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Stochastischer Prozess
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Alghalith, Moawia
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Floros, Christos
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Gillas, Konstantinos Gkillas
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Guo, Xu
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Wong, Wing Keung
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Zhu, Lixing
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Annals of financial economics
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ECONIS (ZBW)
12
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1
New methods of estimating volatility and returns : revisited ; invited editorial
Alghalith, Moawia
- In:
The journal of asset management
13
(
2012
)
5
,
pp. 307-309
Persistent link: https://www.econbiz.de/10009667112
Saved in:
2
Generalized stochastic processes : the portfolio model
Alghalith, Moawia
- In:
Journal of mathematical finance
2
(
2012
)
2
,
pp. 199-201
Persistent link: https://www.econbiz.de/10009719239
Saved in:
3
Taylor's series for non-differentiable functions
Alghalith, Moawia
- In:
Mathematical economics letters
1
(
2013
)
2/4
,
pp. 43-45
Persistent link: https://www.econbiz.de/10010437327
Saved in:
4
Pricing options under stochastic interest rate and the Frasca-Farina process : a simple, explicit formula
Alghalith, Moawia
- In:
Annals of financial economics
16
(
2021
)
1
,
pp. 1-4
Persistent link: https://www.econbiz.de/10012650873
Saved in:
5
A note on transforming a weak solution to PDE to a smooth solution
Alghalith, Moawia
- In:
International journal of financial engineering
3
(
2016
)
3
,
pp. 1-4
Persistent link: https://www.econbiz.de/10011588130
Saved in:
6
Estimating the stock/portfolio volatility and the volatility of volatility : a new simple method
Alghalith, Moawia
- In:
Econometric reviews
35
(
2016
)
1/4
,
pp. 257-262
Persistent link: https://www.econbiz.de/10011549920
Saved in:
7
A general optimal investment model in the presence of background risk
Alghalith, Moawia
;
Guo, Xu
;
Wong, Wing Keung
;
Zhu, Lixing
- In:
Annals of financial economics
11
(
2016
)
1
,
pp. 1-8
Persistent link: https://www.econbiz.de/10011503987
Saved in:
8
Pricing Options Under Simultaneous Stochastic Volatility and Jumps : A Simple Closed-Form Formula Without Numerical/Computational Methods
Alghalith, Moawia
-
2019
We overcome the limitations of the previous literature in the European options pricing. In doing so, we provide a closed-form formula that doesn't require any numerical/computational methods. The formula is as simple as the classical Black-Scholes pricing formula. In addition, we simultaneously...
Persistent link: https://www.econbiz.de/10012896246
Saved in:
9
A Theorem of the Square Root of the Brownian Motion
Alghalith, Moawia
-
2020
We present a formal theorem of the square root of the Brownian motion. In doing so, we show that this process can be presented as a typical complex random variable. In addition, we introduce the basic properties of this process
Persistent link: https://www.econbiz.de/10012850398
Saved in:
10
Black-Scholes formulas without the normality assumption : Applications to stochastic volatility and stochastic interest rate
Alghalith, Moawia
-
2021
We provide explicit, simple price formulas for the Europeanoptions under stochastic volatility and stochastic interest rate. The formulasare as simple as the classical Black-Scholes formula. Moreover, the formulasdo not require the normality of the returns. We do not need to know thedistribution...
Persistent link: https://www.econbiz.de/10013213298
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