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Search: subject:"asymptotic expansions"
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asymptotic expansions
22
Asymptotic expansions
21
Schätztheorie
10
Estimation theory
9
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8
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8
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8
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Kiviet, Jan F.
4
Linton, Oliver
4
Xiao, Zhijie
4
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3
Bun, Maurice J.G.
3
Muhle-Karbe, Johannes
3
Phillips, Peter C.B.
3
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2
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2
Chen, Wenting
2
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2
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2
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2
Smii, Boubaker
2
Soner, H. Mete
2
Soner, Halil Mete
2
Touzi, Nizar
2
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2
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1
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1
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1
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1
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1
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1
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1
Ergashev, Bakhodir A
1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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Annals of the Institute of Statistical Mathematics
5
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4
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Physica A: Statistical Mechanics and its Applications
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RePEc
34
ECONIS (ZBW)
18
EconStor
3
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1
On the asymptotic behavior of the optimal exercise price near expiry of an American put option under stochastic volatility
Chen, Wenting
;
Zhu, Song-Ping
- In:
Journal of Risk and Financial Management
15
(
2022
)
5
,
pp. 1-19
volatility model, such as the Heston model, has not been reported at all. Adopting the method of matched
asymptotic
expansions
…
Persistent link: https://www.econbiz.de/10014332390
Saved in:
2
On the asymptotic behavior of the optimal exercise price near expiry of an American put option under stochastic volatility
Chen, Wenting
;
Zhu, Song-Ping
- In:
Journal of risk and financial management : JRFM
15
(
2022
)
5
,
pp. 1-19
volatility model, such as the Heston model, has not been reported at all. Adopting the method of matched
asymptotic
expansions
…
Persistent link: https://www.econbiz.de/10013273116
Saved in:
3
An econometrician amongst statisticians: T.W. Anderson
Phillips, Peter C. B.
-
2022
Persistent link: https://www.econbiz.de/10013326601
Saved in:
4
A simulation-based method for estimating systemic risk measures
Ye, Wuyi
;
Zhou, Yi
;
Chen, Pengzhan
;
Wu, Bin
- In:
European journal of operational research : EJOR
313
(
2024
)
1
,
pp. 312-324
Persistent link: https://www.econbiz.de/10014456563
Saved in:
5
Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks
Mao, Tiantian
;
Stupfler, Gilles
;
Yang, Fan
- In:
Insurance / Mathematics & economics
111
(
2023
),
pp. 173-192
Persistent link: https://www.econbiz.de/10014317144
Saved in:
6
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:
7
Proof of non-convergence of the short-maturity expansion for the SABR model
Lewis, Alan L.
;
Pirjol, Dan
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1747-1757
Persistent link: https://www.econbiz.de/10013367944
Saved in:
8
Optimization of inventory management logistic model of the machine-building enterprises
Holovan, Olha
;
Oliynyk, Oleksandr
;
Makazan, Yevheniia
- In:
EconWorld working paper series
1
(
2017
)
10
,
pp. 82-96
Persistent link: https://www.econbiz.de/10011797630
Saved in:
9
Optimal investment and utility indifference pricing in the presence of small fixed transaction costs
Feodoria, Mark-Roman
-
2016
Persistent link: https://www.econbiz.de/10012388607
Saved in:
10
Asymptotic expansion for some local volatility models arising in finance
Albeverio, Sergio
;
Cordoni, Francesco
;
Di Persio, Luca
; …
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 527-573
Persistent link: https://www.econbiz.de/10012127266
Saved in:
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