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Option pricing theory
4
Optionspreistheorie
4
Stochastic process
2
Stochastischer Prozess
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variance gamma
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American options
1
Black-Scholes model
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European options
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Fourier cosine expansion method
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Zeitreihenanalyse
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foreign exchange (FX) options
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kernel regression
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local variance gamma
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local volatility calibration
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machine learning
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multibarrier reverse convertibles (MBRCs)
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multivariate asset modeling
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multivariate normal inverse Gaussian (NIG) process
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multivariate subordinators
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multivariate variance gamma (VG) process
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portfolio loss distribution
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quadratic approximation
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spectral filters
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variance swaps
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volatility interpolation
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Deryabin, Mikhail
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Oosterlee, Cornelis Willebrordus
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Romeo, Andrea
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The journal of computational finance
International journal of theoretical and applied finance
11
International Journal of Theoretical and Applied Finance (IJTAF)
8
International journal of financial engineering
5
Journal of Risk and Financial Management
4
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Asia-Pacific financial markets
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Advanced modelling in mathematical finance : in honour of Ernst Eberlein
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1
Fast pricing of American options under
variance
gamma
Fu, Weilong
;
Hirsa, Ali
- In:
The journal of computational finance
25
(
2021
)
1
,
pp. 29-49
Persistent link: https://www.econbiz.de/10012672301
Saved in:
2
Pricing multivariate barrier reverse convertibles with factor-based subordinators
Marena, Marina
;
Romeo, Andrea
;
Semeraro, Patrizia
- In:
The journal of computational finance
21
(
2017/2018
)
5
,
pp. 97-129
Persistent link: https://www.econbiz.de/10011860940
Saved in:
3
Local
variance
gamma
revisited
Falck, Markus
;
Deryabin, Mikhail
- In:
The journal of computational finance
22
(
2018
)
2
,
pp. 73-99
Persistent link: https://www.econbiz.de/10011976666
Saved in:
4
On the application of spectral filters in a Fourier option pricing technique
Ruijter, Marjon
;
Versteegh, M.
;
Oosterlee, Cornelis …
- In:
The journal of computational finance
19
(
2015
)
1
,
pp. 75-106
Persistent link: https://www.econbiz.de/10011480718
Saved in:
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