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~subject:"Calibration"
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Search: subject:"Volatility surface"
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Calibration
Volatility
53
Volatilität
53
Optionspreistheorie
51
Option pricing theory
50
Implied volatility surface
27
implied volatility surface
26
Volatility surface
22
Option trading
15
Optionsgeschäft
15
Stochastic process
15
Stochastischer Prozess
15
Derivat
14
Derivative
14
volatility surface
13
Implied Volatility Surface
11
Black-Scholes-Modell
10
Forecasting model
10
Prognoseverfahren
10
Black-Scholes model
9
Index-Futures
8
implied volatility
8
option pricing
8
Index futures
7
Index options
6
dynamic semiparametric factor model
6
Equity options
5
Option pricing
5
Predictability
5
Smile
5
Zeitreihenanalyse
5
Aktienoption
4
Arbitrage Pricing
4
Arbitrage pricing
4
Experiment
4
Hedging
4
Implied volatility
4
Risikoprämie
4
Risk premium
4
Schätzung
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English
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Avellaneda, Marco
1
Azzone, Michele
1
Baviera, Roberto
1
Cohort, Pierre
1
Corbetta, Jacopo
1
Friedman, Craig
1
Holmes, Richard
1
Laachir, Ismail
1
Martini, Claude
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Mingone, A.
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Samperi, Dominick
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Quantitative finance
2
Applied Mathematical Finance
1
Decisions in economics and finance : DEF ; a journal of applied mathematics
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ECONIS (ZBW)
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RePEc
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1
Additive normal tempered stable processes for equity derivatives and power-law scaling
Azzone, Michele
;
Baviera, Roberto
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 501-518
Persistent link: https://www.econbiz.de/10013167773
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2
No arbitrage global parametrization for the eSSVI
volatility
surface
Mingone, A.
- In:
Quantitative finance
22
(
2022
)
12
,
pp. 2205-2217
Persistent link: https://www.econbiz.de/10013490938
Saved in:
3
Robust calibration and arbitrage-free interpolation of SSVI slices
Corbetta, Jacopo
;
Cohort, Pierre
;
Laachir, Ismail
; …
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 665-677
Persistent link: https://www.econbiz.de/10012127308
Saved in:
4
Calibrating volatility surfaces via relative-entropy minimization
Avellaneda, Marco
;
Friedman, Craig
;
Holmes, Richard
; …
- In:
Applied Mathematical Finance
4
(
1997
)
1
,
pp. 37-64
properties of the computed
volatility
surface
are discussed, including the effect of the Bayesian prior on the shape of the …
Persistent link: https://www.econbiz.de/10005495414
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