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~subject:"Stochastischer Prozess"
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Stochastischer Prozess
uncertain volatility
20
Volatilität
14
Optionspreistheorie
12
Option pricing theory
11
Volatility
11
Black-Scholes model
10
Black-Scholes-Modell
10
Stochastic process
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Risiko
6
conservative pricing
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defined-contribution pension plans
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life-insurance
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robust hedging
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Risk
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Convertible bond
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Theorie
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Uncertain volatility
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game option
4
interest rate risk
4
model misspecification
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model risk
4
Derivat
3
Derivative
3
Experiment
3
Hedging
3
Minimum return guarantee
3
Option trading
3
Optionsgeschäft
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Uncertain Volatility Model
3
Uncertain volatility model
3
minimum return guarantee
3
stochastic volatility
3
Additional hedge instrument
2
American options
2
Backward stochastic differential equations
2
Black-Scholes delta hedging
2
Börsenkurs
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Coherent risk measure
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Diffusion market model
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Huang, Haishi
2
Branger, Nicole
1
Dokučaev, Nikolaj G.
1
Drakos, Stefanos
1
Ehrhardt, Matthias
1
Fan, Yulian
1
Fang, Shaomei
1
Guo, Changhong
1
Günther, Michael
1
He, Yong
1
Kossaczký, Igor
1
Le Floc'h, Fabien
1
Mahayni, Antje
1
Muhle-Karbe, Johannes
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Nutz, Marcel
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Bonn Econ Discussion Papers
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International journal of theoretical and applied finance
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Computational economics
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Finance and stochastics
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International journal of financial engineering
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Review of derivatives research
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ECONIS (ZBW)
8
EconStor
2
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1
Derivation and application of some fractional black-scholes equations driven by fractional G-Brownian motion
Guo, Changhong
;
Fang, Shaomei
;
He, Yong
- In:
Computational economics
61
(
2023
)
4
,
pp. 1681-1705
Persistent link: https://www.econbiz.de/10014327122
Saved in:
2
Pricing American options with the Runge-Kutta-Legendre finite difference scheme
Le Floc'h, Fabien
- In:
International journal of theoretical and applied finance
24
(
2021
)
3
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012652624
Saved in:
3
The two-dimensional tree-grid method
Kossaczký, Igor
;
Ehrhardt, Matthias
;
Günther, Michael
- In:
The journal of computational finance
23
(
2019
)
2
,
pp. 29-57
Persistent link: https://www.econbiz.de/10012111259
Saved in:
4
A risk-neutral equilibrium leading to
uncertain
volatility
pricing
Muhle-Karbe, Johannes
;
Nutz, Marcel
- In:
Finance and stochastics
22
(
2018
)
2
,
pp. 281-295
Persistent link: https://www.econbiz.de/10011945712
Saved in:
5
The pricing of average options with jump diffusion processes in the
uncertain
volatility
model
Fan, Yulian
;
Zhang, Huadong
- In:
International journal of financial engineering
4
(
2017
)
1
,
pp. 1-31
Persistent link: https://www.econbiz.de/10011673109
Saved in:
6
Uncertain
volatility
derivative model based on the polynomial chaos
Drakos, Stefanos
- In:
Journal of mathematical finance
6
(
2016
)
1
,
pp. 55-63
Persistent link: https://www.econbiz.de/10011543102
Saved in:
7
Convertible Bonds: Risks and Optimal Strategies
Huang, Haishi
-
2010
geometric Brownian motion. Finally, we derive pricing bounds for convertible bonds in an
uncertain
volatility
model, i.e. when …
Persistent link: https://www.econbiz.de/10010270423
Saved in:
8
Convertible Bonds: Default Risk and
Uncertain
Volatility
Huang, Haishi
-
2010
bounds for convertible bonds are derived in an
uncertain
volatility
model, i.e. when the volatility of the stock price …
Persistent link: https://www.econbiz.de/10010270426
Saved in:
9
Option pricing via maximization over uncertainty and correction of volatility smile
Dokučaev, Nikolaj G.
- In:
International journal of theoretical and applied finance
14
(
2011
)
4
,
pp. 507-524
Persistent link: https://www.econbiz.de/10009269369
Saved in:
10
Tractable hedging with additional hedge instruments
Branger, Nicole
;
Mahayni, Antje
- In:
Review of derivatives research
14
(
2011
)
1
,
pp. 85-114
Persistent link: https://www.econbiz.de/10009272489
Saved in:
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