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Search: subject:"Geometric Brownian Motion"
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Stochastic process
46
Stochastischer Prozess
46
Geometric Brownian motion
33
Option pricing theory
32
Optionspreistheorie
32
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19
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19
geometric Brownian motion
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International journal of theoretical and applied finance
7
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5
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3
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3
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1
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Journal of Asian finance, economics and business : JAFEB
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Mathematical Methods of Operations Research
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ECONIS (ZBW)
60
RePEc
18
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1
Asymptotics for the Laplace transform of the time integral of the
geometric
Brownian
motion
Pirjol, Dan
;
Zhu, Lingjiong
- In:
Operations research letters
51
(
2023
)
3
,
pp. 346-352
Persistent link: https://www.econbiz.de/10014374962
Saved in:
2
Subleading correction to the Asian options volatility in the black-scholes model
Pirjol, Dan
- In:
International journal of theoretical and applied …
26
(
2023
)
2/3
,
pp. 1-19
Persistent link: https://www.econbiz.de/10014365668
Saved in:
3
Statistical arbitrage : factor investing approach
Akyildirim, Erdinc
;
Goncu, Ahmet
;
Hekimoglu, Alper
; …
- In:
OR spectrum : quantitative approaches in management
45
(
2023
)
4
,
pp. 1295-1331
Persistent link: https://www.econbiz.de/10014519079
Saved in:
4
A new method to solve fuzzy stochastic finance problem
Dash, Jayanta Kumar
;
Panda, Sumitra
;
Panda, Golak Bihari
- In:
Journal of economic studies
49
(
2022
)
2
,
pp. 243-258
Persistent link: https://www.econbiz.de/10013173397
Saved in:
5
Transforming public pensions : a mixed scheme with a credit granted by the state
Boado-Penas, M. Carmen
;
Eisenberg, Julia
;
Korn, Ralf
- In:
Insurance / Mathematics & economics
96
(
2021
),
pp. 140-152
Persistent link: https://www.econbiz.de/10012482791
Saved in:
6
An optimal inventory policy when purchase price follows
geometric
Brownian
motion
process
Kharvi, Suresha
;
Pakkala, T. P. M.
- In:
Opsearch : journal of the Operational Research Society …
58
(
2021
)
4
,
pp. 835-851
Persistent link: https://www.econbiz.de/10012659088
Saved in:
7
Closed form optimal exercise boundary of the American put option
Kitapbayev, Yerkin
- In:
International journal of theoretical and applied finance
24
(
2021
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012650204
Saved in:
8
First-to-default and second-to-default options in models with various information flows
Gapeev, Pavel V.
;
Jeanblanc, Monique
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012652666
Saved in:
9
A parameter based approach to single factor stochastic process selection for real options applications
Bastian-Pinto, Carlos de Lamare
;
Brandão, Luiz Eduardo …
- In:
The European journal of finance
27
(
2021
)
15
,
pp. 1533-1552
Persistent link: https://www.econbiz.de/10012653114
Saved in:
10
Callable barrier reverse convertible securities
Detemple, Jérôme B.
;
Kitapbayev, Yerkin
- In:
Quantitative finance
21
(
2021
)
9
,
pp. 1519-1532
Persistent link: https://www.econbiz.de/10012624152
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