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Option pricing theory
199
Optionspreistheorie
199
Volatility
194
Volatilität
194
Stochastic process
167
Stochastischer Prozess
167
Theorie
112
Theory
112
Portfolio selection
73
Portfolio-Management
73
Derivat
63
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63
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58
Optionsgeschäft
58
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45
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44
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42
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42
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41
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Option pricing
30
Risiko
29
Risk
29
Stochastic volatility
29
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28
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28
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28
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Bayer, Christian
8
Escobar, Marcos
5
Gatheral, Jim
4
Jacquier, Antoine
4
Lillo, Fabrizio
4
Radoičić, Radoš
4
Sornette, Didier
4
Tempone, Raúl
4
Wong, Hoi Ying
4
Abergel, Frédéric
3
Bormetti, Giacomo
3
Bunn, Derek W.
3
Chan, Tat Lung
3
Cui, Zhenyu
3
Felpel, Mike
3
Glasserman, Paul
3
Horvath, Blanka Nora
3
Härdle, Wolfgang
3
Kienitz, Jörg
3
Madan, Dilip B.
3
McWalter, Thomas A.
3
Pirjol, Dan
3
Rosenbaum, Mathieu
3
Wehrli, Alexander
3
Zhu, Song-Ping
3
Ziveyi, Jonathan
3
Aguilar, Jean-Philippe
2
Alexander, Carol
2
Alòs, Elisa
2
Bee, Marco
2
Bellini, Fabio
2
Ben Hammouda, Chiheb
2
Benth, Fred Espen
2
Bianchi, Michele Leonardo
2
Birge, John R.
2
Bossu, Sébastien
2
Brigo, Damiano
2
Carr, Peter
2
Chatterjee, Rupak
2
Cheang, Gerald H. L.
2
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International Conference on Futures and Other Derivatives <7., 2018, Schanghai>
1
International Conference on Stochastic Programming <15., 2019, Trondheim>
1
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Quantitative finance
The journal of futures markets
955
Energy economics
826
European journal of operational research : EJOR
823
Finance research letters
797
International journal of theoretical and applied finance
756
Journal of banking & finance
727
NBER working paper series
680
Working paper / National Bureau of Economic Research, Inc.
650
Journal of econometrics
584
NBER Working Paper
582
Insurance / Mathematics & economics
548
International review of financial analysis
530
Applied economics
508
Economic modelling
472
International review of economics & finance : IREF
462
Economics letters
459
The North American journal of economics and finance : a journal of financial economics studies
419
Discussion paper / Tinbergen Institute
397
Finance and stochastics
390
Working paper
384
Mathematical finance : an international journal of mathematics, statistics and financial theory
380
Journal of economic dynamics & control
374
Applied economics letters
370
Applied financial economics
362
Journal of empirical finance
344
The journal of derivatives : the official publication of the International Association of Financial Engineers
336
Discussion paper / Centre for Economic Policy Research
335
Applied mathematical finance
331
Journal of financial economics
329
Research in international business and finance
329
Risks : open access journal
318
The European journal of finance
301
The journal of computational finance
301
Journal of risk and financial management : JRFM
290
Journal of international financial markets, institutions & money
279
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
272
Journal of international money and finance
272
Computational economics
263
The review of financial studies
253
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ECONIS (ZBW)
372
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1
A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing
Yamada, Toshihiro
;
Yamamoto, Kenta
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1825-1837
Persistent link: https://www.econbiz.de/10012313518
Saved in:
2
Delta hedging bitcoin options with a smile
Alexander, Carol
;
Imeraj, Arben
- In:
Quantitative finance
23
(
2023
)
5
,
pp. 799-817
Persistent link: https://www.econbiz.de/10014304354
Saved in:
3
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:
4
Machine learning for quantitative finance : fast
derivative
pricing, hedging and fitting
De Spiegeleer, Jan
;
Madan, Dilip B.
;
Reyners, Sofie
; …
- In:
Quantitative finance
18
(
2018
)
10
,
pp. 1635-1643
Persistent link: https://www.econbiz.de/10012259802
Saved in:
5
The limitations of estimating implied densities from option prices
Shelton, Austin
;
Kane, Hayden
;
Favreau, Charles
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1885-1904
Persistent link: https://www.econbiz.de/10012696789
Saved in:
6
Principled pasting : attaching tails to risk-neutral probability density functions recovered from option prices
Bollinger, Thomas R.
;
Melick, William Robert
;
Thomas, …
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1751-1768
Persistent link: https://www.econbiz.de/10014452468
Saved in:
7
Informative option portfolios in filter design for option pricing models
Orłowski, Piotr
- In:
Quantitative finance
21
(
2021
)
6
,
pp. 945-965
Persistent link: https://www.econbiz.de/10012515627
Saved in:
8
Pricing exchange options with correlated jump diffusion processes
Cufaro Petroni, Nicola
;
Sabino, Piergiacomo
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1811-1823
Persistent link: https://www.econbiz.de/10012313516
Saved in:
9
Pricing airbag option via first passage time approach
Liu, Zheng
;
Qian, Xiaosong
;
Yao, Jing
;
Dong, Yinghui
- In:
Quantitative finance
24
(
2024
)
7
,
pp. 955-974
Persistent link: https://www.econbiz.de/10015050807
Saved in:
10
Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions
Chen, Yangang
;
Wan, Justin W. L.
- In:
Quantitative finance
21
(
2021
)
1
,
pp. 45-67
Persistent link: https://www.econbiz.de/10012424632
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