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Markov chain
Markovian projection
9
Option pricing theory
5
Optionspreistheorie
5
Markov-Kette
4
Option trading
4
Optionsgeschäft
4
Volatility
4
Volatilität
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Black-Scholes-Modell
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displaced diffusion
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volatility skew
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Black-Scholes
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CMS spread
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Call option
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Bain, Alan
1
Bayer, Christian
1
Dall'acqua, Enrico
1
Felpel, Mike
1
Häppölä, Juho
1
Kienitz, Jörg
1
Longoni, Riccardo
1
Mariapragassam, Matthieu
1
McWalter, Thomas A.
1
Pallavicini, Andrea
1
Reisinger, Christoph
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Tempone, Raúl
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Quantitative finance
2
International journal of theoretical and applied finance : IJTAF
1
The journal of computational finance
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ECONIS (ZBW)
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1
Rough-heston local-volatility model
Dall'acqua, Enrico
;
Longoni, Riccardo
;
Pallavicini, Andrea
- In:
International journal of theoretical and applied …
26
(
2023
)
6/7
,
pp. 1-18
Persistent link: https://www.econbiz.de/10014500191
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2
Effective
Markovian
projection
: application to CMS spread options and mid-curve swaptions
Felpel, Mike
;
Kienitz, Jörg
;
McWalter, Thomas A.
- In:
Quantitative finance
22
(
2022
)
6
,
pp. 1169-1192
Persistent link: https://www.econbiz.de/10013367891
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3
Calibration of local-stochastic and path-dependent volatility models to vanilla and no-touch options
Bain, Alan
;
Mariapragassam, Matthieu
;
Reisinger, Christoph
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 115-161
Persistent link: https://www.econbiz.de/10012544167
Saved in:
4
Implied stopping rules for American basket options from
Markovian
projection
Bayer, Christian
;
Häppölä, Juho
;
Tempone, Raúl
- In:
Quantitative finance
19
(
2019
)
3
,
pp. 371-390
Persistent link: https://www.econbiz.de/10012194659
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