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Pricing currency derivatives under the benchmark approach
Baldeaux, Jan; Grasselli, Martino; Platen, Eckhard - In: Journal of banking & finance 53 (2015), pp. 34-48
Persistent link: https://www.econbiz.de/10011377682
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A penny saved is a penny earned : less expensive zero coupon bonds
Gnoatto, Alessandro; Grasselli, Martino; Platen, Eckhard - 2016
Persistent link: https://www.econbiz.de/10011778099
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Modeling the volatility and expected value of a diversified world index
Platen, Eckhard - In: International journal of theoretical and applied finance 7 (2004) 4, pp. 511-529
Persistent link: https://www.econbiz.de/10002108812
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Modeling the volatility and expected value of a diversified world index
Platen, Eckhard - 2003
Persistent link: https://www.econbiz.de/10002250902
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The small and large time implied volatilities in the minimal market model
Guo, Zhi Jun; Platen, Eckhard - In: International journal of theoretical and applied finance 15 (2012) 8, pp. 1-23
Persistent link: https://www.econbiz.de/10009707096
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The small and large time implied volatilities in the minimal market model
Guo, Zhi; Platen, Eckhard - 2011
Persistent link: https://www.econbiz.de/10009564614
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Affine realizations for Lévy driven interest rate models with real-world forward rate dynamics
Platen, Eckhard; Tappe, Stefan - 2011
Persistent link: https://www.econbiz.de/10009564622
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Calibration to FX triangles of the 4/2 model under the benchmark approach
Gnoatto, Alessandro; Grasselli, Martino; Platen, Eckhard - 2021
Persistent link: https://www.econbiz.de/10013347384
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Calibration to FX triangles of the 4/2 model under the benchmark approach
Gnoatto, Alessandro; Grasselli, Martino; Platen, Eckhard - In: Decisions in economics and finance : a journal of … 45 (2022) 1, pp. 1-34
Persistent link: https://www.econbiz.de/10013380525
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The Small and Large Time Implied Volatilities in the Minimal Market Model
Platen, Eckhard - 2012
This paper derives explicit formulas for both the small and large time limits of the implied volatility in the minimal … market model. It is shown that interest rates do impact on the implied volatility in the long run even though they are …
Persistent link: https://www.econbiz.de/10013098767