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~person:"Carr, Peter"
~person:"Chiarella, Carl"
~person:"Jeon, Doh-Shin"
~person:"Madan, Dilip B."
~person:"Zhang, Lu"
~subject:"Financial economics"
~subject:"Optionspreistheorie"
~subject:"USA"
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Financial economics
Optionspreistheorie
USA
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195
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195
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159
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76
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Carr, Peter
Chiarella, Carl
Jeon, Doh-Shin
Madan, Dilip B.
Zhang, Lu
Fabozzi, Frank J.
76
Cui, Zhenyu
73
Joshi, Mark S.
66
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65
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63
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59
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56
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52
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49
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49
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37
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37
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35
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34
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33
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33
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32
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32
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32
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32
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32
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32
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31
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31
Račev, Svetlozar T.
31
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31
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30
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30
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ECONIS (ZBW)
229
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229
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1
Pricing
product options and using them to complete markets for functions of two underlying asset prices
Madan, Dilip B.
;
Wang, King
- In:
Journal of risk and financial management : JRFM
14
(
2021
)
8
,
pp. 1-19
to synthesize joint densities and replicate differentiable functions of two underlying asset prices. The
pricing
of such …
Persistent link: https://www.econbiz.de/10012626539
Saved in:
2
The valuation of corporations : a derivative
pricing
perspective
Madan, Dilip B.
;
Wang, King
- In:
Annals of finance
19
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014253867
Saved in:
3
q-factors and investment CAPM
Zhang, Lu
-
2019
The q-factor model shows strong explanatory power and largely summarizes the cross section of average stock returns. In particular, the q-factor model fully subsumes the Fama-French (2018) 6-factor model in head-to-head factor spanning tests. The q-factor model is an empirical implementation of...
Persistent link: https://www.econbiz.de/10012168924
Saved in:
4
Semi-robust replication of barrier-style claims on price and volatility
Carr, Peter
;
Lee, Roger
;
Lorig, Matthew
- In:
Applied mathematical finance
28
(
2021
)
6
,
pp. 534-559
Persistent link: https://www.econbiz.de/10013411770
Saved in:
5
The Investment CAPM
Zhang, Lu
-
2018
A new class of Capital Asset
Pricing
Models (CAPM) arises from the first principle of real investment for individual … leading asset
pricing
paradigm. Firms do a good job in aligning investment policies with costs of capital, and this alignment …
Persistent link: https://www.econbiz.de/10012930661
Saved in:
6
Returns of Claims on the Upside and the Viability of U-Shaped
Pricing
Kernels
Bakshi, Gurdip
-
2018
When the
pricing
kernel is U-shaped, then expected returns of claims with payout on the upside are negative for strikes … that we denote as kernel call, we find broad support for the implications of U-shaped
pricing
kernels. A possible …
Persistent link: https://www.econbiz.de/10012940716
Saved in:
7
Additive logistic processes in option
pricing
Carr, Peter
;
Torricelli, Lorenzo
- In:
Finance and stochastics
25
(
2021
)
4
,
pp. 689-724
Persistent link: https://www.econbiz.de/10012665200
Saved in:
8
It takes two to Tango : estimation of the zero-risk premium strike of a call option via joint physical and
pricing
density modeling
Höcht, Stephan
;
Madan, Dilip B.
;
Schoutens, Wim
; …
- In:
Risks : open access journal
9
(
2021
)
11
,
pp. 1-19
- and Q-world are equal. To fully exploit the insights of the option market we deploy the Tilted Bilateral Gamma
pricing
… model to jointly estimate the physical and
pricing
measure from option prices. We illustrate the proposed
pricing
strategy …
Persistent link: https://www.econbiz.de/10012704022
Saved in:
9
The Investment CAPM
Zhang, Lu
-
2017
A new class of Capital Asset
Pricing
Models (CAPM) arises from the first principle of real investment for individual … leading asset
pricing
paradigm. Firms do a good job in aligning investment policies with costs of capital, and this alignment …
Persistent link: https://www.econbiz.de/10012960790
Saved in:
10
The investment CAPM
Zhang, Lu
-
2017
Persistent link: https://www.econbiz.de/10011634680
Saved in:
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