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Search: isPartOf:"International Journal of Theoretical and Applied Finance (IJTAF)"
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Stochastic process
stochastic volatility
31
option pricing
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Gankhuu, Battulga
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Arai, Takuji
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Bonatto, Luciane Sbaraini
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Dela Vega, Engel John C.
1
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International journal of theoretical and applied finance : IJTAF
14
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1
Dividends and compound poisson processes : a new stochastic stock price model
Gankhuu, Battulga
;
Kleinow, Jacob
;
Lkhamsuren, Altangerel
; …
- In:
International journal of theoretical and applied …
25
(
2022
)
3
,
pp. 1-36
Persistent link: https://www.econbiz.de/10013371034
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 investment and contingent claim valuation with exponential disutility under proportional transaction costs
Roux, Alet
;
Xu, Zhikang
- In:
International journal of theoretical and applied …
25
(
2022
)
4/5
,
pp. 1-45
Persistent link: https://www.econbiz.de/10013371223
Saved in:
4
Vix modeling for a market insider
Hess, Markus
- In:
International journal of theoretical and applied …
26
(
2023
)
4/5
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014497258
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5
Pricing American option using a modified fractional black-scholes model under multi-state regime switching
Yousuf, M.
;
Khaliq, Abdul Q. M.
- In:
International journal of theoretical and applied …
26
(
2023
)
4/5
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014497295
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6
Parameter estimation methods of required rate of return on stock
Gankhuu, Battulga
- In:
International journal of theoretical and applied …
26
(
2023
)
8
,
pp. 1-37
Persistent link: https://www.econbiz.de/10014500270
Saved in:
7
Log-normal stochastic volatility model with quadratic drift
Sepp, Artur
;
Rakhmonov, Parviz
- In:
International journal of theoretical and applied …
26
(
2023
)
8
,
pp. 1-63
Persistent link: https://www.econbiz.de/10014500285
Saved in:
8
Subleading correction to the Asian options volatility in the black-scholes model
Pirjol, Dan
- In:
International journal of theoretical and applied …
26
(
2023
)
2/3
,
pp. 1-19
Persistent link: https://www.econbiz.de/10014365668
Saved in:
9
Markovian stochastic volatility with stochastic correlation : joint calibration and consistency of SPX/VIX short-maturity smiles
Forde, Martin
;
Smith, Benjamin
- In:
International journal of theoretical and applied …
26
(
2023
)
2/3
,
pp. 1-42
Persistent link: https://www.econbiz.de/10014365673
Saved in:
10
The fractional volatility model and rough volatility
Mendes, Rui Vilela
- In:
International journal of theoretical and applied …
26
(
2023
)
2/3
,
pp. 1-12
Persistent link: https://www.econbiz.de/10014365677
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