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Option pricing theory
8
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jump diffusion
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Ma, Changfu
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International journal of financial engineering
International journal of theoretical and applied finance
26
International Journal of Theoretical and Applied Finance (IJTAF)
21
Insurance / Mathematics & economics
18
Quantitative finance
15
Risk-Sensitive Investment Management
15
Journal of banking & finance
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Finance and Stochastics
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Finance research letters
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Journal of mathematical finance
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Energy economics
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European journal of operational research : EJOR
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Insurance: Mathematics and Economics
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Review of Derivatives Research
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SFB 649 Discussion Paper
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The European journal of finance
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Computational Statistics
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Energy Economics
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Mathematical Methods of Operations Research
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Operations research letters
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Stochastic Processes and their Applications
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The journal of computational finance
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ECONIS (ZBW)
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1
Binomial tree method for option pricing : discrete Carr and Madan formula approach
Muroi, Yoshifumi
;
Saeki, Ryota
;
Suda, Shintaro
- In:
International journal of financial engineering
8
(
2021
)
2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012662360
Saved in:
2
Willow tree algorithms for pricing VIX derivatives under stochastic volatility models
Ma, Changfu
;
Xu, Wei
;
Kwok, Yue-Kuen
- In:
International journal of financial engineering
7
(
2020
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012602678
Saved in:
3
On the consistency of
jump-diffusion
dynamics for FX rates under inversion
Graceffa, Federico
;
Brigo, Damiano
;
Pallavicini, Andrea
- In:
International journal of financial engineering
7
(
2020
)
4
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012603771
Saved in:
4
The semi-martingale equilibrium equity premium for risk-neutral investors
Mukupa, George M.
;
Offen, Elias R.
- In:
International journal of financial engineering
5
(
2018
)
4
,
pp. 1-15
Persistent link: https://www.econbiz.de/10012028816
Saved in:
5
A hybrid Markov chain-tree valuation framework for stochastic volatility
jump
diffusion
models
Nguyen, Duy
- In:
International journal of financial engineering
5
(
2018
)
4
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012028829
Saved in:
6
Efficient valuation and exercise boundary of American fractional lookback option in a mixed
jump-diffusion
model
Yang, Zhaoqiang
- In:
International journal of financial engineering
4
(
2017
)
2/3
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011778276
Saved in:
7
The pricing of average options with
jump
diffusion
processes in the uncertain volatility model
Fan, Yulian
;
Zhang, Huadong
- In:
International journal of financial engineering
4
(
2017
)
1
,
pp. 1-31
Persistent link: https://www.econbiz.de/10011673109
Saved in:
8
Analytical valuation of autocallable notes
Guillaume, Tristan
- In:
International journal of financial engineering
2
(
2015
)
2
,
pp. 1-23
Persistent link: https://www.econbiz.de/10011333447
Saved in:
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