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~isPartOf:"Review of derivatives research"
~isPartOf:"The journal of computational finance"
~person:"Carr, Peter"
~person:"Farkas, Walter"
~person:"Løchte Jørgensen, Peter"
~type_genre:"Article in journal"
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Option trading
4
Optionsgeschäft
4
Option pricing theory
3
Optionspreistheorie
3
Stochastic process
3
Stochastischer Prozess
3
Swap
2
Volatility
2
Volatilität
2
Analysis of variance
1
Black-Scholes model
1
Black-Scholes-Modell
1
Calibration
1
Derivat
1
Derivative
1
European options
1
Expansion based approximation of risk-neutral density
1
Gauss-Hermite series expansion
1
Sampling
1
Statistical distribution
1
Statistische Verteilung
1
Stichprobenerhebung
1
VIX futures
1
VIX options
1
Varianzanalyse
1
Volatility derivatives
1
Volatility of volatility
1
discrete sampling
1
nimerical pricing methods
1
options on realized variance
1
stochastic volatility
1
variance swaps
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English
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Carr, Peter
Farkas, Walter
Løchte Jørgensen, Peter
Drimus, Gabriel
4
Andersen, Leif B. G.
3
Escobar, Marcos
3
Kirkby, J. Lars
3
Wang, Xingchun
3
Andreasen, Jesper Fredborg
2
Forsyth, Peter A.
2
Hafner, Reinhold
2
Handley, John C.
2
Hieber, Peter
2
Hung, Mao-Wei
2
Ju, Nengjiu
2
Nunes, Joaõ Pedro Vidal
2
Ronn, Ehud I.
2
Schoutens, Wim
2
Ulrich, Maxim
2
Vetzal, Kenneth R.
2
Wang, Hsiao-Chuan
2
Wang, Jr-Yan
2
Zagst, Rudi
2
Zvan, R.
2
AitSahlia, Farid
1
Areal, Nelson
1
Bain, Alan
1
Battauz, Anna
1
Becker, Martin
1
Benhamou, Eric
1
Bernard, Carole
1
Bhatoo, Omishwary
1
Bhuruth, M.
1
Blau, Benjamin
1
Bojarčenko, Svetlana I.
1
Bossy, Mireille
1
Bourgey, Florian
1
Boyd, Naomi E.
1
Brinkmann, Felix
1
Brough, Tyler J.
1
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Review of derivatives research
The journal of computational finance
Applied mathematical finance
2
International journal of theoretical and applied finance
2
The journal of derivatives : JOD
2
The journal of derivatives : the official publication of the International Association of Financial Engineers
2
The review of financial studies
2
Finance and stochastics
1
Journal of banking & finance
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of financial economics
1
Journal of financial engineering
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
The European journal of finance
1
The journal of finance : the journal of the American Finance Association
1
The journal of risk and insurance : the journal of the American Risk and Insurance Association
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ECONIS (ZBW)
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1
A general closed form option pricing formula
Necula, Ciprian
;
Drimus, Gabriel
;
Farkas, Walter
- In:
Review of derivatives research
22
(
2019
)
1
,
pp. 1-40
Persistent link: https://www.econbiz.de/10012311636
Saved in:
2
Valuation of options on discretely sampled variance : a general analytic approximation
Drimus, Gabriel
;
Farkas, Walter
;
Gourier, Elise
- In:
The journal of computational finance
20
(
2016
)
2
,
pp. 39-66
Persistent link: https://www.econbiz.de/10011656703
Saved in:
3
Local volatility of volatility for the VIX market
Drimus, Gabriel
;
Farkas, Walter
- In:
Review of derivatives research
16
(
2013
)
3
,
pp. 267-293
Persistent link: https://www.econbiz.de/10010222940
Saved in:
4
Pricing swaps and options on quadratic variation under stochastic time change models : discrete observations case
Itkin, Andrey
;
Carr, Peter
- In:
Review of derivatives research
13
(
2010
)
2
,
pp. 141-176
Persistent link: https://www.econbiz.de/10008695493
Saved in:
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