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~person:"Cui, Zhenyu"
~subject:"Option pricing theory"
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Option pricing theory
Optionspreistheorie
6
Markov chain
5
Markov-Kette
5
Continuous-time Markov chain
4
Stochastic process
4
Stochastischer Prozess
4
Option pricing
3
Option trading
3
Optionsgeschäft
3
Continuous-time Markov chains
2
Finance
2
Markov process
2
Volatility
2
Volatilität
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American option pricing
1
American options
1
Asian option
1
Bermudan options
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Black-Scholes model
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Black-Scholes-Modell
1
Convergence rates
1
Derivat
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Derivative
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Early exercise premium
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Greece
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Greeks
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Griechenland
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Heston model
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Integral equation
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Laplace Transform
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Laplace inversion
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Laplace transform
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Local time
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Non-uniform grids
1
Optimal stopping
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Path-dependent options
1
Private Altersvorsorge
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Private retirement provision
1
Probability theory
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Cui, Zhenyu
Benth, Fred Espen
2
De Angelis, Tiziano
2
Dorfleitner, Gregor
2
Elliott, Robert J.
2
Ferrari, Giorgio
2
Gerer, Johannes
2
Kirkby, J. Lars
2
Ma, Jingtang
2
Martyr, Randall
2
Moriarty, John
2
Tong, Zhigang
2
Yang, Wensheng
2
Blanco, Sara Ana Solanilla
1
Bodie, Zvi
1
Brockhaus, Oliver
1
Cai, Ning
1
Chen, Carl R.
1
Ding, Kailin
1
Dokučaev, Nikolaj G.
1
Dontis-Charitos, Panagiotis
1
Dubois, Mathieu
1
El Alabi, Emilio
1
Fan, Yunfeng
1
Gapeev, Pavel V.
1
Geršôn, Dāwid
1
Gough, Orla
1
Hamada, Ahmed S.
1
Haslip, Gareth G.
1
He, Xin-Jiang
1
Herzberg, Frederik
1
Hoek, John van der
1
Horst, Ulrich
1
Ji, Huang
1
Kaishev, Vladimir K.
1
Klüppelberg, Claudia
1
Kolb, Aaron M.
1
Kou, Steven
1
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1
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European journal of operational research : EJOR
2
Quantitative finance
2
Journal of economic dynamics & control
1
Mathematical methods of operations research : ZOR
1
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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
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
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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