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~subject:"Option pricing theory"
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Option pricing theory
Theorie
8
Theory
8
Credit risk
7
Kreditrisiko
7
Basel Accord
6
Basler Akkord
6
Kapitalanlage der Finanzintermediäre
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Optionspreistheorie
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At-the-Money Overvaluation of Black's but Undervaluation of GC European Futures Put Values in Terms of Johnson's Ones
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Bank accounting
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Bank guarantee
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Bank lending
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Bankrechnungslegung
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Capital Charge for the Credit-Risk Exposure of Extendible Commitments
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Cost of Borrower's Rating Downgrade Based on a Credit-Rating Migration Matrix
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Chateau, Jean-Pierre D.
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Dufresne, D.
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Dufresne, Daniel
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International review of financial analysis
2
Journal of mathematical finance
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Research paper series / Centre for Actuarial Studies, Department of Economics, the University of Melbourne
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ECONIS (ZBW)
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Beyong Basel-2 simplified standardized approach : credit risk valuation of short-term loan commitments
Chateau, Jean-Pierre D.
- In:
International review of financial analysis
16
(
2007
)
5
,
pp. 412-433
Persistent link: https://www.econbiz.de/10003612960
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2
Valuing European put options under skewness and increasing [excess] kurtosis
Chateau, Jean-Pierre D.
- In:
Journal of mathematical finance
4
(
2014
)
3
,
pp. 160-177
Persistent link: https://www.econbiz.de/10010400109
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3
The stochastic-volatility American put option of banks' credit line commitments : valuation and policy implications
Chateau, Jean-Pierre D.
;
Dufresne, D.
- In:
International review of financial analysis
11
(
2002
)
2
,
pp. 159-181
Persistent link: https://www.econbiz.de/10001715955
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4
Pricing the stochastic volatility put option of banks' credit line commitments
Chateau, Jean-Pierre D.
;
Dufresne, Daniel
-
1998
Persistent link: https://www.econbiz.de/10000998682
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