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~person:"Elliott, Robert J."
~subject:"Stochastic process"
~type_genre:"Article in journal"
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Search: subject:"Stochastisches Modell "
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Stochastic process
Stochastischer Prozess
21
Option pricing theory
16
Optionspreistheorie
16
Markov chain
12
Markov-Kette
12
Volatility
7
Volatilität
7
Option trading
6
Optionsgeschäft
6
Theorie
6
Theory
6
Hedging
4
Derivat
3
Derivative
3
ARCH model
2
ARCH-Modell
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Bivariate diffusion limit
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Black-Scholes model
2
Black-Scholes-Modell
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Börsenkurs
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Credit risk
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Esscher transform
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European options
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Lévy processes
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Portfolio selection
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Share price
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Yield curve
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Zinsstruktur
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filtering
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option pricing
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stochastic flows
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Aktienoption
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1
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English
21
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Elliott, Robert J.
Escudero, Laureano F.
40
McAleer, Michael
31
Escobar, Marcos
29
Gendreau, Michel
25
Siu, Tak Kuen
25
Carr, Peter
24
Fabozzi, Frank J.
24
Phillips, Peter C. B.
24
Hainaut, Donatien
23
Asai, Manabu
21
Benth, Fred Espen
21
Wallace, Stein W.
21
Wong, Wing Keung
21
Cui, Zhenyu
20
Madan, Dilip B.
20
Todorov, Viktor
19
Tsionas, Efthymios G.
19
Wong, Hoi Ying
19
Račev, Svetlozar T.
18
Shapiro, Alexander
18
Tauchen, George Eugene
18
Yu, Jun
18
Maggioni, Francesca
16
Rossi, Roberto
16
Takahashi, Akihiko
16
Wang, Xingchun
16
Bayraktar, Erhan
15
Chan, Joshua
15
Post, Thierry
15
Tarim, S. Armagan
15
Chang, Hsu-Ling
14
Jeanblanc, Monique
14
Shen, Yang
14
Su, Chi-Wei
14
Chang, Tsangyao
13
Grasselli, Martino
13
Kim, Young Shin
13
Leung, Tim
13
Levendorskij, Sergej Z.
13
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Annals of finance
4
Applied mathematical finance
2
International journal of theoretical and applied finance
2
Journal of economic dynamics & control
2
The journal of futures markets
2
Asia-Pacific financial markets
1
European journal of operational research : EJOR
1
Finance and stochastics
1
Insurance / Mathematics & economics
1
International journal of theoretical and applied finance : IJTAF
1
Journal of banking & finance
1
OR spectrum : quantitative approaches in management
1
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1
The journal of derivatives : JOD
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ECONIS (ZBW)
21
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1
Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 925-950
Persistent link: https://www.econbiz.de/10014293270
Saved in:
2
A stochastic control approach to bid-ask price modelling
Dela Vega, Engel John C.
;
Elliott, Robert J.
- In:
International journal of theoretical and applied …
25
(
2022
)
4/5
,
pp. 1-30
Persistent link: https://www.econbiz.de/10013371064
Saved in:
3
Optimal asset allocation under search frictions and stochastic interest rate
Wang, Ning
;
Zhu, Song-Ping
;
Elliott, Robert J.
- In:
Quantitative finance
23
(
2023
)
6
,
pp. 1019-1033
Persistent link: https://www.econbiz.de/10014304432
Saved in:
4
American option pricing and filtering with a hidden regime-switching jump diffusion
Siu, Tak Kuen
;
Elliott, Robert J.
- In:
The journal of derivatives : JOD
29
(
2022
)
3
,
pp. 106-123
Persistent link: https://www.econbiz.de/10013174827
Saved in:
5
Approximate pricing of American exchange options with jumps
Lian, Guanghua
;
Elliott, Robert J.
;
Kalev, Petko S.
; …
- In:
The journal of futures markets
42
(
2022
)
6
,
pp. 983-1001
Persistent link: https://www.econbiz.de/10013287907
Saved in:
6
Optimal execution with regime-switching market resilience
Siu, Chi Chung
;
Guo, Ivan
;
Zhu, Song-Ping
;
Elliott, …
- In:
Journal of economic dynamics & control
101
(
2019
),
pp. 17-40
Persistent link: https://www.econbiz.de/10012131017
Saved in:
7
Hedging options in a doubly Markov-modulated financial market via stochastic flows
Siu, Tak Kuen
;
Elliott, Robert J.
- In:
International journal of theoretical and applied finance
22
(
2019
)
8
,
pp. 1-41
Persistent link: https://www.econbiz.de/10012183224
Saved in:
8
A higher-order interactive hidden Markov model and its applications
Zhu, Dong-Mei
;
Ching, Wai Ki
;
Elliott, Robert J.
;
Siu, …
- In:
OR spectrum : quantitative approaches in management
39
(
2017
)
4
,
pp. 1055-1069
Persistent link: https://www.econbiz.de/10011777086
Saved in:
9
Semi-analytical valuation for discrete barrier options under time-dependent Lévy processes
Lian, Guanghua
;
Zhu, Song-Ping
;
Elliott, Robert J.
; …
- In:
Journal of banking & finance
75
(
2017
),
pp. 167-183
Persistent link: https://www.econbiz.de/10011742159
Saved in:
10
A simple efficient approximation to price basket stock options with volatility smile
Wu, Ping
;
Elliott, Robert J.
- In:
Annals of finance
13
(
2017
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011944955
Saved in:
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