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~person:"Riedel, Frank"
~person:"SenGupta, Indranil"
~person:"Yamazaki, Akira"
~subject:"Optionspreistheorie"
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Search: subject:"Levy processes"
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Optionspreistheorie
Lévy processes
8
Option pricing theory
6
Stochastic process
5
Stochastischer Prozess
5
Volatility
5
Volatilität
5
Swap
3
Affine processes
2
Average options
2
Capacity Expansion
2
Financial market
2
Finanzmarkt
2
Ornstein-Uhlenbeck process
2
Quadratic Gaussian processes
2
Sequential Irreversible Investment
2
Singular Control Problem
2
Time-changed Lévy processes
2
stochastic volatility
2
Artificial intelligence
1
Barndorff-Nielsen & Shephard model
1
Barndorff-Nielsen and Shephard model
1
CAPM
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Capacity expansion
1
Characteristic function
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Credit derivative
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Credit risk
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Derivat
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Derivative
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Dividende
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Gamma processes
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Riedel, Frank
SenGupta, Indranil
Yamazaki, Akira
Yamazaki, Kazutoshi
7
Eberlein, Ernst
6
Levendorskij, Sergej Z.
6
Ballotta, Laura
4
Fabozzi, Frank J.
4
Arai, Takuji
3
Barbachan, José Santiago Fajardo
3
Benth, Fred Espen
3
Chan, Tat Lung
3
Gardini, Matteo
3
Hughston, Lane P.
3
Pérez, José-Luis
3
Sabino, Piergiacomo
3
Suzuki, Ryoichi
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
2
Kyriakou, Ioannis
2
Michaelsen, Markus
2
Mordecki, Ernesto
2
Noba, Kei
2
Olivera, Federico de
2
Pérez, José Luis
2
Račev, Svetlozar T.
2
Rémillard, Bruno N.
2
Sasso, Emanuela
2
Schmidt, Thorsten
2
Schoutens, Wim
2
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Annals of financial economics
2
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1
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1
International journal of financial engineering
1
Review of derivatives research
1
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ECONIS (ZBW)
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1
Moments of maximum of
Lévy
processes
: application to barrier and lookback option pricing
Li, Yuan
;
Shiraya, Kenichiro
;
Umezawa, Yuji
;
Yamazaki, Akira
-
2022
Persistent link: https://www.econbiz.de/10013271751
Saved in:
2
Pricing covariance swaps for Barndorff-Nielsen and Shephard process driven financial markets
Habtemicael, Semere
;
SenGupta, Indranil
- In:
Annals of financial economics
11
(
2016
)
3
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011685720
Saved in:
3
Pricing variance and volatility swaps for Barndorff-Nielsen and Shephard process driven financial markets
Habtemicael, Semere
;
SenGupta, Indranil
- In:
International journal of financial engineering
3
(
2016
)
4
,
pp. 1-35
Persistent link: https://www.econbiz.de/10011673089
Saved in:
4
Asset pricing with non-geometric type of dividends
Yamazaki, Akira
- In:
Annals of financial economics
10
(
2015
)
2
,
pp. 1-38
Persistent link: https://www.econbiz.de/10011408577
Saved in:
5
Pricing average options under time-changed
Lévy
processes
Yamazaki, Akira
- In:
Review of derivatives research
17
(
2014
)
1
,
pp. 79-111
Persistent link: https://www.econbiz.de/10010519294
Saved in:
6
Exponential Lévy models extended by a jump to default
Yamazaki, Akira
- In:
Applied mathematical finance
20
(
2013
)
3/4
,
pp. 211-228
Persistent link: https://www.econbiz.de/10010187668
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