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  • Search: subject:"Gaver-Wynn rho algorithm"
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Year of publication
Subject
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Fourier transform 3 Laplace inversion 2 Lévy processes 2 Option pricing theory 2 Option trading 2 Optionsgeschäft 2 Optionspreistheorie 2 Stochastic process 2 Stochastischer Prozess 2 barrier options 2 conformal deformations 2 credit default swaps 2 joint distribution of a Lévy process and its extrema 2 lookback options 2 Barrier options 1 Credit derivative 1 Credit risk 1 Extrema of a Lévy process 1 Gaver-Stehfest method 1 Gaver-Wynn rho algorithm 1 Gaver-Wynn-Rho algorithm 1 Gaver–Stehfest method 1 Gaver–Wynn–Rho algorithm 1 Kreditderivat 1 Kreditrisiko 1 Laplace transform 1 Lookback options 1 Lévy process 1 Sinh-acceleration 1 Wiener-Hopf factorisation 1 Wiener-Hopf factorization 1 Wiener–Hopf factorization 1
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Undetermined 2
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Article 3
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2
Language
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English 2 Undetermined 1
Author
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Levendorskij, Sergej Z. 2 Bojarčenko, Svetlana I. 1 LEVENDORSKIĬ, SERGEI 1
Published in...
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Finance and stochastics 1 International Journal of Theoretical and Applied Finance (IJTAF) 1 International journal of theoretical and applied finance 1
Source
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ECONIS (ZBW) 2 RePEc 1
Showing 1 - 3 of 3
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Efficient evaluation of expectations of functions of a Lévy process and its extremum
Bojarčenko, Svetlana I.; Levendorskij, Sergej Z. - In: Finance and stochastics 29 (2025) 2, pp. 443-468
Persistent link: https://www.econbiz.de/10015394806
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METHOD OF PAIRED CONTOURS AND PRICING BARRIER OPTIONS AND CDSs OF LONG MATURITIES
LEVENDORSKIĬ, SERGEI - In: International Journal of Theoretical and Applied … 17 (2014) 05, pp. 1450033-1
For prices of options with barrier and lookback features, defaultable bonds and credit default swaps (CDSs), and probability distribution functions in Lévy models, as well as for joint probability distributions of a Lévy process and its supremum or/and infimum, one can derive explicit...
Persistent link: https://www.econbiz.de/10011011293
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Cover Image
Method of paired contours and pricing barrier options and CDSs of long maturities
Levendorskij, Sergej Z. - In: International journal of theoretical and applied finance 17 (2014) 5, pp. 1-58
Persistent link: https://www.econbiz.de/10010437194
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