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~person:"Farkas, Walter"
~subject:"Behavioural finance"
~subject:"Black-Scholes model"
~subject:"Black-Scholes-Modell"
~subject:"Index futures"
~subject:"Volatility"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Bibliografie"
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Behavioural finance
Black-Scholes model
Black-Scholes-Modell
Index futures
Volatility
Option trading
4
Optionsgeschäft
4
Option pricing theory
3
Optionspreistheorie
3
Volatilität
3
Derivat
2
Derivative
2
Stochastic process
2
Stochastischer Prozess
2
Analysis of variance
1
Calibration
1
Cointegration
1
Commodities
1
Commodity derivative
1
Commodity price
1
Crack spread
1
European options
1
Expansion based approximation of risk-neutral density
1
Futures
1
Gauss-Hermite series expansion
1
Kointegration
1
Option pricing
1
Risikoprämie
1
Risk premium
1
Rohstoffderivat
1
Rohstoffpreis
1
Sampling
1
Spark spread
1
Spread options
1
Statistical distribution
1
Statistische Verteilung
1
Stichprobenerhebung
1
Swap
1
VIX futures
1
VIX options
1
Varianzanalyse
1
Volatility derivatives
1
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Aufsatz in Zeitschrift
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Farkas, Walter
Ryu, Doojin
17
Zhang, Jin E.
14
Carr, Peter
9
Wang, Xingchun
9
Ruan, Xinfeng
8
Fodor, Andy
7
Yang, Heejin
7
Fusai, Gianluca
6
Gehricke, Sebastian A.
6
Guo, Biao
6
Kim, Sol
6
Kirkby, J. Lars
6
Lung, Peter P.
6
Shaikh, Imlak
6
Wu, Liuren
6
Zanette, Antonino
6
Bernales, Alejandro
5
Doran, James S.
5
Elliott, Robert J.
5
Muzzioli, Silvia
5
Padhi, Puja
5
Pirjol, Dan
5
Singh, Vipul Kumar
5
Todorov, Viktor
5
Zhu, Lingjiong
5
Agarwalla, Sobhesh Kumar
4
Alexander, Carol
4
Choy, Siu Kai
4
Cui, Zhenyu
4
Diavatopoulos, Dean
4
Dotsis, George
4
Drimus, Gabriel
4
Escobar, Marcos
4
Härdle, Wolfgang
4
Kang, Jangkoo
4
Ko, Bangwon
4
Kuo, I.-doun
4
Kwok, Yue-Kuen
4
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Review of derivatives research
2
Journal of banking & finance
1
The journal of computational finance
1
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ECONIS (ZBW)
4
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1
A general closed form option pricing formula
Necula, Ciprian
;
Drimus, Gabriel
;
Farkas, Walter
- In:
Review of derivatives research
22
(
2019
)
1
,
pp. 1-40
Persistent link: https://www.econbiz.de/10012311636
Saved in:
2
A two-factor cointegrated commodity price model with an application to spread option pricing
Farkas, Walter
;
Gourier, Elise
;
Huitema, Robert
; …
- In:
Journal of banking & finance
77
(
2017
),
pp. 249-268
Persistent link: https://www.econbiz.de/10011814773
Saved in:
3
Valuation of options on discretely sampled variance : a general analytic approximation
Drimus, Gabriel
;
Farkas, Walter
;
Gourier, Elise
- In:
The journal of computational finance
20
(
2016
)
2
,
pp. 39-66
Persistent link: https://www.econbiz.de/10011656703
Saved in:
4
Local volatility of volatility for the VIX market
Drimus, Gabriel
;
Farkas, Walter
- In:
Review of derivatives research
16
(
2013
)
3
,
pp. 267-293
Persistent link: https://www.econbiz.de/10010222940
Saved in:
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