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~subject:"Optionsgeschäft"
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Search: subject:"Levy processes"
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Optionsgeschäft
Lévy processes
228
Stochastischer Prozess
154
Stochastic process
148
Optionspreistheorie
127
Option pricing theory
126
Volatilität
48
Levy processes
46
Volatility
46
Theorie
29
Derivat
28
Derivative
28
Option pricing
25
Lévy Processes
24
Option trading
23
Theory
23
Asset and Liability Management
16
Benchmarked Asset Management
16
Classical Solutions
16
Dynamic Investment Management
16
Hamilton–Jacobi–Bellman Equations
16
Jump Diffusion Processes
16
Kelly Criterion
16
Portfolio selection
16
Portfolio-Management
16
Risk Sensitive Control
16
Stochastic Control
16
Viscosity Solutions
16
option pricing
16
stochastic volatility
14
Statistical distribution
13
Statistische Verteilung
13
Monte Carlo simulation
12
Scale functions
12
Credit risk
11
Yield curve
11
Zinsstruktur
11
multivariate subordinators
11
Barrier options
10
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10
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3
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21
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English
24
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Levendorskij, Sergej Z.
4
Kirkby, J. Lars
2
Kyriakou, Ioannis
2
Schoutens, Wim
2
Arai, Takuji
1
Ballotta, Laura
1
Barbachan, José Santiago Fajardo
1
Benth, Fred Espen
1
Bojarčenko, Svetlana I.
1
Bollin, Bartłomiej
1
Boyarchenko, Mitya
1
Brignone, Riccardo
1
Chan, Tat Lung
1
Chen, Jie
1
Crocce, Fabián
1
Fan, Liaoyuan
1
Fusai, Gianluca
1
Gardini, Matteo
1
Germano, G.
1
Gerrard, Russell
1
Hofer, Markus
1
Häppölä, Juho
1
Innocentis, Marco de
1
Junike, Gero
1
Kawanishi, Yasuhiro
1
Kiessling, Jonas
1
Li, Lingfei
1
Li, Yuan
1
Marazzina, D.
1
Mayer, Klaus
1
Mayer, Philipp
1
Mordecki, Ernesto
1
Olivera, Federico de
1
Phelan, C. E.
1
Sabino, Piergiacomo
1
Schmid, Thomas
1
Shiraya, Kenichiro
1
Stier, Hauke
1
Suzuki, Ryoichi
1
Tempone, Raúl
1
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International journal of theoretical and applied finance
4
Applied mathematical finance
3
Quantitative finance
2
Review of derivatives research
2
The journal of computational finance
2
Advanced modelling in mathematical finance : in honour of Ernst Eberlein
1
Annals of finance
1
Asia-Pacific financial markets
1
CARF working paper
1
International journal of financial engineering
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Mathematics of operations research
1
The European journal of finance
1
The North American journal of economics and finance : a journal of financial economics studies
1
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1
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ECONIS (ZBW)
23
EconStor
1
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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
Variance Gamma model in hedging vanilla and exotic options
Bollin, Bartłomiej
;
Ślepaczuk, Robert
-
2020
Persistent link: https://www.econbiz.de/10012322240
Saved in:
3
Exchange option pricing under variance gamma-like models
Gardini, Matteo
;
Sabino, Piergiacomo
- In:
Applied mathematical finance
29
(
2022
)
6
,
pp. 494-521
Persistent link: https://www.econbiz.de/10014390283
Saved in:
4
A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation
Chen, Jie
;
Fan, Liaoyuan
;
Li, Lingfei
;
Zhang, Gongqiu
- In:
Review of derivatives research
25
(
2022
)
2
,
pp. 189-232
Persistent link: https://www.econbiz.de/10013457614
Saved in:
5
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:
6
Moments of integrated exponential
Lévy
processes
and applications to Asian options pricing
Brignone, Riccardo
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1717-1729
Persistent link: https://www.econbiz.de/10013367942
Saved in:
7
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:
8
Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities
Phelan, C. E.
;
Marazzina, D.
;
Germano, G.
- In:
Quantitative finance
20
(
2020
)
6
,
pp. 899-918
Persistent link: https://www.econbiz.de/10012262635
Saved in:
9
Skewed Lévy models and implied volatility skew
Olivera, Federico de
;
Barbachan, José Santiago Fajardo
; …
- In:
International journal of theoretical and applied finance
21
(
2018
)
2
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011854458
Saved in:
10
Error analysis in Fourier methods for option pricing
Crocce, Fabián
;
Häppölä, Juho
;
Kiessling, Jonas
; …
- In:
The journal of computational finance
21
(
2017
)
1
,
pp. 53-82
Persistent link: https://www.econbiz.de/10011691613
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