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~isPartOf:"Journal of economic dynamics & control"
~isPartOf:"Operations research"
~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~subject:"Optionspreistheorie"
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Optionspreistheorie
Theorie
431
Theory
431
Portfolio selection
342
Portfolio-Management
342
Mathematical programming
202
Mathematische Optimierung
202
Robust statistics
101
Robustes Verfahren
101
Stochastic process
77
Stochastischer Prozess
77
Optimization
74
Risk
63
Risiko
61
robust optimization
50
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48
Risk measure
48
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38
Dynamic programming
38
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36
Entscheidung unter Unsicherheit
36
Dynamische Optimierung
35
Option pricing theory
30
Hedging
28
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28
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27
Capital income
27
Kapitaleinkommen
27
Algorithmus
26
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26
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26
distributionally robust optimization
26
Estimation
25
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25
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25
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25
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22
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Branger, Nicole
2
Damgaard, Anders
2
Zenios, Stauros Andrea
2
Ankirchner, Stefan
1
Augustyniak, Maciej
1
Badescu, Alexandru
1
Barletta, Andrea
1
Bo, Lijun
1
Chauveau, Thierry
1
Chen, Yuanyuan
1
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1
Colwell, David B.
1
Cui, Xueting
1
De Groot, Oliver
1
Demeterfi, Kresimir
1
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1
Fabozzi, Frank J.
1
Feldman, David
1
Godin, Frédéric
1
Gollier, Christian
1
Guasoni, Paolo
1
Guo, Ivan
1
Hamerle, Alfred
1
Hu, Wei
1
Hu, Yuan
1
Igl, Andreas
1
Israelov, Roni
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1
Muck, Matthias
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Journal of economic dynamics & control
Operations research
The journal of derivatives : the official publication of the International Association of Financial Engineers
International journal of theoretical and applied finance
36
Insurance / Mathematics & economics
32
Mathematical finance : an international journal of mathematics, statistics and financial theory
24
Finance and stochastics
22
Quantitative finance
21
Applied mathematical finance
18
European journal of operational research : EJOR
17
International journal of financial engineering
15
Journal of banking & finance
12
Journal of mathematical finance
12
The journal of computational finance
12
Mathematics and financial economics
10
Research paper series / Swiss Finance Institute
10
Journal of risk and financial management : JRFM
9
Risks : open access journal
9
SpringerLink / Bücher
9
Finance research letters
8
International review of financial analysis
8
Mathematical methods of operations research
8
Scandinavian actuarial journal
8
Review of derivatives research
7
The North American journal of economics and finance : a journal of financial economics studies
7
The journal of derivatives : JOD
7
Astin bulletin : the journal of the International Actuarial Association
6
Mathematical finance : an international journal of mathematics, statistics and financial economics
6
Mathematics of operations research
6
Operations research letters
6
Risk and decision analysis
6
Annals of finance
5
Chapman & Hall/CRC financial mathematics series
5
Computational Management Science : CMS
5
Economic modelling
5
Journal of financial economics
5
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
5
SFB 649 discussion paper
5
Springer Texts in Business and Economics
5
The European journal of finance
5
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
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ECONIS (ZBW)
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1
A nonparametric algorithm for optimal stopping based on robust
optimization
Sturt, Bradley
- In:
Operations research
71
(
2023
)
5
,
pp. 1530-1557
Persistent link: https://www.econbiz.de/10014393150
Saved in:
2
Counter-cyclical margins for option portfolios
Chen, Yuanyuan
;
Wu, Qi
;
Li, Duan
- In:
Journal of economic dynamics & control
146
(
2023
),
pp. 1-33
Persistent link: https://www.econbiz.de/10014478163
Saved in:
3
Systemic risk of optioned portfolio : controllability and
optimization
Pang, Xiaochuan
;
Zhu, Shushang
;
Cui, Xueting
;
Ma, Jiali
- In:
Journal of economic dynamics & control
153
(
2023
),
pp. 1-29
Persistent link: https://www.econbiz.de/10014479336
Saved in:
4
Risk-averse stochastic programming : time consistency and optimal stopping
Pichler, Alois
;
Liu, Rui Peng
;
Shapiro, Alexander
- In:
Operations research
70
(
2022
)
4
,
pp. 2439-2455
Persistent link: https://www.econbiz.de/10013366477
Saved in:
5
Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
Hu, Yuan
;
Lindquist, W. Brent
;
Račev, Svetlozar T.
; …
- In:
Journal of economic dynamics & control
137
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013464578
Saved in:
6
Options portfolio selection
Guasoni, Paolo
;
Mayerhofer, Eberhard
- In:
Operations research
68
(
2020
)
3
,
pp. 733-740
Persistent link: https://www.econbiz.de/10012234441
Saved in:
7
Non-transferable non-hedgeable executive stock option pricing
Colwell, David B.
;
Feldman, David
;
Hu, Wei
- In:
Journal of economic dynamics & control
53
(
2015
),
pp. 161-191
Persistent link: https://www.econbiz.de/10011526925
Saved in:
8
Robustness of stable volatility strategies
Branger, Nicole
;
Mahayni, Antje
;
Zieling, Daniel
- In:
Journal of economic dynamics & control
60
(
2015
),
pp. 134-151
Persistent link: https://www.econbiz.de/10011575084
Saved in:
9
It only takes a few moments to hedge options
Barletta, Andrea
;
Santucci de Magistris, Paolo
;
Sloth, David
- In:
Journal of economic dynamics & control
100
(
2019
),
pp. 251-269
Persistent link: https://www.econbiz.de/10012130971
Saved in:
10
A profitable modification to global quadratic hedging
Augustyniak, Maciej
;
Godin, Frédéric
;
Simard, Clarence
- In:
Journal of economic dynamics & control
104
(
2019
),
pp. 111-131
Persistent link: https://www.econbiz.de/10012131108
Saved in:
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