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  • Search: person:"Galeeva, Roza"
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Year of publication
Subject
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Option pricing theory 2 Optionspreistheorie 2 Stochastic process 2 Stochastischer Prozess 2 Bachelier vs. Black option models 1 Binomial tree 1 Commodity derivative 1 Derivat 1 Derivative 1 Dynamische Wirtschaftstheorie 1 Economic dynamics 1 Energiemarkt 1 Energy market 1 Index futures 1 Index-Futures 1 Invariant measure 1 Oil market 1 Oil market volatility “smile” 1 Oil price 1 Potential 1 Preis 1 Price 1 Rohstoffderivat 1 Statistical distribution 1 Statistical method 1 Statistische Methode 1 Statistische Verteilung 1 VAR model 1 VAR-Modell 1 Volatility 1 Volatilität 1 Ölmarkt 1 Ölpreis 1
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Undetermined 3
Type of publication
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Article 5
Type of publication (narrower categories)
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Article in journal 3 Aufsatz in Zeitschrift 3 Aufsatz im Buch 1 Book section 1
Language
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English 4 Undetermined 1
Author
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Galeeva, Roza 5 Eydeland, Alexander 1 Hoogland, Jiri 1 Ronn, Ehud I. 1
Published in...
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International journal of theoretical and applied finance 1 Physica A: Statistical Mechanics and its Applications 1 Review of derivatives research 1 Risk management in commodity markets : from shipping to agricuturals and energy 1 The journal of derivatives : JOD 1
Source
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ECONIS (ZBW) 4 RePEc 1
Showing 1 - 5 of 5
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Oil futures volatility smiles in 2020 : why the Bachelier smile is flatter
Galeeva, Roza; Ronn, Ehud I. - In: Review of derivatives research 25 (2022) 2, pp. 173-187
Persistent link: https://www.econbiz.de/10013457610
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Deriving better second-order derivatives
Galeeva, Roza - In: The journal of derivatives : JOD 30 (2022) 2, pp. 32-48
Persistent link: https://www.econbiz.de/10014231104
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Measuring correlation risk for energy derivatives
Galeeva, Roza; Hoogland, Jiri; Eydeland, Alexander - In: Risk management in commodity markets : from shipping to …, (pp. 81-89). 2008
Persistent link: https://www.econbiz.de/10003787692
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Binomial trees as dynamical systems
Galeeva, Roza - In: Physica A: Statistical Mechanics and its Applications 292 (2001) 1, pp. 519-535
One of the simplest and very popular techniques for pricing an option or other derivative involves constructing what is known as a binomial tree. This is a tree which represents the possible paths, that might be followed by the underlying assets price. We will view this tree as a dynamical...
Persistent link: https://www.econbiz.de/10011057350
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Binomial trees as dynamical systems
Galeeva, Roza - In: International journal of theoretical and applied finance 3 (2000) 3, pp. 569-570
Persistent link: https://www.econbiz.de/10001524423
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