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Search: subject:"jump diffusion"
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option pricing
Optionspreistheorie
249
Option pricing theory
243
Stochastischer Prozess
234
Stochastic process
230
Volatilität
167
Volatility
166
Theorie
94
Theory
88
Jump diffusion
79
Option trading
71
Optionsgeschäft
71
Portfolio selection
70
Portfolio-Management
70
jump diffusion
67
jump-diffusion
54
Jump-diffusion
51
Derivat
48
Derivative
48
CAPM
46
Markov chain
44
Markov-Kette
42
Statistische Verteilung
41
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Jump-diffusion process
37
Monte Carlo simulation
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Option pricing
31
Börsenkurs
29
Capital income
29
Kapitaleinkommen
29
Stochastic volatility
29
Share price
28
jump-diffusion model
27
Monte-Carlo-Simulation
26
Schätzung
26
Estimation
25
Risk
24
jump-diffusion process
24
stochastic volatility
24
Black-Scholes model
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Kahl, Christian
4
Lord, Roger
4
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1
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1
Cont, Rama
1
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1
Dassios, Angelos
1
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1
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1
FLORESCU, IONUT
1
Florescu, Ionuţ
1
Fu, Michael
1
Hofer, Markus
1
Hoogland, Jiri
1
Kalev, Petko S.
1
LIU, RUIHUA
1
Lavagnini, Silvia
1
Lewis, Alan L.
1
Li, Bingqing
1
Li, Guozhen
1
Lian, Guanghua
1
Liu, Rui Hua
1
Lupu, Radu
1
MARIANI, MARIA CRISTINA
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
Neumann, Dimitri
1
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1
Qu, Yan
1
RAMPONI, ALESSANDRO
1
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1
Richards, Timothy J.
1
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1
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1
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1
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International journal of theoretical and applied finance
3
International Journal of Theoretical and Applied Finance (IJTAF)
2
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2
26th Australasian Finance and Banking Conference 2013
1
Applied mathematical finance
1
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RePEc
15
ECONIS (ZBW)
9
EconStor
1
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1
Shot-noise cojumps : exact simulation and option pricing
Qu, Yan
;
Dassios, Angelos
;
Zhao, Hongbiao
- In:
Journal of the Operational Research Society
74
(
2023
)
3
,
pp. 647-665
Persistent link: https://www.econbiz.de/10014331928
Saved in:
2
Approximate pricing of American exchange options with jumps
Lian, Guanghua
;
Elliott, Robert J.
;
Kalev, Petko S.
; …
- In:
The journal of futures markets
42
(
2022
)
6
,
pp. 983-1001
Persistent link: https://www.econbiz.de/10013287907
Saved in:
3
Pricing Asian options with correlators
Lavagnini, Silvia
- In:
International journal of theoretical and applied finance
24
(
2021
)
8
,
pp. 1-44
Persistent link: https://www.econbiz.de/10012887425
Saved in:
4
Analytical option pricing under an asymmetrically displaced double gamma
jump-diffusion
model
Thul, Matthias
;
Zhang, Ally Quan
-
2014
-
Last Update: May 1, 2014
We generalize the Kou (2002) double exponential
jump-diffusion
model in two directions. First, we independently …
Persistent link: https://www.econbiz.de/10011875854
Saved in:
5
Option pricing for a
jump-diffusion
model with general discrete jump-size distributions
Fu, Michael
;
Li, Bingqing
;
Li, Guozhen
;
Wu, Rongwen
- In:
Management science : journal of the Institute for …
63
(
2017
)
11
,
pp. 3961-3977
Persistent link: https://www.econbiz.de/10011772831
Saved in:
6
Pricing and hedging of lookback options in hyper-exponential
jump
diffusion
models
Hofer, Markus
;
Mayer, Philipp
- In:
Applied mathematical finance
20
(
2013
)
5/6
,
pp. 489-511
Persistent link: https://www.econbiz.de/10010235585
Saved in:
7
Numerical schemes for option pricing in regime-switching
jump
diffusion
models
Florescu, Ionuţ
;
Liu, Rui Hua
;
Mariani, Maria Cristina
; …
- In:
International journal of theoretical and applied finance
16
(
2013
)
8
,
pp. 1-25
Persistent link: https://www.econbiz.de/10010243624
Saved in:
8
NUMERICAL SCHEMES FOR OPTION PRICING IN REGIME-SWITCHING
JUMP
DIFFUSION
MODELS
FLORESCU, IONUT
;
LIU, RUIHUA
;
MARIANI, MARIA CRISTINA
; …
- In:
International Journal of Theoretical and Applied …
16
(
2013
)
08
,
pp. 1350046-1
options in a regime-switching
jump
diffusion
model. The new algorithms are based on theoretical analysis in Florescu et al …
Persistent link: https://www.econbiz.de/10010734708
Saved in:
9
Why the Rotation Count Algorithm works
Lord, Roger
;
Kahl, Christian
-
2006
The characteristic functions of many affine
jump-diffusion
models, such as Heston’s stochastic volatility model and all …
Persistent link: https://www.econbiz.de/10010325214
Saved in:
10
Why the rotation count algorithm works
Lord, Roger
;
Kahl, Christian
-
2006
-
This version: July 17th, 2006
The characteristic functions of many affine
jump-diffusion
models, such as Heston’s stochastic volatility model and all …
Persistent link: https://www.econbiz.de/10011349189
Saved in:
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