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Option trading
Stochastischer Prozess
137
Malliavin calculus
135
Stochastic process
134
Fractional Brownian motion
125
Optionspreistheorie
106
Option pricing theory
105
Asymptotic expansion
93
fractional Brownian motion
81
Volatilität
71
Volatility
70
Theorie
53
asymptotic expansion
51
Theory
49
Experiment
20
Optionsgeschäft
20
Estimation theory
19
Schätztheorie
19
Black-Scholes-Modell
18
Monte Carlo simulation
18
Option pricing
18
Time series analysis
18
Zeitreihenanalyse
18
Black-Scholes model
17
Portfolio selection
17
Portfolio-Management
17
Analysis
15
Derivat
15
Derivative
15
Hurst exponent
15
Mathematical analysis
15
option pricing
15
stochastic volatility
15
Long memory
14
Stochastic volatility
14
Hedging
13
Greeks
12
long memory
12
Malliavin Calculus
11
Monte-Carlo-Simulation
11
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20
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Alòs, Elisa
5
León, Jorge A.
3
Jacquier, Antoine
2
Takahashi, Akihiko
2
Arai, Takuji
1
Arguin, Louis-Pierre
1
Chen, Zhanyu
1
Feng, Runhuan
1
Feng, Y.
1
Fujii, Masaaki
1
Fukasawa, Masaaki
1
Funahashi, Hideharu
1
Grosse-Erdmann, Karl-Goswin
1
Heuwelyckx, Fabien
1
Kilianová, Soňa
1
Letko, Boris
1
Li, Chenxu
1
Liang, Zhian
1
Liu, Nien-Lin
1
Mao, Zhijuan
1
Nakatsu, Tomonori
1
Nualart, Eulalia
1
Pravosud, Makar
1
Rheinländer, Thorsten
1
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1
Shiraya, Kenichiro
1
Suzuki, Ryoichi
1
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1
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1
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1
Yamada, Toshihiro
1
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1
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1
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1
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International journal of theoretical and applied finance
3
Decisions in economics and finance : DEF ; a journal of applied mathematics
2
International journal of financial engineering
2
Quantitative finance
2
Applied mathematical finance
1
Asia-Pacific financial markets
1
Barcelona GSE working paper series : working paper
1
Computational economics
1
European journal of operational research : EJOR
1
Journal of economic dynamics & control
1
Journal of mathematical finance
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Risk and decision analysis
1
The journal of computational finance
1
Working papers / Universitat Pompeu Fabra, Department of Economics and Business
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ECONIS (ZBW)
20
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1
Local risk-minimization for Lévy markets
Arai, Takuji
;
Suzuki, Ryoichi
- In:
International journal of financial engineering
2
(
2015
)
2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011333451
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2
A note on the implied volatility of floating strike Asian options
Alòs, Elisa
;
León, Jorge A.
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 743-758
Persistent link: https://www.econbiz.de/10012127320
Saved in:
3
Valuation of barrier options via a general self-duality
Alòs, Elisa
;
Chen, Zhanyu
;
Rheinländer, Thorsten
- In:
Mathematical finance : an international journal of …
26
(
2016
)
3
,
pp. 492-515
Persistent link: https://www.econbiz.de/10011583542
Saved in:
4
The implied volatility of forward starting options : ATM short-time level, skew and curvature
Alòs, Elisa
;
Jacquier, Antoine
;
León, Jorge A.
-
2017
Persistent link: https://www.econbiz.de/10011686975
Saved in:
5
Volatility risk structure for options depending on extrema
Nakatsu, Tomonori
- In:
The journal of computational finance
21
(
2017/2018
)
3
,
pp. 105-122
Persistent link: https://www.econbiz.de/10011848359
Saved in:
6
The implied volatility of forward starting options : ATM short-time level, skew and curvature
Alòs, Elisa
;
Jacquier, Antoine
;
León, Jorge A.
-
2017
Persistent link: https://www.econbiz.de/10011778056
Saved in:
7
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:
8
Quasi-Monte Carlo-based conditional Malliavin method for continuous-time Asian option Greeks
Yu, Chao
;
Wang, Xiaoqun
- In:
Computational economics
62
(
2023
)
1
,
pp. 325-360
Persistent link: https://www.econbiz.de/10014327500
Saved in:
9
On the implied volatility of Asian options under stochastic volatility models
Alòs, Elisa
;
Nualart, Eulalia
;
Pravosud, Makar
- In:
Applied mathematical finance
30
(
2023
)
5
,
pp. 249-274
Persistent link: https://www.econbiz.de/10015051248
Saved in:
10
Volatility derivatives and model-free implied leverage
Fukasawa, Masaaki
- In:
International journal of theoretical and applied finance
17
(
2014
)
1
,
pp. 1-23
Persistent link: https://www.econbiz.de/10010363969
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