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Optionspreistheorie
Theorie
16
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16
Option pricing theory
14
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10
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10
Swap
9
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7
Kreditrisiko
7
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6
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6
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5
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Optionsgeschäft
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American options
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Lewis-Lipton formula
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implied volatility
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long-time asymptotics
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short-time asymptotics
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English
14
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Andersen, Leif B. G.
12
Lake, Mark
4
Andreasen, Jesper Fredborg
3
Brotherton-Ratcliffe, Rupert
3
Andersen, Leif
2
Lipton, Alexander
2
Offengenden, Dimitri
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The journal of computational finance
5
Applied mathematical finance
1
Credit derivatives : the definitive guide
1
Finance and stochastics
1
International journal of theoretical and applied finance
1
Journal of financial economics
1
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ECONIS (ZBW)
14
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1
Option pricing with quadratic volatility : a revisit
Andersen, Leif B. G.
- In:
Finance and stochastics
15
(
2011
)
2
,
pp. 191-219
Persistent link: https://www.econbiz.de/10009159127
Saved in:
2
Asymptotics for exponential Lévy processes and their volatility smile : survey and new results
Andersen, Leif B. G.
;
Lipton, Alexander
- In:
International journal of theoretical and applied finance
16
(
2013
)
1
,
pp. 1-98
Persistent link: https://www.econbiz.de/10009725096
Saved in:
3
Extended Libor market models with stochastic volatility
Andersen, Leif B. G.
;
Brotherton-Ratcliffe, Rupert
- In:
The journal of computational finance
9
(
2005
)
1
,
pp. 1-40
Persistent link: https://www.econbiz.de/10003191097
Saved in:
4
The passport option
Andersen, Leif B. G.
;
Andreasen, Jesper Fredborg
; …
- In:
The journal of computational finance
1
(
1998
)
3
,
pp. 15-36
Persistent link: https://www.econbiz.de/10001632699
Saved in:
5
The equity option volatility smile : an implicit finite-difference approach
Andersen, Leif B. G.
;
Brotherton-Ratcliffe, Rupert
- In:
The journal of computational finance
1
(
1997/1998
)
2
,
pp. 5-37
Persistent link: https://www.econbiz.de/10001633250
Saved in:
6
Factor dependence of Bermudan swaptions : factor or fiction?
Andersen, Leif B. G.
;
Andreasen, Jesper Fredborg
- In:
Journal of financial economics
62
(
2001
)
1
,
pp. 3-37
Persistent link: https://www.econbiz.de/10001608806
Saved in:
7
Volatility skews and extensions of the libor market model
Andersen, Leif B. G.
;
Andreasen, Jesper Fredborg
- In:
Applied mathematical finance
7
(
2000
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10001546115
Saved in:
8
High-performance American option pricing
Andersen, Leif B. G.
;
Lake, Mark
;
Offengenden, Dimitri
- In:
The journal of computational finance
20
(
2016
)
1
,
pp. 39-87
Persistent link: https://www.econbiz.de/10011639531
Saved in:
9
Reduced-form models: curve construction and the pricing of credit swaps, options and hybrids
Andersen, Leif
- In:
Credit derivatives : the definitive guide
,
(pp. 339-369)
.
2004
Persistent link: https://www.econbiz.de/10002799000
Saved in:
10
A simple approach to the pricing of Bermudan swaptions in the multifactor LIBOR market model
Andersen, Leif
- In:
The journal of computational finance
3
(
1999/2000
)
2
,
pp. 5-32
Persistent link: https://www.econbiz.de/10001517417
Saved in:
1
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