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~person:"Cufaro Petroni, Nicola"
~person:"Date, Paresh"
~person:"Ewald, Christian"
~subject:"Derivative"
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Option pricing theory
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Cufaro Petroni, Nicola
Date, Paresh
Ewald, Christian
Lin, Shih-kuei
3
Baczynski, Jack
2
Benth, Fred Espen
2
Bouziane, Markus
2
Kwok, Yue-Kuen
2
Muroi, Yoshifumi
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2
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European journal of operational research : EJOR
2
Quantitative finance
2
Applied mathematical finance
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1
Pricing Asian options with stochastic convenience yield and jumps
Ewald, Christian
;
Wu, Yuexiang
;
Zhang, Aihua
- In:
Quantitative finance
23
(
2023
)
4
,
pp. 677-692
Persistent link: https://www.econbiz.de/10014304306
Saved in:
2
Analytic formulas for futures and options for a linear quadratic
jump
diffusion
model with seasonal stochastic volatility and convenience yield : do fish jump?
Ewald, Christian
;
Zou, Yihan
- In:
European journal of operational research : EJOR
294
(
2021
)
2
,
pp. 801-815
Persistent link: https://www.econbiz.de/10012595911
Saved in:
3
Fast pricing of energy derivatives with mean-reverting
jump-diffusion
processes
Sabino, Piergiacomo
;
Cufaro Petroni, Nicola
- In:
Applied mathematical finance
28
(
2021
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012625980
Saved in:
4
Pricing exchange options with correlated
jump
diffusion
processes
Cufaro Petroni, Nicola
;
Sabino, Piergiacomo
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1811-1823
Persistent link: https://www.econbiz.de/10012313516
Saved in:
5
Electricity futures price models : calibration and forecasting
Islyaev, Suren
;
Date, Paresh
- In:
European journal of operational research : EJOR
247
(
2015
)
1
,
pp. 144-154
Persistent link: https://www.econbiz.de/10011347115
Saved in:
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