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Expected shortfall
Optionspreistheorie
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Basket options
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Option pricing theory
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Option trading
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Optionsgeschäft
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Basket Options
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basket options
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Stochastic process
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Statistische Verteilung
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Volatility
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Volatilität
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Correlation Risk
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Foreign Exchange Optios
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Hedging
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Ito-Taylor Expansion
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Monte Carlo Simulation
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Monte Carlo simulation
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Portfolio selection
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Portfolio-Management
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Risikoprämie
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Risk premium
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Super-replication
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Theorie
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Volatility Smile Modelling
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option pricing
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ARCH model
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Basket options valuation
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Credit risk
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Su, Xia
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University of Bonn, Germany
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EconStor
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Hedging
Basket
Options
by Using a Subset of Underlying Assets
Su, Xia
-
2006
This paper proposes two-step static hedging strategies for European
basket
options
by using only plain-vanilla options …
Persistent link: https://www.econbiz.de/10010263171
Saved in:
2
Hedging
Basket
Options
by Using a Subset of Underlying Assets
Su, Xia
-
University of Bonn, Germany
-
2006
This paper proposes two-step static hedging strategies for European
basket
options
by using only plain-vanilla options …
Persistent link: https://www.econbiz.de/10004968362
Saved in:
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