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~person:"Cui, Zhenyu"
~person:"Franke, Reiner"
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Search: subject:"Continuous Time"
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Option pricing theory
6
Optionspreistheorie
6
Markov chain
5
Markov-Kette
5
Continuous-time Markov chain
4
Stochastic process
4
Stochastischer Prozess
4
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continuous time
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continuous-time limit
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variable period length
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(in)determinacy.
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American option pricing
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Cui, Zhenyu
Franke, Reiner
Posch, Olaf
30
Wälde, Klaus
20
Friedman, Daniel
15
Andersen, Torben G.
14
Bollerslev, Tim
14
Oprea, Ryan
14
Riedel, Frank
14
Trimborn, Timo
13
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12
Nuño, Galo
11
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10
Diebold, Francis X.
9
Federici, Daniela
9
Flaschel, Peter
9
Gandolfo, Giancarlo
8
Guo, Xianping
8
Parra-Alvarez, Juan Carlos
8
Prieto-Rumeau, Tomás
8
Bayer, Christian
7
Behringer, Stefan
7
Benndorf, Volker
7
Chambers, Marcus J.
7
Ebina, Takeshi
7
Hong, Yongmiao
7
Maggi, Bernardo
7
McAleer, Michael
7
Park, Joon Y.
7
Szydlowski, Martin
7
Yu, Jun
7
Benth, Fred Espen
6
Fabbri, Giorgio
6
Folmer, Henk
6
Hernández-Lerma, Onésimo
6
Herzberg, Frederik
6
Kleinow, Torsten
6
Matsushima, Noriaki
6
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6
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Institut für Makroökonomie und Konjunkturforschung (IMK), Hans Böckler Stiftung
1
Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel
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ECONIS (ZBW)
7
EconStor
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RePEc
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1
Analysis of VIX-linked fee incentives in variable annuities via
continuous-time
Markov chain approximation
MacKay, Anne
;
Vachon, Marie-Claude
;
Cui, Zhenyu
- In:
Quantitative finance
23
(
2023
)
7/8
,
pp. 1055-1078
Persistent link: https://www.econbiz.de/10014321664
Saved in:
2
CTMC integral equation method for American options under stochastic local volatility models
Ma, Jingtang
;
Yang, Wensheng
;
Cui, Zhenyu
- In:
Journal of economic dynamics & control
128
(
2021
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012628259
Saved in:
3
Analysis of Markov chain approximation for Asian options and occupation-time derivatives : Greeks and convergence rates
Yang, Wensheng
;
Ma, Jingtang
;
Cui, Zhenyu
- In:
Mathematical methods of operations research : ZOR
93
(
2021
)
2
,
pp. 359-412
Persistent link: https://www.econbiz.de/10012548535
Saved in:
4
A Markov chain approximation scheme for option pricing under skew diffusions
Ding, Kailin
;
Cui, Zhenyu
;
Wang, Yongjin
- In:
Quantitative finance
21
(
2021
)
3
,
pp. 461-480
Persistent link: https://www.econbiz.de/10012483834
Saved in:
5
An examination of Professor Shaikh's proposal to tame Harrodian instability
Franke, Reiner
- In:
European Journal of Economics and Economic Policies: …
12
(
2015
)
1
,
pp. 7-19
criticized as not credible. The crucial point is that Shaikh's
continuous-time
treatment does not distinguish between forward and …
Persistent link: https://www.econbiz.de/10014363221
Saved in:
6
A general framework for time-changed Markov processes and applications
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
273
(
2019
)
2
,
pp. 785-800
Persistent link: https://www.econbiz.de/10011987591
Saved in:
7
Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes
Cui, Zhenyu
;
Lee, Chihoon
;
Liu, Yanchu
- In:
European journal of operational research : EJOR
266
(
2018
)
3
,
pp. 1134-1139
Persistent link: https://www.econbiz.de/10011812242
Saved in:
8
A Proof of Determinacy in the New-Keynesian Sticky Wages and Prices Model
Franke, Reiner
;
Flaschel, Peter
-
2008
?s
continuous-time
counterpart is mathematically tractable and its determinacy results carry over to the period model at least if …
Persistent link: https://www.econbiz.de/10010296306
Saved in:
9
On the Determinacy of New Keynesian Models with Staggered Wage and Price Setting
Flaschel, Peter
;
Franke, Reiner
;
Proaño, Christian
-
2008
. It is possible if the formulation of the model is translated from discrete to
continuous
time
. Our findings corroborates …
Persistent link: https://www.econbiz.de/10010460568
Saved in:
10
A Proof of Determinacy in the New-Keynesian Sticky Wages and Prices Model
Franke, Reiner
;
Flaschel, Peter
-
Institut für Volkswirtschaftslehre, …
-
2008
?s
continuous-time
counterpart is mathematically tractable and its determinacy results carry over to the period model at least if …
Persistent link: https://www.econbiz.de/10005082919
Saved in:
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