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~person:"Cui, Zhenyu"
~subject:"Continuous-time Markov chain"
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Continuous-time Markov chain
Option pricing theory
6
Optionspreistheorie
6
Markov chain
5
Markov-Kette
5
Stochastic process
4
Stochastischer Prozess
4
Option pricing
3
Option trading
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Continuous-time Markov chains
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Finance
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American option pricing
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American options
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Cui, Zhenyu
Magnus, Jan R.
2
Piunovskiy, Alexey
2
Sentana, Enrique
2
Zhang, Yi
2
Barros, Anne
1
Bretó, Carles
1
Creemers, Stefan
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Ding, Kailin
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Eksi-Altay, Zehra
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Selcuk-Kestel, A. Sevtap
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Tan, Bing Qing
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Vachon, Marie-Claude
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Wang, Yongjin
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European journal of operational research : EJOR
2
Quantitative finance
2
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ECONIS (ZBW)
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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
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:
3
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:
4
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:
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