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~person:"Platen, Eckhard"
~subject:"Föllmer-Schweizer decomposition"
~subject:"Messung"
~subject:"Optionspreistheorie"
~subject:"Volatility"
~type:"article"
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Föllmer-Schweizer decomposition
Messung
Optionspreistheorie
Volatility
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10
Portfolio selection
7
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7
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3/2 Stochastic volatility model
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7901 05-05-14; 7835/0206
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Platen, Eckhard
Benth, Fred Espen
16
Wang, Xingchun
15
Fabozzi, Frank J.
12
Escobar, Marcos
11
Carr, Peter
10
Chiarella, Carl
8
Madan, Dilip B.
8
Ryu, Doojin
8
Brigo, Damiano
7
Cui, Zhenyu
7
Gouriéroux, Christian
7
Jarrow, Robert A.
7
Schoutens, Wim
7
Siu, Tak Kuen
7
Zhang, Jin E.
7
Floros, Christos
6
Fouque, Jean-Pierre
6
Hull, John
6
Kwok, Yue-Kuen
6
Linetsky, Vadim
6
Muck, Matthias
6
Prokopczuk, Marcel
6
Račev, Svetlozar T.
6
Sabino, Piergiacomo
6
Skiadopoulos, George
6
Takahashi, Akihiko
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Tunaru, Radu
6
Zagst, Rudi
6
Elliott, Robert J.
5
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5
Kyriakou, Ioannis
5
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5
Melʹnikov, Aleksandr V.
5
Monfort, Alain
5
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5
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Asia-Pacific financial markets
2
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
1
Journal of banking & finance
1
Mathematics and financial economics
1
Operations research letters
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ECONIS (ZBW)
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Benchmarks for the benchmark approach to valuing long-term insurance liabilities : comment on Fergusson & Platen (2023)
Bauer, Daniel
- In:
Annals of actuarial science : publ. by the Institute of …
17
(
2023
)
1
,
pp. 208-211
Persistent link: https://www.econbiz.de/10014306953
Saved in:
2
Credit derivative evaluation and CVA under the benchmark approach
Baldeaux, Jan
;
Platen, Eckhard
- In:
Asia-Pacific financial markets
22
(
2015
)
3
,
pp. 305-331
Persistent link: https://www.econbiz.de/10011524811
Saved in:
3
Pricing volatility derivatives under the modified constant elasticity of variance model
Chan, Leunglung
;
Platen, Eckhard
- In:
Operations research letters
43
(
2015
)
4
,
pp. 419-422
Persistent link: https://www.econbiz.de/10011372401
Saved in:
4
Pricing currency derivatives under the benchmark approach
Baldeaux, Jan
;
Grasselli, Martino
;
Platen, Eckhard
- In:
Journal of banking & finance
53
(
2015
),
pp. 34-48
Persistent link: https://www.econbiz.de/10011377682
Saved in:
5
Local risk-minimization under the benchmark approach
Biagini, Francesca
;
Cretarola, Alessandra
;
Platen, Eckhard
- In:
Mathematics and financial economics
8
(
2014
)
2
,
pp. 109-134
Persistent link: https://www.econbiz.de/10010341774
Saved in:
6
Understanding the implied volatility surface for options on a diversified index
Heath, David C.
;
Platen, Eckhard
- In:
Asia-Pacific financial markets
11
(
2004
)
1
,
pp. 55-77
Persistent link: https://www.econbiz.de/10003084162
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