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subject:"Derivat"
~isPartOf:"Research paper / Quantitative Finance Research Centre, University of Technology Sydney"
~person:"Cheng, Benjamin"
~person:"Prokopczuk, Marcel"
~subject:"Futures options pricing"
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Derivat
Futures options pricing
Commodity derivative
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Derivative
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Option pricing theory
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Optionspreistheorie
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Rohstoffderivat
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correlations
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stochastic interest rates
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Delta hedge
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Long-dated crude oil options
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Volatilität
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futures options
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futures options pricing
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long-dated commodity derivatives
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long-dated crude oil derivatives
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stochastic volatility
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Cheng, Benjamin
Prokopczuk, Marcel
Schlögl, Erik
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Pilz, Kay Frederik
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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International journal of theoretical and applied finance
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ECONIS (ZBW)
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Pricing of long-dated commodity derivatives with stochastic volatility and stochastic interest rates
Cheng, Benjamin
;
Nikitopoulos, Christina Sklibosios
; …
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2015
Persistent link: https://www.econbiz.de/10011777512
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2
Empirical pricing performance in long-dated crude oil derivatives : do models with stochastic interest rates matter?
Cheng, Benjamin
;
Nikitopoulos, Christina Sklibosios
; …
-
2016
Persistent link: https://www.econbiz.de/10011777909
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3
Empirical hedging performance on long-dated crude oil derivatives
Cheng, Benjamin
;
Nikitopoulos, Christina Sklibosios
; …
-
2016
Persistent link: https://www.econbiz.de/10011778112
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