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  • Search: subject:"polynomial jump-diffusion"
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Year of publication
Subject
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Option pricing theory 3 Optionspreistheorie 3 Stochastic process 3 Stochastischer Prozess 3 polynomial jump-diffusion 3 American corridor option 2 Double barrier option 2 Option trading 2 Optionsgeschäft 2 linear programming 2 moments 2 partial barrier option 2 Asian option 1 Correlation 1 Derivat 1 Derivative 1 Dividend 1 Dividend derivatives 1 Dividende 1 Greeks 1 Hermite polynomials 1 Interest rate 1 Interest rate derivative 1 Korrelation 1 Mathematical programming 1 Mathematische Optimierung 1 Method of moments 1 Momentenmethode 1 Monte Carlo simulation 1 Monte-Carlo-Simulation 1 Yield curve 1 Zins 1 Zinsderivat 1 Zinsstruktur 1 correlators 1 interest rates 1 moment-based option pricing 1 option pricing 1 orthogonal polynomials 1 polynomial jump-diffusion process 1
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Online availability
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Undetermined 2 Free 1
Type of publication
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Article 3 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 3 Undetermined 1
Author
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ERIKSSON, BJORN 1 Eriksson, Bjorn 1 Filipović, Damir 1 Lavagnini, Silvia 1 PISTORIUS, MARTIJN 1 Pistorius, Martijn 1 Willems, Sander 1
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Published in...
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International journal of theoretical and applied finance 2 International Journal of Theoretical and Applied Finance (IJTAF) 1 Research paper series / Swiss Finance Institute 1
Source
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ECONIS (ZBW) 3 RePEc 1
Showing 1 - 4 of 4
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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
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A term-structure model for dividends and interest rates
Filipović, Damir; Willems, Sander - 2017
Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump-diffusions to jointly price the term structures of dividends and interest rates. Prices for dividend futures, bonds, and...
Persistent link: https://www.econbiz.de/10011874740
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METHOD OF MOMENTS APPROACH TO PRICING DOUBLE BARRIER CONTRACTS IN POLYNOMIAL JUMP-DIFFUSION MODELS
ERIKSSON, BJORN; PISTORIUS, MARTIJN - In: International Journal of Theoretical and Applied … 14 (2011) 07, pp. 1139-1158
polynomial jump-diffusion. By general principles the price is linked to certain infinite dimensional linear programming problems …
Persistent link: https://www.econbiz.de/10009393843
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Method of moments approach to pricing double barrier contracts in polynomial jump-diffusion models
Eriksson, Bjorn; Pistorius, Martijn - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1139-1158
Persistent link: https://www.econbiz.de/10009407659
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