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Search: subject:"timer options"
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Option pricing theory
5
Optionspreistheorie
5
Stochastic process
4
Stochastischer Prozess
4
Timer options
4
Volatility
4
Volatilität
4
Option trading
3
Optionsgeschäft
3
Derivat
2
Derivative
2
Hitting time
2
asymptotic expansion
2
closed-form approximation
2
models
2
stochastic volatility
2
timer options
2
3/2 model
1
Analytic Approximation
1
Analytic methods
1
Asymptotic expansion
1
Bessel processes
1
Derivative pricing
1
Finite-Maturity Timer Options
1
Finite-maturity timer options
1
Hilbert transform
1
Integrated Diffusion
1
Integrated diffusion process
1
Interest rate
1
Perturbation
1
Stochastic interest rate models
1
Stochastic volatility models
1
Yield curve
1
Zins
1
Zinsstruktur
1
discrete monitoring
1
pertubation
1
perturbation
1
realized variance
1
stoachastic volatility models
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Free
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Article
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Article in journal
5
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English
5
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3
Author
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Li, Minqiang
3
Zeng, Pingping
2
Zheng, Wendong
2
Deng, Dongya
1
Kwok, Yue-Kuen
1
LI, MINQIANG
1
Lai, Yongzeng
1
Li, Chenxu
1
MERCURIO, FABIO
1
Ma, Jingtang
1
Mercurio, Fabio
1
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
2
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International journal of theoretical and applied finance
2
MPRA Paper
2
Applied mathematical finance
1
International Journal of Theoretical and Applied Finance (IJTAF)
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
The North American journal of economics and finance : a journal of financial economics studies
1
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ECONIS (ZBW)
5
RePEc
3
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1
Analytic Approximation of Finite-Maturity Timer Option Prices
Li, Minqiang
-
Volkswirtschaftliche Fakultät, …
-
2014
We develop an approximation technique for pricing finite-maturity
timer
options
under Heston-like stochastic volatility …
Persistent link: https://www.econbiz.de/10011111821
Saved in:
2
Derivatives Pricing on Integrated Diffusion Processes: A General Perturbation Approach
Li, Minqiang
-
Volkswirtschaftliche Fakultät, …
-
2014
, European vanilla options, timer forwards, and
timer
options
. Major advantages of the proposed technique include extremely fast …
Persistent link: https://www.econbiz.de/10011113493
Saved in:
3
Pricing
timer
options
and variance derivatives with closed-form partial transform under the 3/2 model
Zheng, Wendong
;
Zeng, Pingping
- In:
Applied mathematical finance
23
(
2016
)
5/6
,
pp. 344-373
Persistent link: https://www.econbiz.de/10011704259
Saved in:
4
Bessel processes, stochastic volatility, and
timer
options
Li, Chenxu
- In:
Mathematical finance : an international journal of …
26
(
2016
)
1
,
pp. 122-148
Persistent link: https://www.econbiz.de/10011550172
Saved in:
5
Explicit approximate analytic formulas for timer option pricing with stochastic interest rates
Ma, Jingtang
;
Deng, Dongya
;
Lai, Yongzeng
- In:
The North American journal of economics and finance : a …
34
(
2015
),
pp. 1-21
Persistent link: https://www.econbiz.de/10011539653
Saved in:
6
Fast Hilbert transform algorithms for pricing discrete
timer
options
under stochastic volatility models
Zeng, Pingping
;
Kwok, Yue-Kuen
;
Zheng, Wendong
- In:
International journal of theoretical and applied finance
18
(
2015
)
7
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011404362
Saved in:
7
CLOSED-FORM APPROXIMATION OF PERPETUAL TIMER OPTION PRICES
LI, MINQIANG
;
MERCURIO, FABIO
- In:
International Journal of Theoretical and Applied …
17
(
2014
)
04
,
pp. 1450026-1
We develop an asymptotic expansion technique for pricing
timer
options
in stochastic volatility models when the effect …
Persistent link: https://www.econbiz.de/10010785478
Saved in:
8
Closed-form approximation of perpetual timer option prices
Li, Minqiang
;
Mercurio, Fabio
- In:
International journal of theoretical and applied finance
17
(
2014
)
4
,
pp. 1-34
Persistent link: https://www.econbiz.de/10010391503
Saved in:
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