Pricing and hedging of derivatives in contagious markets
Year of publication: |
May 2016
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Authors: | Kokholm, Thomas |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 66.2016, p. 19-34
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Subject: | Multivariate modeling | Contagion | Derivatives pricing | Jump processes | Hedging | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Finanzmarkt | Financial market | Ansteckungseffekt | Contagion effect | Multivariate Analyse | Multivariate analysis |
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