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  • Search: subject:"Lévy model"
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Year of publication
Subject
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Option pricing theory 2 Optionspreistheorie 2 Stochastic process 2 Stochastischer Prozess 2 Basket option 1 Closed-form approximation 1 Dynamic programming 1 Dynamische Optimierung 1 Fourier cosine series expansion 1 Lebensversicherung 1 Life insurance 1 Markov chain 1 Markov-Kette 1 Normal tempered stable Lévy model 1 Option pricing 1 Option trading 1 Optionsgeschäft 1 Spread option 1 Statistical distribution 1 Statistische Verteilung 1 VaR 1 Variable annuities 1 backtesting 1 dynamic programming 1 market risk 1 regime-switching Lévy model 1 subordinated Lévy model 1
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Online availability
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Free 3
Type of publication
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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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Ai, Meiqiao 1 Hu, Dongdong 1 Kresta, Ales 1 Sayit, Hasanjan 1 Tichy, Tomas 1 Yao, Jing 1 Zhang, Zhimin 1 Zhong, Qifeng 1 Zhu, Dan 1
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Published in...
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Czech Journal of Economics and Finance (Finance a uver) 1 Scandinavian actuarial journal 1 The North American journal of economics and finance : a journal of theory and practice 1
Source
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ECONIS (ZBW) 2 RePEc 1
Showing 1 - 3 of 3
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Closed-form approximations for basket option pricing under normal tempered stable Lévy model
Hu, Dongdong; Sayit, Hasanjan; Yao, Jing; Zhong, Qifeng - In: The North American journal of economics and finance : a … 74 (2024), pp. 1-22
Persistent link: https://www.econbiz.de/10015134981
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Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models
Ai, Meiqiao; Zhang, Zhimin; Zhu, Dan - In: Scandinavian actuarial journal 2023 (2023) 4, pp. 330-358
Persistent link: https://www.econbiz.de/10014336388
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International Equity Portfolio Risk Modeling: The Case of the NIG Model and Ordinary Copula Functions
Kresta, Ales; Tichy, Tomas - In: Czech Journal of Economics and Finance (Finance a uver) 62 (2012) 2, pp. 141-161
Financial risk modeling and management are very important and challenging tasks for financial institutions’ quantitative units. Owing to the complex nature of portfolios, and given recent financial market developments, contemporary research is focused on tail modeling and/or dependency...
Persistent link: https://www.econbiz.de/10010686516
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