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~subject:"Option trading"
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Option trading
Swap
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Volatility
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Option pricing theory
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Optionspreistheorie
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variance swap
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variance risk premium
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Aly, Sidi Mohamed Ould
1
Barletta, Andrea
1
Fonseca, José da
1
Gnoatto, Alessandro
1
Grasselli, Martino
1
Lazar, Emese
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Li, Gang
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ECONIS (ZBW)
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1
Model risk in the over-the-counter market
Lazar, Emese
;
Qi, Shuyuan
- In:
European journal of operational research : EJOR
298
(
2022
)
2
,
pp. 769-784
Persistent link: https://www.econbiz.de/10013206897
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2
It only takes a few moments to hedge options
Barletta, Andrea
;
Santucci de Magistris, Paolo
;
Sloth, David
- In:
Journal of economic dynamics & control
100
(
2019
),
pp. 251-269
Persistent link: https://www.econbiz.de/10012130971
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3
Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models
Fonseca, José da
;
Gnoatto, Alessandro
;
Grasselli, Martino
- In:
Operations research letters
43
(
2015
)
6
,
pp. 601-607
Persistent link: https://www.econbiz.de/10011416324
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4
Forward variance dynamics : Bergomi's model revisited
Aly, Sidi Mohamed Ould
- In:
Applied mathematical finance
21
(
2014
)
1/2
,
pp. 84-107
Persistent link: https://www.econbiz.de/10010351856
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5
Diagnosing affine models of options pricing : evidence from VIX
Li, Gang
;
Zhang, Chu
- In:
Journal of financial economics
107
(
2013
)
1
,
pp. 199-219
Persistent link: https://www.econbiz.de/10009715829
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