series
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Economics Papers from University Paris Dauphine
1
Insurance / Mathematics & economics
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Journal of financial and quantitative analysis : JFQA
1
Journal of financial engineering
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Journal of investment management : JOIM
1
Mathematical methods of operations research : ZOR
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Mathematics and financial economics
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NYU Tandon Research Paper
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ECONIS (ZBW)
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1
Vol, skew, and smile trading
Al-Jaaf, Aşty
;
Carr, Peter
- In:
The journal of derivatives : JOD
31
(
2023
)
1
,
pp. 64-95
Persistent link: https://www.econbiz.de/10014422386
Saved in:
2
Semi-analytical
pricing
of barrier options in the time-dependent Heston model
Carr, Peter
;
Itkin, Andrey
;
Muravey, Dmitry
- In:
The journal of derivatives : JOD
30
(
2022
)
2
,
pp. 141-171
Persistent link: https://www.econbiz.de/10014231115
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
A closed-form model-free implied volatility formula through delta families
Cui, Zhenyu
;
Kirkby, Justin
;
Nguyen, Duy
;
Taylor, Stephen
- In:
The journal of derivatives : JOD
28
(
2021
)
4
,
pp. 111-127
Persistent link: https://www.econbiz.de/10012612926
Saved in:
5
Semi-analytical solutions for barrier and American options written on a time-dependent Ornstein-Uhlenbeck process
Carr, Peter
;
Itkin, Andrey
- In:
The journal of derivatives : JOD
29
(
2021
)
1
,
pp. 9-26
Persistent link: https://www.econbiz.de/10012612941
Saved in:
6
A model-free fourier cosine method for estimating the risk-neutral density
Cui, Zhenyu
;
Yu, Zixiao
- In:
The journal of derivatives : JOD
29
(
2021
)
2
,
pp. 149-171
Persistent link: https://www.econbiz.de/10012698129
Saved in:
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