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~person:"Zheng, Wendong"
~subject:"3/2-volatility model"
~subject:"Varianzanalyse"
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3/2-volatility model
Varianzanalyse
Option pricing theory
8
Optionspreistheorie
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Swap
8
Volatility
5
Volatilität
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Derivat
3
Derivative
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Estimation theory
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Hedging
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Option trading
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Optionsgeschäft
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Sampling
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Schätztheorie
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Stichprobenerhebung
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Stochastic process
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Stochastischer Prozess
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discrete sampling
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Analysis of variance
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Financial crisis
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Finanzmathematik
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Fourier transform
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Mathematical finance
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Portfolio selection
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Time-changed Lévy processes
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Variance swaps
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corridor variance swaps
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gamma swaps
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generalized variance swaps
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stochastic volatility models
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variance options
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volatility swaps
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Zheng, Wendong
Ammann, Manuel
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Chiarella, Carl
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Drimus, Gabriel
2
Filipović, Damir
2
Franco, Sebastian
2
Gourier, Elise
2
Kalev, Petko S.
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Konstantinidi, Eirini
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Kwok, Yue-Kuen
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Lian, Guanghua
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Mörke, Mathis
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Skiadopoulos, George
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Wese Simen, Chardin
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Grasselli, Martino
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Heijden, Thijs van der
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Hollstein, Fabian
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Hong, Yi
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Applied mathematical 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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Pricing exotic discrete variance swaps under the 3/2-stochastic volatility models
Yuen, Chi Hung
;
Zheng, Wendong
;
Kwok, Yue-Kuen
- In:
Applied mathematical finance
22
(
2015
)
5/6
,
pp. 421-449
Persistent link: https://www.econbiz.de/10011490606
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2
Closed form pricing formulas for discretely sampled generalized variance swaps
Zheng, Wendong
;
Kwok, Yue-Kuen
- In:
Mathematical finance : an international journal of …
24
(
2014
)
4
,
pp. 855-881
Persistent link: https://www.econbiz.de/10011308159
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