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~person:"Cui, Zhenyu"
~person:"Trimborn, Timo"
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Search: subject:"Continuous Time"
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Stochastischer Prozess
7
Continuous-time DSGE
6
Option pricing theory
6
Optionspreistheorie
6
Waveform Relaxation
6
Markov chain
5
Markov-Kette
5
Poisson uncertainty
5
Stochastic process
5
Continuous-time Markov chain
4
Algorithmus
3
Dynamisches Gleichgewicht
3
Kontrolltheorie
3
Optimal stochastic control
3
Option pricing
3
Option trading
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Optionsgeschäft
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Continuous-time Markov chains
2
Finance
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Markov process
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Theorie
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Transitional dynamics
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Volatility
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Volatilität
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anticipated shocks
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continuous-time DSGE
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continuous-time optimization
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numerical solution
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waveform relaxation
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Algorithm
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American option pricing
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American options
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Asian option
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Balanced growth
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Bermudan options
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Black-Scholes model
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Black-Scholes-Modell
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Continuous-time dynamic models
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Cui, Zhenyu
Trimborn, Timo
Posch, Olaf
30
Wälde, Klaus
20
Friedman, Daniel
15
Andersen, Torben G.
14
Bollerslev, Tim
14
Oprea, Ryan
14
Riedel, Frank
14
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
Benth, Fred Espen
6
Fabbri, Giorgio
6
Folmer, Henk
6
Franke, Reiner
6
Hernández-Lerma, Onésimo
6
Herzberg, Frederik
6
Kleinow, Torsten
6
Matsushima, Noriaki
6
Nijkamp, Peter
6
Patuelli, Roberto
6
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CESifo
2
Wirtschaftswissenschaftliche Fakultät, Leibniz Universität Hannover
2
Institut for Miljø og Erhvervsøkonomi, Syddansk Universitet
1
School of Economics and Management, University of Aarhus
1
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CESifo Working Paper Series
2
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2
European journal of operational research : EJOR
2
Hannover Economic Papers (HEP)
2
Journal of economic dynamics & control
2
Quantitative finance
2
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1
Economics Letters
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ECONIS (ZBW)
8
RePEc
8
EconStor
3
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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
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:
6
On the analysis of endogenous growth models with a balanced growth path
Trimborn, Timo
- In:
Journal of mathematical economics
79
(
2018
),
pp. 40-50
Persistent link: https://www.econbiz.de/10012105590
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
Numerical Solution of Dynamic Equilibrium Models under Poisson Uncertainty
Posch, Olaf
;
Trimborn, Timo
-
CESifo
-
2011
We propose a simple and powerful numerical algorithm to compute the transition process in
continuous-time
dynamic …
Persistent link: https://www.econbiz.de/10009020787
Saved in:
9
Numerical solution of dynamic equilibrium models under Poisson uncertainty
Posch, Olaf
;
Trimborn, Timo
-
2011
We propose a simple and powerful numerical algorithm to compute the transition process in
continuous-time
dynamic …
Persistent link: https://www.econbiz.de/10010274762
Saved in:
10
Numerical solution of
continuous-time
DSGE models under poisson uncertainty
Posch, Olaf
;
Trimborn, Timo
-
2010
We propose a simple and powerful method for determining the transition process in
continuous-time
DSGE models under …
Persistent link: https://www.econbiz.de/10010270397
Saved in:
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