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~isPartOf:"Arbeitspapiere"
~subject:"Optionspreistheorie"
~subject:"Portfolio-Management"
~type:"book"
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Optionspreistheorie
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Black-Scholes-Modell
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Credit Spread Specification and the Pricing of Spread Options
Mougeot, Nicolas
-
2000
This paper shows a simple approach to the pricing of options on spread and some arguments in favor of modelling the spread using its two components instead of the spread itself.
Persistent link: https://www.econbiz.de/10005843219
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Option Pricing with Discrete Rebalancing
Prigent, Jean-Luc
;
Renault, Olivier
;
Scaillet, Olivier
-
2002
This paper considers the option pricing when dynamic portfolios are discretely rebalanced.
Persistent link: https://www.econbiz.de/10005843341
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