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~person:"Cai, Ning"
~person:"Fabozzi, Frank J."
~person:"Sandmann, Klaus"
~subject:"Optionsgeschäft"
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Search: subject_exact:"Optionsbewertung"
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Optionsgeschäft
Option pricing theory
102
Optionspreistheorie
102
Stochastic process
33
Stochastischer Prozess
33
Option trading
20
Theorie
20
Theory
20
Derivat
19
Derivative
19
Volatility
16
Volatilität
16
Yield curve
14
Zinsstruktur
14
CAPM
12
Portfolio selection
10
Portfolio-Management
10
Black-Scholes model
7
Black-Scholes-Modell
7
Markov chain
7
Markov-Kette
7
Statistical distribution
7
Statistische Verteilung
7
Financial economics
6
Finanzmathematik
6
Kapitalmarkttheorie
6
Mathematical finance
6
ARCH model
5
ARCH-Modell
5
Anleihe
5
Bond
5
Hedging
5
Lebensversicherung
5
Life insurance
5
Option pricing
5
Swap
5
Arbitrage
4
Capital income
4
Credit risk
4
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4
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Cai, Ning
Fabozzi, Frank J.
Sandmann, Klaus
Hull, John
25
Cui, Zhenyu
21
Wang, Xingchun
20
Joshi, Mark S.
17
Madan, Dilip B.
17
Stentoft, Lars
17
Lee, Hangsuck
15
Carr, Peter
14
Fusai, Gianluca
13
Zhang, Jin E.
13
Orosi, Greg
12
Guirguis, Michel
11
Jacobs, Kris
11
Schoutens, Wim
11
Alghalith, Moawia
10
Ewald, Christian-Oliver
10
Kräussl, Roman
10
Levendorskii, Sergei
10
Perrakis, Stylianos
10
Ryu, Doojin
10
Zanette, Antonino
10
Chen, An
9
Kwok, Yue-Kuen
9
Kyriakou, Ioannis
9
Li, Lingfei
9
Stork, Philip
9
Takahashi, Akihiko
9
Zhu, Song-Ping
9
Alexander, Carol
8
Bayraktar, Erhan
8
Bernales, Alejandro
8
Bernard, Carole
8
Broeders, Dirk
8
Constantinides, George M.
8
Escobar, Marcos
8
He, Xin-Jiang
8
Hobson, David G.
8
Kirkby, J. Lars
8
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Operations research
4
Journal of economic dynamics & control
2
Valuation, financial modeling, and quantitative tools
2
Discussion paper / B
1
European journal of operational research : EJOR
1
INFORMS journal on computing : JOC
1
Interest rate, term structure, and valuation modeling
1
International journal of theoretical and applied finance
1
Journal of financial and quantitative analysis : JFQA
1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
Mathematics of operations research
1
The handbook of fixed income securities
1
The theory and practice of investment management
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ECONIS (ZBW)
20
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1
Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
Hu, Yuan
;
Lindquist, W. Brent
;
Račev, Svetlozar T.
; …
- In:
Journal of economic dynamics & control
137
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013464578
Saved in:
2
Pricing discretely monitored barrier options : When Malliavin calculus expansions meet Hilbert transforms
Cai, Ning
;
Li, Chenxu
;
Shi, Chao
- In:
Journal of economic dynamics & control
127
(
2021
),
pp. 1-41
Persistent link: https://www.econbiz.de/10012668507
Saved in:
3
Regime classification and stock loan valuation
Cai, Ning
;
Zhang, Wei
- In:
Operations research
68
(
2020
)
4
,
pp. 965-983
Persistent link: https://www.econbiz.de/10012288340
Saved in:
4
Computable error bounds of Laplace inversion for pricing asian options
Song, Yingda
;
Cai, Ning
;
Kou, Steven
- In:
INFORMS journal on computing : JOC
30
(
2018
)
4
,
pp. 634-645
Persistent link: https://www.econbiz.de/10011966537
Saved in:
5
Exact simulation of the SABR model
Cai, Ning
;
Song, Yingda
;
Chen, Nan
- In:
Operations research
65
(
2017
)
4
,
pp. 931-951
Persistent link: https://www.econbiz.de/10011739058
Saved in:
6
An improved method for pricing and hedging long dated American options
Fabozzi, Frank J.
;
Paletta, Tommaso
;
Stanescu, Silvia
; …
- In:
European journal of operational research : EJOR
254
(
2016
)
2
,
pp. 656-666
Persistent link: https://www.econbiz.de/10011509024
Saved in:
7
A general framework for pricing Asian options under Markov processes
Cai, Ning
;
Song, Yingda
;
Kou, Steven
- In:
Operations research
63
(
2015
)
3
,
pp. 540-554
Persistent link: https://www.econbiz.de/10011292278
Saved in:
8
Closed-form expansions of discretely monitored Asian options in diffusion models
Cai, Ning
;
Li, Chenxu
;
Shi, Chao
- In:
Mathematics of operations research
39
(
2014
)
3
,
pp. 789-822
Persistent link: https://www.econbiz.de/10010402956
Saved in:
9
Pricing Asian options under a hyper-exponential jump diffusion model
Cai, Ning
;
Kou, Steven
- In:
Operations research
60
(
2012
)
1
,
pp. 64-77
Persistent link: https://www.econbiz.de/10009532669
Saved in:
10
Option pricing under a mixed-exponential jump diffusion model
Cai, Ning
;
Kou, Steven
- In:
Management science : journal of the Institute for …
57
(
2011
)
11
,
pp. 2067-2081
Persistent link: https://www.econbiz.de/10009406274
Saved in:
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