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~subject:"Option pricing theory"
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Option pricing theory
Zinsstruktur
25
Optionspreistheorie
24
Theorie
24
Theory
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Yield curve
23
USA
19
United States
19
Volatility
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Volatilität
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option pricing
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Exchange rate
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Wechselkurs
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Finance and Financial Management
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Risikoprämie
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Risk premium
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Börsenkurs
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Risiko
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Share price
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Swap
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jumps
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CAPM
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Hedging
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stochastic volatility
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Aktienoption
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Portfolio selection
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Portfolio-Management
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Stock option
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Welt
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English
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Wu, Liuren
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Carr, Peter
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Tian, Meng
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Bakshi, Gurdip S.
1
Gabaix, Xavier
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Heidari, Massoud
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Holowczak, Richard
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Huang, Jing-Zhi
1
Lee, Roger
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Mo, Henry
1
Simaan, Yusif E.
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Zhu, Jingyi
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Journal of financial economics
3
The journal of finance : the journal of the American Finance Association
3
Journal of financial and quantitative analysis : JFQA
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Management science : journal of the Institute for Operations Research and the Management Sciences
2
Finance and stochastics
1
Financial engineering
1
Journal of banking & finance
1
Journal of econometrics
1
Journal of empirical finance
1
Journal of investment management : JOIM
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Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
1
Review of derivatives research
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The journal of business : B
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ECONIS (ZBW)
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1
Variance dynamics : joint evidence from options and high-frequency returns
Wu, Liuren
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 280-287
Persistent link: https://www.econbiz.de/10009242518
Saved in:
2
Dampened power law : reconciling the tail behavior of financial security returns
Wu, Liuren
- In:
The journal of business : B
79
(
2006
)
3
,
pp. 1445-1475
Persistent link: https://www.econbiz.de/10003337016
Saved in:
3
Modeling financial security returns using Lévy processes
Wu, Liuren
- In:
Financial engineering
,
(pp. 117-162)
.
2008
Persistent link: https://www.econbiz.de/10003567103
Saved in:
4
Simple robust hedging with nearby contracts
Wu, Liuren
;
Zhu, Jingyi
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
1
,
pp. 1-35
Persistent link: https://www.econbiz.de/10011658670
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5
Analyzing volatility risk and risk premium in option contracts : a new theory
Carr, Peter
;
Wu, Liuren
- In:
Journal of financial economics
120
(
2016
)
1
,
pp. 1-20
Persistent link: https://www.econbiz.de/10011590060
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6
Leverage effect, volatility feedback, and self-exciting market disruptions
Carr, Peter
;
Wu, Liuren
- In:
Journal of financial and quantitative analysis : JFQA
52
(
2017
)
5
,
pp. 2119-2156
Persistent link: https://www.econbiz.de/10011928991
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7
Static hedging of standard options
Carr, Peter
;
Wu, Liuren
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
1
,
pp. 3-46
Persistent link: https://www.econbiz.de/10010233614
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8
Specification analysis of option pricing models based on time-changed Lévy processes
Huang, Jing-Zhi
;
Wu, Liuren
- In:
The journal of finance : the journal of the American …
59
(
2004
)
3
,
pp. 1405-1442
Persistent link: https://www.econbiz.de/10002100164
Saved in:
9
Time-changed Lévy processes and option pricing
Carr, Peter
;
Wu, Liuren
- In:
Journal of financial economics
71
(
2004
)
1
,
pp. 113-141
Persistent link: https://www.econbiz.de/10001881163
Saved in:
10
What type of process underlies options? : A simple robust test
Carr, Peter
;
Wu, Liuren
- In:
The journal of finance : the journal of the American …
58
(
2003
)
6
,
pp. 2581-2610
Persistent link: https://www.econbiz.de/10001845848
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