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~person:"Cui, Zhenyu"
~person:"Matsushima, Noriaki"
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Search: subject:"Continuous Time"
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Entry timing
6
Hotelling model
6
Option pricing theory
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Optionspreistheorie
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Markov chain
5
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5
Continuous-time Markov chain
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Cui, Zhenyu
Matsushima, Noriaki
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
Scalas, Enrico
12
Nuño, Galo
11
Steg, Jan-Henrik
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
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6
Fabbri, Giorgio
6
Folmer, Henk
6
Franke, Reiner
6
Hernández-Lerma, Onésimo
6
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6
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3
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3
European journal of operational research : EJOR
2
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2
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1
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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
Demand uncertainty, product differentiation, and entry timing under spatial competition
Ebina, Takeshi
;
Matsushima, Noriaki
;
Nishide, Katsumasa
-
2017
continuous-time
spatial competition duopoly model a la d'Aspremont et al. (1979). Under a sequential equilibrium, the threshold …
Persistent link: https://www.econbiz.de/10012013675
Saved in:
6
Product differentiation and entry timing in a
continuous-time
spatial competition model with vertical relations
Ebina, Takeshi
;
Matsushima, Noriaki
-
2017
We study the entry timing and location decisions of two exclusive buyer-supplier relationships in a
continuous-time
…
Persistent link: https://www.econbiz.de/10012013677
Saved in:
7
Product differentiation and entry timing in a
continuous-time
spatial competition model with vertical relations
Ebina, Takeshi
;
Matsushima, Noriaki
-
2017
We study the entry timing and location decisions of two exclusive buyer-supplier relationships in a
continuous-time
…
Persistent link: https://www.econbiz.de/10011723843
Saved in:
8
Demand uncertainty, product differentiation, and entry timing under spatial competition
Ebina, Takeshi
;
Matsushima, Noriaki
;
Nishide, Katsumasa
-
2017
continuous-time
spatial competition duopoly model a la d'Aspremont et al. (1979). Under a sequential equilibrium, the threshold …
Persistent link: https://www.econbiz.de/10011671810
Saved in:
9
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:
10
Product differentiation and entry timing in a
continuous
time
spatial competition model
Ebina, Takeshi
;
Matsushima, Noriaki
;
Shimizu, Daisuke
-
2014
We extend the well-known spatial competition model (d'Aspremont et al., 1979) to a
continuous
time
model in which two …
Persistent link: https://www.econbiz.de/10011421460
Saved in:
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