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~person:"Vitiello, Luiz"
~subject:"Optionspreistheorie"
~subject:"Share price"
~subject:"USA"
~type_genre:"Aufsatz im Buch"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Conference paper"
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Optionspreistheorie
Share price
USA
Option pricing theory
4
Statistical distribution
4
Statistische Verteilung
4
CAPM
2
General equilibrium
2
Allgemeines Gleichgewicht
1
Black-Scholes model
1
Black-Scholes-Modell
1
Mixture of distributions
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Multivariate contingent claim
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Multivariate transformed-gamma distribution
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Non-monotonic pricing kernel
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Option pricing
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Probability theory
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Risk neutral valuation relationship
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Vitiello, Luiz
Ciecka, James E.
7
Račev, Svetlozar T.
7
Skoog, Gary R.
7
Fabozzi, Frank J.
6
Perote, Javier
6
Todorov, Viktor
6
Bollerslev, Tim
5
Christoffersen, Peter F.
5
Cui, Zhenyu
5
Kim, Young Shin
5
Lux, Thomas
5
Madan, Dilip B.
5
Carr, Peter
4
Ghysels, Eric
4
Gupta, Rangan
4
Hurd, Michael D.
4
Jackwerth, Jens Carsten
4
Jacobs, Kris
4
Jang, Soocheong
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Kim, Sol
4
Koopman, Siem Jan
4
Leisen, Dietmar
4
Li, Weiping
4
Massacci, Daniele
4
Melick, William Robert
4
Oosterlee, Cornelis Willebrordus
4
Taylor, Stephen
4
Wang, King
4
Zhang, Jin E.
4
Ñíguez, Trino-Manuel
4
Akgiray, Vedat
3
Andersen, Torben
3
Bali, Turan G.
3
Bondarenko, Oleg
3
Booth, G. Geoffrey
3
Cai, Ning
3
Chang, Kuang-Liang
3
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3
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Review of derivatives research
2
Review of quantitative finance and accounting
1
The journal of derivatives : the official publication of the International Association of Financial Engineers
1
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ECONIS (ZBW)
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1
Option pricing with random risk aversion
Vitiello, Luiz
;
Poon, Ser-Huang
- In:
Review of quantitative finance and accounting
58
(
2022
)
4
,
pp. 1665-1684
Persistent link: https://www.econbiz.de/10013191990
Saved in:
2
A note on the pricing of multivariate contingent claims under a transformed-gamma distribution
Vitiello, Luiz
;
Rebelo, Ivonia
- In:
Review of derivatives research
18
(
2015
)
3
,
pp. 291-300
Persistent link: https://www.econbiz.de/10011477304
Saved in:
3
Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing
Vitiello, Luiz
;
Poon, Ser-Huang
- In:
Review of derivatives research
17
(
2014
)
2
,
pp. 241-259
Persistent link: https://www.econbiz.de/10010529622
Saved in:
4
General equilibrium and risk neutral framework for option pricing with a mixture of distributions
Vitiello, Luiz
;
Poon, Ser-Huang
- In:
The journal of derivatives : the official publication …
15
(
2008
)
4
,
pp. 48-60
Persistent link: https://www.econbiz.de/10003733227
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