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~type_genre:"Aufsatz in Zeitschrift"
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Search: person:"Friz, Peter K."
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Option pricing theory
4
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Volatilität
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Black-Scholes model
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Aufsatz in Zeitschrift
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Friz, Peter K.
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Pigato, Paolo
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Bayer, Christian
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Gerhold, Stefan
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Gulisashvili, Archil
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Mathematical finance : an international journal of mathematics, statistics and financial economics
3
Quantitative finance
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ECONIS (ZBW)
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1
Reconstructing volatility : pricing of index options under rough volatility
Friz, Peter K.
;
Wagenhofer, Thomas
- In:
Mathematical finance : an international journal of …
33
(
2023
)
1
,
pp. 19-40
Persistent link: https://www.econbiz.de/10014278658
Saved in:
2
Short-dated smile under rough volatility : asymptotics and numerics
Friz, Peter K.
;
Gassiat, Paul
;
Pigato, Paolo
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 463-480
Persistent link: https://www.econbiz.de/10013167770
Saved in:
3
Local volatility under rough volatility
Bourgey, Florian
;
De Marco, Stefano
;
Friz, Peter K.
; …
- In:
Mathematical finance : an international journal of …
33
(
2023
)
4
,
pp. 1119-1145
Persistent link: https://www.econbiz.de/10014370641
Saved in:
4
Short-time near-the-money skew in rough fractional volatility models
Bayer, Christian
;
Friz, Peter K.
;
Gulisashvili, Archil
; …
- In:
Quantitative finance
19
(
2019
)
5
,
pp. 779-798
Persistent link: https://www.econbiz.de/10012194716
Saved in:
5
Option pricing in the moderate deviations regime
Friz, Peter K.
;
Gerhold, Stefan
;
Pinter, Arpad
- In:
Mathematical finance : an international journal of …
28
(
2018
)
3
,
pp. 962-988
Persistent link: https://www.econbiz.de/10011969077
Saved in:
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