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Optionspreistheorie
Barrier options
3
Robust optimization
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Static hedging
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Theorie
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Theory
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Volatility
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Volatilität
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21.07.1996
1
Adjoint equation
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Financial econometrics
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Finanzmarktökonometrie
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Monte-Carlo-Simulation
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Nonlinear semidefinite programming
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Optimierung
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Option trading
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Optionsgeschäft
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Ordnungsreduktion
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Sachs, Ekkehard
2
Maruhn, Jan H.
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Schneider, Marina
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International journal of theoretical and applied finance
1
Mathematical methods of operations research
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ECONIS (ZBW)
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Robust static hedging of barrier options in stochastic volatility models
Maruhn, Jan H.
;
Sachs, Ekkehard
- In:
Mathematical methods of operations research
70
(
2009
)
3
,
pp. 405-433
Persistent link: https://www.econbiz.de/10003909254
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2
Reduced-order models for the implied variance under local volatility
Sachs, Ekkehard
;
Schneider, Marina
- In:
International journal of theoretical and applied finance
17
(
2014
)
8
,
pp. 1-23
Persistent link: https://www.econbiz.de/10010498793
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