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~subject:"Derivat"
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Derivat
Option pricing theory
34
Optionspreistheorie
34
Finite difference method
33
Stochastischer Prozess
21
Stochastic process
20
finite difference method
20
Finite difference
16
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finite difference
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Early Exercise
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Estimation theory
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Schätztheorie
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option pricing
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American option pricing
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Transaktionskosten
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finite difference approximation
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stochastic differential equations
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stochastic volatility
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Tangman, Désiré Yannick
2
Bhuruth, Muddun
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Coonjobeharry, Radha Krishn
1
Dewynne, Jeff N.
1
Dilloo, Mehzabeen Jumanah
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Graaf, Cornelis S. L. de
1
Hassan, Nadima el
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The journal of computational finance
3
Finance research letters
1
International journal of theoretical and applied finance
1
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ECONIS (ZBW)
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The effects of transaction costs and illiquidity on the prices of volatility derivatives
Dilloo, Mehzabeen Jumanah
;
Tangman, Désiré Yannick
- In:
The journal of computational finance
25
(
2021
)
1
,
pp. 51-75
Persistent link: https://www.econbiz.de/10012672309
Saved in:
2
The valuation of self-funding instalment warrants
Dewynne, Jeff N.
;
Hassan, Nadima el
- In:
International journal of theoretical and applied finance
20
(
2017
)
4
,
pp. 1-48
Persistent link: https://www.econbiz.de/10011687010
Saved in:
3
Efficient estimation of sensitivities for counterparty credit risk with the
finite
difference
Monte Carlo method
Graaf, Cornelis S. L. de
;
Kandhai, Drona
;
Sloot, Peter M. A.
- In:
The journal of computational finance
21
(
2017
)
1
,
pp. 83-113
Persistent link: https://www.econbiz.de/10011691615
Saved in:
4
Pricing options under the non-affine stochastic volatility models : an extension of the high-order compact numerical scheme
Shi, Guangping
;
Liu, Xiaoxing
;
Tang, Pan
- In:
Finance research letters
16
(
2016
),
pp. 220-229
Persistent link: https://www.econbiz.de/10011656186
Saved in:
5
A novel partial integrodifferential equation-based framework for pricing interest rate derivatives under jump-extended short-rate models
Coonjobeharry, Radha Krishn
;
Tangman, Désiré Yannick
; …
- In:
The journal of computational finance
18
(
2014/2015
)
4
,
pp. 129-161
Persistent link: https://www.econbiz.de/10011441273
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