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~person:"Ballotta, Laura"
~person:"Chan, Tat Lung"
~person:"Schoutens, Wim"
~subject:"Stochastic process"
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Stochastic process
Lévy processes
10
Option pricing theory
9
Optionspreistheorie
9
Stochastischer Prozess
9
Levy processes
5
Option trading
4
Optionsgeschäft
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Ballotta, Laura
Chan, Tat Lung
Schoutens, Wim
Yamazaki, Kazutoshi
10
Eberlein, Ernst
7
Levendorskij, Sergej Z.
6
Fabozzi, Frank J.
4
Pérez, José-Luis
4
Arai, Takuji
3
Barbachan, José Santiago Fajardo
3
Benth, Fred Espen
3
Gardini, Matteo
3
Hughston, Lane P.
3
Sabino, Piergiacomo
3
Schmidt, Thorsten
3
Suzuki, Ryoichi
3
Yamazaki, Akira
3
Ben-Ameur, Hatem
2
Bianchi, Michele Leonardo
2
Bojarčenko, Svetlana I.
2
Bouzianis, George
2
Chérif, Rim
2
Elliott, Robert J.
2
Fusai, Gianluca
2
Gerhart, Christoph
2
Guerra, João
2
Habtemicael, Semere
2
Imai, Yuto
2
Junca, Mauricio
2
Kallsen, Jan
2
Kirkby, J. Lars
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Krühner, Paul
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Kyriakou, Ioannis
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Mayer, Philipp
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Michaelsen, Markus
2
Mordecki, Ernesto
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Noba, Kei
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Annals of finance
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Computational economics
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European journal of operational research : EJOR
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Insurance / Mathematics & economics
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1
Performance of advanced stock price models when it becomes exotic : an empirical study
Junike, Gero
;
Schoutens, Wim
;
Stier, Hauke
- In:
Annals of finance
18
(
2022
)
1
,
pp. 109-119
Persistent link: https://www.econbiz.de/10013194639
Saved in:
2
Fourier based methods for the management of complex life insurance products
Ballotta, Laura
;
Eberlein, Ernst
;
Schmidt, Thorsten
; …
- In:
Insurance / Mathematics & economics
101
(
2021
)
2
,
pp. 320-341
Persistent link: https://www.econbiz.de/10012793930
Saved in:
3
Hedging and pricing early-exercise options with complex fourier series expansion
Chan, Tat Lung
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-25
Persistent link: https://www.econbiz.de/10012666044
Saved in:
4
Variable annuities in a Lévy-based hybrid model with surrender risk
Ballotta, Laura
;
Eberlein, Ernst
;
Schmidt, Thorsten
; …
- In:
Quantitative finance
20
(
2020
)
5
,
pp. 867-886
Persistent link: https://www.econbiz.de/10012262632
Saved in:
5
Multivariate asset models using
Lévy
processes
and applications
Ballotta, Laura
;
Bonfiglioli, Efrem
- In:
The European journal of finance
22
(
2016
)
13/15
,
pp. 1320-1350
Persistent link: https://www.econbiz.de/10011715430
Saved in:
6
Singular Fourier-Padé series expansion of European option prices
Chan, Tat Lung
- In:
Quantitative finance
18
(
2018
)
7
,
pp. 1149-1171
Persistent link: https://www.econbiz.de/10011911530
Saved in:
7
Multivariate FX models with jumps : triangles, Quantos and implied correlation
Ballotta, Laura
;
Deelstra, Griselda
;
Rayée, Grégory
- In:
European journal of operational research : EJOR
260
(
2017
)
3
,
pp. 1181-1199
Persistent link: https://www.econbiz.de/10011714363
Saved in:
8
Hedging of Asian options under exponential Lévy models : computation and performance
Ballotta, Laura
;
Gerrard, Russell
;
Kyriakou, Ioannis
- In:
The European journal of finance
23
(
2017
)
4/6
,
pp. 297-323
Persistent link: https://www.econbiz.de/10011736257
Saved in:
9
Adaptive radial basis function methods for pricing options under jump-diffusion models
Chan, Tat Lung
- In:
Computational economics
47
(
2016
)
4
,
pp. 623-643
Persistent link: https://www.econbiz.de/10011712485
Saved in:
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