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On the qualitative effect of v...
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Volatility
Option pricing theory
94
Optionspreistheorie
94
Theorie
79
Theory
79
Volatilität
59
Stochastic process
52
Stochastischer Prozess
52
Hedging
36
Option trading
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Optionsgeschäft
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Portfolio selection
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Risiko
14
Risk
14
Commodity derivative
12
Rohstoffderivat
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option pricing
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Asian options
10
Real options analysis
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Realoptionsansatz
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Risikoprämie
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Risk premium
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Share price
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Black-Scholes model
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Black-Scholes-Modell
8
Credit risk
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8
Derivatives
7
Kreditrisiko
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7
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Carr, Peter
35
Ewald, Christian-Oliver
18
Wu, Liuren
10
Lee, Roger
5
Ting, Sai Hung Marten
5
Xiao, Yajun
5
Zou, Yihan
5
Chen, Jilong
4
Ewald, Christian
4
Itkin, Andrey
3
Yang, Zhaojun
3
Haugom, Erik
2
Lien, Gudbrand
2
Lorig, Matthew
2
Madan, Dilip B.
2
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2
Størdal, Ståle
2
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1
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Centre for Research into Industry, Enterprise, Finance and the Firm (CRIEFF), University of St. Andrews
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Applied mathematical finance
3
International journal of theoretical and applied finance
3
Mathematical finance : an international journal of mathematics, statistics and financial theory
3
Computational economics
2
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NYU Tandon Research Paper
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Financial modeling and risk management of energy and environmental instruments and derivates
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International review of financial analysis
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1
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Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
1
Risk and decision analysis
1
Robert H. Smith School Research Paper
1
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1
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ECONIS (ZBW)
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On the qualitative effect of volatility and duration on prices of Asian options
Carr, Peter
;
Ewald, CXhristian-Oliver
;
Xiao, Yajun
-
2008
Persistent link: https://www.econbiz.de/10003680543
Saved in:
2
Semi-static hedging of barrier options under poisson jumps
Carr, Peter
- In:
International journal of theoretical and applied finance
14
(
2011
)
7
,
pp. 1091-1111
Persistent link: https://www.econbiz.de/10009407668
Saved in:
3
Why is VIX a fear gauge?
Carr, Peter
- In:
Risk and decision analysis
6
(
2017
)
2
,
pp. 179-185
Persistent link: https://www.econbiz.de/10011743831
Saved in:
4
Implied volatility from Asian options via Monte Carlo methods
Yang, Zhaojun
;
Ewald, Christian-Oliver
;
Xiao, Yajun
- In:
International journal of theoretical and applied finance
12
(
2009
)
2
,
pp. 152-178
Persistent link: https://www.econbiz.de/10003855756
Saved in:
5
A tale of two indices
Carr, Peter
;
Wu, Liuren
- In:
The journal of derivatives : the official publication …
13
(
2006
)
3
,
pp. 13-29
Persistent link: https://www.econbiz.de/10003321077
Saved in:
6
Put-call symmetry : extensions and applications
Carr, Peter
;
Lee, Roger
- In:
Mathematical finance : an international journal of …
19
(
2009
)
4
,
pp. 523-560
Persistent link: https://www.econbiz.de/10003937125
Saved in:
7
A jump to default extended CEV model : an application of Bessel processes
Carr, Peter
;
Linetsky, Vadim
- In:
Finance and stochastics
10
(
2006
)
3
,
pp. 303-330
Persistent link: https://www.econbiz.de/10003379774
Saved in:
8
Volatility derivatives
Carr, Peter
;
Lee, Roger
- In:
Annual review of financial economics
1
(
2009
),
pp. 319-339
Persistent link: https://www.econbiz.de/10003924502
Saved in:
9
Markets, profits, capital, leverage and return
Carr, Peter
;
Madan, Dilip B.
;
Alvarez, Juan Jose Vicente
- In:
Journal of risk
14
(
2011/12
)
1
,
pp. 95-122
Persistent link: https://www.econbiz.de/10011301314
Saved in:
10
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
Itkin, Andrey
;
Carr, Peter
- In:
Computational economics
40
(
2012
)
1
,
pp. 63-104
Persistent link: https://www.econbiz.de/10009627499
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