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~language:"eng"
~person:"Alòs, Elisa"
~subject:"Dynamische Makroökonomie"
~subject:"Optionspreistheorie"
~subject:"Volatility"
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Dynamische Makroökonomie
Optionspreistheorie
Volatility
Option pricing theory
10
Stochastic process
8
Stochastischer Prozess
8
Volatilität
7
Malliavin calculus
3
Black-Scholes model
2
Black-Scholes-Modell
2
Continuous-time option pricing model
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Experiment
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stochastic volatility
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stochastic volatility models
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Black-Scholes formula
1
Cox-Ingersoll-Ross process
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Derivat
1
Derivative
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Forward starting options
1
Heston Model
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Heston model
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Ito's formula
1
Itô's Calculus
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Itô's formula for the Skorohod integral
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Markov chain
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Markov-Kette
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Option trading
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Optionsgeschäft
1
Stochastic Volatility
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Theorie
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Theory
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derivative operator
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implied volatility
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incomplete markets
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jump-diffusion stochastic volatility model
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Alòs, Elisa
McAleer, Michael
59
Gupta, Rangan
33
Chiarella, Carl
25
Caporale, Guglielmo Maria
22
Chang, Chia-Lin
22
Pierdzioch, Christian
19
Gannon, Gerard L.
12
Mumtaz, Haroon
12
Spagnolo, Nicola
12
Härdle, Wolfgang
11
Bollerslev, Tim
10
Caporin, Massimiliano
10
Diebold, Francis X.
10
Andersen, Torben
9
Cerrato, Mario
9
Flaschel, Peter
9
Guo, Hui
9
Miller, Stephen M.
9
Zanetti, Francesco
9
Allen, David E.
8
Asai, Manabu
8
Buch, Claudia M.
8
Farmer, Roger E. A.
8
Fernández-Villaverde, Jesús
8
Hammoudeh, Shawkat
8
Salisu, Afees A.
8
Theodoridis, Konstantinos
8
Weber, Enzo
8
Yu, Jun
8
Yu, Yang
8
Billio, Monica
7
Döpke, Jörg
7
Hautsch, Nikolaus
7
Laurent, Sébastien
7
Siklos, Pierre L.
7
Timmermann, Allan
7
Xu, Yongdeng
7
Ҫepni, Oğuzhan
7
Bonato, Matteo
6
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Universitat Pompeu Fabra / Departament d'Economia i Empresa
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Working papers / Universitat Pompeu Fabra, Department of Economics and Business
11
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ECONIS (ZBW)
11
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1
The implied volatility of forward starting options : ATM short-time level, skew and curvature
Alòs, Elisa
;
Jacquier, Antoine
;
León, Jorge A.
-
2017
Persistent link: https://www.econbiz.de/10011686975
Saved in:
2
On the second derivative of the at-the-money implied volatility in stochastic volatility models
Alòs, Elisa
;
León, Jorge A.
-
2015
-
Revised: October 2015
Persistent link: https://www.econbiz.de/10011427674
Saved in:
3
On Margrabe options written on stochastic volatility models
Alòs, Elisa
;
Rheinländer, Thorsten
-
2015
Persistent link: https://www.econbiz.de/10011442222
Saved in:
4
A closed-form option pricing approximation formula for a fractional Heston model
Alòs, Elisa
;
Yang, Yan
-
2014
Persistent link: https://www.econbiz.de/10010425642
Saved in:
5
Calibration of stochastic volatility models via second order approximation : the Heston model case
Alòs, Elisa
;
Santiago, Rafael de
;
Vives, Josep
-
2012
Persistent link: https://www.econbiz.de/10009724303
Saved in:
6
On the goodness of fit of Kirk's formula for spread option prices
Alòs, Elisa
;
León, Jorge A.
-
2012
Persistent link: https://www.econbiz.de/10009724304
Saved in:
7
A decomposition formula for option prices in the Heston model and applications to option pricing approximation
Alòs, Elisa
-
2009
Persistent link: https://www.econbiz.de/10008665849
Saved in:
8
A Hull and White formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility
Alòs, Elisa
;
León, Jorge A.
;
Pontier, Monique
;
Vives, …
-
2008
Persistent link: https://www.econbiz.de/10008663229
Saved in:
9
A generalization of Hull and White formula and applications to option pricing approximation
Alòs, Elisa
(
contributor
)
-
2004
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002111661
Saved in:
10
A general decomposition formula for derivative prices in stochastic volatility models
Alòs, Elisa
(
contributor
)
-
2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001747474
Saved in:
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