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~subject:"Optionsgeschäft"
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Optionsgeschäft
Characteristic function
83
characteristic function
79
Optionspreistheorie
36
Option pricing theory
35
Estimation theory
32
Schätztheorie
32
Empirical characteristic function
30
Theorie
28
Stochastic process
26
Stochastischer Prozess
26
Volatility
26
Volatilität
26
Characteristic Function
25
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25
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19
Statistische Verteilung
19
stochastic volatility
15
Core
12
Game theory
12
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12
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12
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11
Kooperatives Spiel
11
empirical characteristic function
11
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10
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10
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10
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10
option pricing
10
Heston
9
Lévy process
9
Nichtparametrisches Verfahren
9
Nonparametric statistics
9
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9
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Kirkby, J. Lars
2
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1
Bernard, Carole
1
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1
Fusai, Gianluca
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International journal of theoretical and applied finance
2
Advanced modelling in mathematical finance : in honour of Ernst Eberlein
1
Computational economics
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Financial innovation : FIN
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ECONIS (ZBW)
9
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1
A closed-form pricing formula for European options in an illiquid asset market
Pasricha, Puneet
;
Zhu, Song-Ping
;
He, Xin-Jiang
- In:
Financial innovation : FIN
8
(
2022
),
pp. 1-18
underlying asset can be captured by the option pricing model. The
characteristic
function
is analytically worked out using the …
Persistent link: https://www.econbiz.de/10013170252
Saved in:
2
Bias reduction in spot volatility estimation from options
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 53-81
Persistent link: https://www.econbiz.de/10014364661
Saved in:
3
Pricing vulnerable options with stochastic volatility and stochastic interest rate
Ma, Chaoqun
;
Yue, Shengjie
;
Wu, Hui
;
Ma, Yong
- In:
Computational economics
56
(
2020
)
2
,
pp. 391-429
Persistent link: https://www.econbiz.de/10012272041
Saved in:
4
Swing option pricing by dynamic programming with B-spline density projection
Kirkby, J. Lars
;
Deng, Shijie
- In:
International journal of theoretical and applied finance
22
(
2019
)
8
,
pp. 1-53
Persistent link: https://www.econbiz.de/10012183215
Saved in:
5
American and exotic option pricing with jump diffusions and other Lévy processes
Kirkby, J. Lars
- In:
The journal of computational finance
22
(
2018
)
3
,
pp. 89-148
Persistent link: https://www.econbiz.de/10011988194
Saved in:
6
A general closed form approximation pricing formula for basket and multi-asset spread options
Pellegrino, Tommaso
- In:
Journal of mathematical finance
6
(
2016
)
5
,
pp. 944-974
Persistent link: https://www.econbiz.de/10011658120
Saved in:
7
Option pricing in affine generalized Merton models
Bayer, Christian
;
Schoenmakers, John
- In:
Advanced modelling in mathematical finance : in honour …
,
(pp. 219-239)
.
2016
Persistent link: https://www.econbiz.de/10011800363
Saved in:
8
A general closed-form spread option pricing formula
Caldana, Ruggero
;
Fusai, Gianluca
- In:
Journal of banking & finance
37
(
2013
)
12
,
pp. 4893-4906
Persistent link: https://www.econbiz.de/10010342187
Saved in:
9
Nearly exact option price simulation using characteristic functions
Bernard, Carole
;
Cui, Zhenyu
;
McLeish, Don L.
- In:
International journal of theoretical and applied finance
15
(
2012
)
7
,
pp. 1-29
Persistent link: https://www.econbiz.de/10009685897
Saved in:
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