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Search: subject:"Exponential Lévy models"
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Option pricing theory
11
Optionspreistheorie
11
Stochastic process
11
Stochastischer Prozess
11
Exponential Lévy models
7
Volatility
7
Volatilität
7
Derivat
5
Derivative
5
Option trading
5
Optionsgeschäft
5
Experiment
4
exponential Lévy models
3
implied volatility
3
ATM option pricing
2
Black-Scholes model
2
Black-Scholes-Modell
2
CAPM
2
Hedging
2
Implied volatility
2
L2 convergence
2
Stochastic volatility models
2
delta hedging
2
digital options
2
discretization error
2
quadratic hedging
2
short-time asymptotics
2
ATM digital call option prices
1
ATM implied volatility slope
1
Asian options
1
Barrier options
1
Bewertung
1
Black Scholes
1
Blumenthal-Getoor index
1
CGMY and tempered stable models
1
CGMY models
1
CGMY-KoBol and VG processes
1
Derivatives
1
Evaluation
1
Exponential Levy models
1
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9
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1
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Article
13
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11
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11
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1
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English
13
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Figueroa-López, José E.
4
Gong, Ruoting
2
Houdré, Christian
2
Tankov, Peter
2
Ólafsson, Sveinn
2
BRODÉN, MATS
1
Brodén, Mats
1
Brummelhuis, Raymond
1
Cai, Ning
1
Chan, Ron T. L.
1
Denkl, Stephan
1
Eberlein, Ernst
1
Ekström, Erik
1
Giles, Michael B.
1
Kallsen, Jan
1
Lu, Bing
1
Madan, Dilip B.
1
Mijatovi´c, Aleksandar
1
Mordecki, Ernesto
1
Olivera, Federico de
1
Pistorius, Martijn
1
TANKOV, PETER
1
Xia, Yuan
1
Yor, Marc
1
Zhang, Wei
1
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Applied mathematical finance
3
Finance and stochastics
3
International journal of theoretical and applied finance
2
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
International Journal of Theoretical and Applied Finance (IJTAF)
1
Operations research
1
Trends in mathematical economics : dialogues between Southern Europe and Latin America
1
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ECONIS (ZBW)
13
RePEc
1
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1
Regime classification and stock loan valuation
Cai, Ning
;
Zhang, Wei
- In:
Operations research
68
(
2020
)
4
,
pp. 965-983
Persistent link: https://www.econbiz.de/10012288340
Saved in:
2
Second-order approximations to pricing and hedging in presence of jumps and stochastic volatility
Denkl, Stephan
-
2013
Persistent link: https://www.econbiz.de/10010200946
Saved in:
3
Multilevel Monte Carlo for
exponential
Lévy
models
Giles, Michael B.
;
Xia, Yuan
- In:
Finance and stochastics
21
(
2017
)
4
,
pp. 995-1026
Persistent link: https://www.econbiz.de/10011944462
Saved in:
4
Third-order short-time expansions for close-to-the-money option prices under the CGMY model
Figueroa-López, José E.
;
Gong, Ruoting
;
Houdré, Christian
- In:
Applied mathematical finance
24
(
2017
)
5/6
,
pp. 547-574
Persistent link: https://www.econbiz.de/10011815299
Saved in:
5
A new look at short-term implied volatility in asset price models with jumps
Mijatovi´c, Aleksandar
;
Tankov, Peter
- In:
Mathematical finance : an international journal of …
26
(
2016
)
1
,
pp. 149-183
Persistent link: https://www.econbiz.de/10011550267
Saved in:
6
Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility
Figueroa-López, José E.
;
Ólafsson, Sveinn
- In:
Finance and stochastics
20
(
2016
)
1
,
pp. 219-265
Persistent link: https://www.econbiz.de/10011460382
Saved in:
7
Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps
Figueroa-López, José E.
;
Ólafsson, Sveinn
- In:
Finance and stochastics
20
(
2016
)
4
,
pp. 973-1020
Persistent link: https://www.econbiz.de/10011570202
Saved in:
8
High-order short-time expansions for ATM option prices of
exponential
Lévy
models
Figueroa-López, José E.
;
Gong, Ruoting
;
Houdré, Christian
- In:
Mathematical finance : an international journal of …
26
(
2016
)
3
,
pp. 516-557
Persistent link: https://www.econbiz.de/10011583594
Saved in:
9
Computing Greeks for Lévy models : the fourier transform approach
Olivera, Federico de
;
Mordecki, Ernesto
- In:
Trends in mathematical economics : dialogues between …
,
(pp. 99-121)
.
2016
Persistent link: https://www.econbiz.de/10011800675
Saved in:
10
Short-time implied volatility in
exponential
Lévy
models
Ekström, Erik
;
Lu, Bing
- In:
International journal of theoretical and applied finance
18
(
2015
)
4
,
pp. 1-14
Persistent link: https://www.econbiz.de/10011403775
Saved in:
1
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