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Mixed Lognormal Distributions for Derivatives Pricing and...
ideas.repec.org
Dietmar Leisen ... Many derivatives prices and their Greeks are closed-form expressions in the
Mastering Python for Finance: Implement advanced state-of-the-art ...books.google.com › books
books.google.com
... detail. Dr. Dietmar Leisen and Matthias Reimer proposed a binomial tree [98 ] Numerical Methods for Pricing Options Chapter 4 Using a Leisen-Reimer tree.
Quantitative Analysis in Financial Markets: Collected Papers of ...books.google.com › books
books.google.com
... now classical Black - Scholes setup become more and 216 Building a Consistent Pricing Model from Observed Option Prices Jean-Paul Laurent and Dietmar Leisen.
Credit Risk: Pricing, Measurement, and Management - Darrell Duffie,...
books.google.de
In this book, two of America's leading economists provide the first integrated treatment of the conceptual, practical, and empirical foundations for credit...
Pricing the American Put Option: A Detailed Convergence Analysis for...
books.google.de
Dietmar Leisen. Sonderforschungsbereich 303, pages. 0 Reviewshttp://books.google.com/books/about/Pricing_the_American_Put_Option.html?id= ...
Valuation of Barrier Options in a Black-Scholes Setup with Jump Risk...
papers.ssrn.com
This paper discusses the pitfalls in the pricing of barrier options using approximations of the underlying continuous processes via discrete lattice models. To
Analytical American Option Pricing: The Flat‐barrier Lower Boundonlinelibrary.wiley.com › doi › abs
onlinelibrary.wiley.com
· ... Dietmar Leisen, Dilip Madan, Pierre Mella-Barral, Greg Pawlina, Hans Schumacher, Fabio Trojani, Raman Uppal, Bas Werker, the participants of ...
Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricingwww.banqueducanada.ca › › document-de...
www.banqueducanada.ca
von F Chabi-Yo · · Zitiert von: 14 — Fousseni Chabi-Yo, Dietmar Leisen, Eric Renault. Août Disponible en format(s) : PDF. Les chocs asymétriques sont des phénomènes courants sur les ...
Pricing the American Put Option: A Detailed Convergence Analysis for...
core.ac.uk
Pricing the American Put Option: A Detailed Convergence Analysis for Binomial Models. By Dietmar Leisen. Abstract. Viewing binomial models as a discrete ...
Gutenberg University of Mainz: Mainz, Germany present Professor of...
docplayer.net
2 Dietmar Leisen 2 Pricing the American Put Option: A Detailed Convergence Analysis for Binomial Models, Journal of Economic Dynamics and Control 22Binomial Models for Option Valuation - Examining and Improving Convergence, with M. Reimer, Applied Mathematical Finance 3...
Analytic American Option Pricing: The Flat-Barrier Lower Bound - PDF...
docplayer.net
... Magnus Dahlquist, Bernard Dumas, Gianluca Fusai, Jens Jackwert, Dietmar Leisen, Dilip Madan, Pierre Mella-Barral, Greg Pawlina, Hans Schumacher, ...
SCIENTIFIC PROGRAMS AND ACTIVITIES
www.fields.utoronto.ca
Dietmar Leisen Continuous-Time Finance and Its Approximations This talk discusses pricing and hedging in continuous time and practical implementations to calculate
Thesis Topics in Matematical Finance
old.math.ku.dk
These are advocated by for instance Peter Carr and Dietmar Leisen . Pricing American Options by Monte Carlo Simulation. (Despite what one might think, there no
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