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~person:"Alòs, Elisa"
~subject:"Option trading"
~subject:"Stochastic volatility model"
~subject:"Volatilität"
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Option trading
Stochastic volatility model
Volatilität
Derivat
4
Derivative
4
Option pricing theory
4
Optionspreistheorie
4
Volatility
4
Optionsgeschäft
2
Stochastic process
2
Stochastischer Prozess
2
Arbeitskampf
1
Asia
1
Asian options
1
Asien
1
Black-Scholes model
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Black-Scholes-Modell
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Credit value adjustment
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Derivative operator in the Malliavin calculus sense
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Estimation
1
Estimation theory
1
Floating strike
1
Industrial action
1
Kirk’s formula
1
Malliavin calculus
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Modeling
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Pricing
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Schätztheorie
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Schätzung
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Skorohod integral
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intensity approach
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Alòs, Elisa
Hull, John
23
Wang, Xingchun
13
Benth, Fred Espen
12
Gannon, Gerard L.
12
Cui, Zhenyu
11
McAleer, Michael
11
Escobar, Marcos
10
Madan, Dilip B.
10
Fouque, Jean-Pierre
9
Zheng, Wendong
9
Carr, Peter
8
Chang, Chia-Lin
8
Chiarella, Carl
8
Jackwerth, Jens Carsten
8
Kōnstantinidēs, Giōrgos
8
Packham, Natalie
8
Perrakis, Stylianos
8
Ryu, Doojin
8
Zhang, Jin E.
8
Alexander, Carol
7
Czerwonko, Michal
7
Howison, Sam
7
Jarrow, Robert A.
7
Kallsen, Jan
7
Kräussl, Roman
7
Kwok, Yue-Kuen
7
Park, Yang-Ho
7
Rieger, Marc Oliver
7
Shea, Gary S.
7
Skiadopoulos, George
7
Stork, Philip
7
Farkas, Walter
6
Floros, Christos
6
Félix, Luiz
6
Kolb, Robert W.
6
Papanicolaou, George
6
Prokopczuk, Marcel
6
Schmidt, Wolfgang M.
6
Schoutens, Wim
6
Subrahmanyam, Marti G.
6
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Decisions in economics and finance : DEF ; a journal of applied mathematics
2
International journal of theoretical and applied finance
1
Working papers / Universitat Pompeu Fabra, Department of Economics and Business
1
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ECONIS (ZBW)
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CVA and vulnerable options in Stochastic volatility models
Alòs, Elisa
;
Antonelli, Fabio
;
Ramponi, A.
;
Scarlatti, S.
- In:
International journal of theoretical and applied finance
24
(
2021
)
2
,
pp. 1-34
Persistent link: https://www.econbiz.de/10012650293
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
Volatility and volatility-linked derivatives : estimation,modeling, and pricing
Alòs, Elisa
;
Mancino, Maria Elvira
;
Wang, Tai-Ho
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 321-349
Persistent link: https://www.econbiz.de/10012127219
Saved in:
4
A note on the implied volatility of floating strike Asian options
Alòs, Elisa
;
León, Jorge A.
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 743-758
Persistent link: https://www.econbiz.de/10012127320
Saved in:
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