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~person:"Alòs, Elisa"
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Option pricing theory
6
Option trading
6
Optionsgeschäft
6
Optionspreistheorie
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Volatility
6
Volatilität
6
Malliavin calculus
5
Stochastic process
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implied volatility
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stochastic volatility models
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Asian options
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Derivat
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Arbeitskampf
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Asia
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Credit value adjustment
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Derivative operator in the Malliavin calculus sense
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Industrial action
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Kirk’s formula
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Skorohod integral
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Stochastic volatility
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barrier options
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intensity approach
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Alòs, Elisa
Hull, John
38
Ryu, Doojin
29
Wang, Xingchun
22
Carr, Peter
21
Cui, Zhenyu
21
Madan, Dilip B.
21
Perrakis, Stylianos
21
Zhang, Jin E.
21
Fabozzi, Frank J.
18
Joshi, Mark S.
18
Poteshman, Allen M.
18
Fodor, Andy
17
Lee, Hangsuck
17
Stentoft, Lars
17
Thomsett, Michael C.
17
Jackwerth, Jens Carsten
16
Kelly, Bryan T.
16
Fusai, Gianluca
15
Todorov, Viktor
15
Fusari, Nicola
14
Pedersen, Lasse Heje
14
Wu, Liuren
14
Bebchuk, Lucian A.
13
Guirguis, Michel
13
Kōnstantinidēs, Giōrgos
13
Orosi, Greg
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Schoutens, Wim
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Truong, Cameron
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Bernales, Alejandro
12
Ewald, Christian-Oliver
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Jacobs, Kris
12
Kang, Jangkoo
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Kwok, Yue-Kuen
12
Lung, Peter P.
12
Benth, Fred Espen
11
Czerwonko, Michal
11
Kräussl, Roman
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Lee, Cheng F.
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Applied mathematical finance
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Barcelona GSE working paper series : working paper
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Decisions in economics and finance : DEF ; a journal of applied mathematics
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International journal of theoretical and applied finance
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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ECONIS (ZBW)
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On the implied volatility of Asian options under stochastic volatility models
Alòs, Elisa
;
Nualart, Eulalia
;
Pravosud, Makar
- In:
Applied mathematical finance
30
(
2023
)
5
,
pp. 249-274
Persistent link: https://www.econbiz.de/10015051248
Saved in:
2
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:
3
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:
4
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/10011778056
Saved in:
5
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:
6
Valuation of barrier options via a general self-duality
Alòs, Elisa
;
Chen, Zhanyu
;
Rheinländer, Thorsten
- In:
Mathematical finance : an international journal of …
26
(
2016
)
3
,
pp. 492-515
Persistent link: https://www.econbiz.de/10011583542
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