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~type_genre:"Aufsatz in Zeitschrift"
~person:"Cai, Ning"
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Option pricing theory
8
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discretely monitored Asian options
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Aufsatz in Zeitschrift
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Cai, Ning
Ryu, Doojin
24
Wang, Xingchun
22
Zhang, Jin E.
18
Carr, Peter
16
Lee, Hangsuck
14
Kang, Jangkoo
12
Kwok, Yue-Kuen
12
Cui, Zhenyu
11
Zanette, Antonino
11
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10
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10
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9
Chen, Shi
9
Doran, James S.
9
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9
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9
Fusai, Gianluca
9
Schoutens, Wim
9
Wu, Liuren
9
He, Xin-Jiang
8
Joshi, Mark S.
8
Kirkby, J. Lars
8
Orosi, Greg
8
Poteshman, Allen M.
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Ruan, Xinfeng
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Dai, Min
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Kim, Sol
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Ronn, Ehud I.
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Operations research
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INFORMS journal on computing : JOC
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Journal of economic dynamics & control
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Mathematics of operations research
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1
Pricing discretely monitored barrier options : When Malliavin calculus expansions meet Hilbert transforms
Cai, Ning
;
Li, Chenxu
;
Shi, Chao
- In:
Journal of economic dynamics & control
127
(
2021
),
pp. 1-41
Persistent link: https://www.econbiz.de/10012668507
Saved in:
2
Regime classification and stock loan valuation
Cai, Ning
;
Zhang, Wei
- In:
Operations research
68
(
2020
)
4
,
pp. 965-983
Persistent link: https://www.econbiz.de/10012288340
Saved in:
3
Computable error bounds of Laplace inversion for pricing asian options
Song, Yingda
;
Cai, Ning
;
Kou, Steven
- In:
INFORMS journal on computing : JOC
30
(
2018
)
4
,
pp. 634-645
Persistent link: https://www.econbiz.de/10011966537
Saved in:
4
Exact simulation of the SABR model
Cai, Ning
;
Song, Yingda
;
Chen, Nan
- In:
Operations research
65
(
2017
)
4
,
pp. 931-951
Persistent link: https://www.econbiz.de/10011739058
Saved in:
5
A general framework for pricing Asian options under Markov processes
Cai, Ning
;
Song, Yingda
;
Kou, Steven
- In:
Operations research
63
(
2015
)
3
,
pp. 540-554
Persistent link: https://www.econbiz.de/10011292278
Saved in:
6
Closed-form expansions of discretely monitored Asian options in diffusion models
Cai, Ning
;
Li, Chenxu
;
Shi, Chao
- In:
Mathematics of operations research
39
(
2014
)
3
,
pp. 789-822
Persistent link: https://www.econbiz.de/10010402956
Saved in:
7
Pricing Asian options under a hyper-exponential jump diffusion model
Cai, Ning
;
Kou, Steven
- In:
Operations research
60
(
2012
)
1
,
pp. 64-77
Persistent link: https://www.econbiz.de/10009532669
Saved in:
8
Option pricing under a mixed-exponential jump diffusion model
Cai, Ning
;
Kou, Steven
- In:
Management science : journal of the Institute for …
57
(
2011
)
11
,
pp. 2067-2081
Persistent link: https://www.econbiz.de/10009406274
Saved in:
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