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A remark on static hedging of...
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Volatility
Optionspreistheorie
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Cui, Zhenyu
44
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37
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28
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Jacobs, Kris
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Lorig, Matthew
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International journal of theoretical and applied finance
171
The journal of futures markets
135
Quantitative finance
109
Journal of banking & finance
103
Applied mathematical finance
82
Finance research letters
73
The journal of computational finance
65
Mathematical finance : an international journal of mathematics, statistics and financial theory
64
Energy economics
57
Review of derivatives research
55
The North American journal of economics and finance : a journal of financial economics studies
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International journal of financial engineering
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International review of financial analysis
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European journal of operational research : EJOR
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Journal of econometrics
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Finance and stochastics
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Journal of economic dynamics & control
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Computational economics
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Journal of mathematical finance
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International review of economics & finance : IREF
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The European journal of finance
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Annals of finance
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Insurance / Mathematics & economics
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Journal of empirical finance
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Journal of risk and financial management : JRFM
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Working paper / National Bureau of Economic Research, Inc.
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Journal of financial markets
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Journal of international financial markets, institutions & money
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Decisions in economics and finance : DEF ; a journal of applied mathematics
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ECONIS (ZBW)
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1
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order
Schlögl, Erik
- In:
Journal of economic dynamics & control
37
(
2013
)
3
,
pp. 611-632
Persistent link: https://www.econbiz.de/10009710479
Saved in:
2
Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
Kirkby, J. Lars
;
Nguyen, Duy
- In:
Annals of finance
16
(
2020
)
3
,
pp. 307-351
Persistent link: https://www.econbiz.de/10012496337
Saved in:
3
Forward variance dynamics : Bergomi's model revisited
Aly, Sidi Mohamed Ould
- In:
Applied mathematical finance
21
(
2014
)
1/2
,
pp. 84-107
Persistent link: https://www.econbiz.de/10010351856
Saved in:
4
Simple robust
hedging
with nearby contracts
Wu, Liuren
;
Zhu, Jingyi
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
1
,
pp. 1-35
Persistent link: https://www.econbiz.de/10011658670
Saved in:
5
A verification model to capture option risk and
hedging
based on a modified underlying beta
Shen, Chuan-He
;
Liu, Yang
- In:
The journal of risk model validation
15
(
2021
)
1
,
pp. 49-68
Persistent link: https://www.econbiz.de/10014540158
Saved in:
6
Models of option pricing
Shao, Jia
;
Joseph, Nathan Lael
;
El-Masry, Ahmed A.
-
2024
Persistent link: https://www.econbiz.de/10015045544
Saved in:
7
The compatibility of one-factor market models in caps and swaptions markets : evidence from their dynamic
hedging
performance
An, Yunbi
;
Suo, Wulin
- In:
The journal of futures markets
28
(
2008
)
2
,
pp. 109-130
Persistent link: https://www.econbiz.de/10003647668
Saved in:
8
Does
hedging
with implied volatility factors improve the
hedging
efficiency of barrier options?
Borak, Szymon
;
Fengler, Matthias R.
;
Härdle, Wolfgang
- In:
The journal of risk model validation
3
(
2009/10
)
1
,
pp. 73-92
Persistent link: https://www.econbiz.de/10003848886
Saved in:
9
Hedging
under alternative stickiness assumptions : an emperical analysis for barrier options
Engelmann, Bernd
;
Fengler, Matthias R.
;
Schwendner, Peter
- In:
Journal of risk
12
(
2009/10
)
1
,
pp. 53-77
Persistent link: https://www.econbiz.de/10003900335
Saved in:
10
Model risk adjusted hedge ratios
Alexander, Carol
;
Kaeck, Andreas
;
Nogueira, Leonardo M.
- In:
The journal of futures markets
29
(
2009
)
11
,
pp. 1021-1049
Persistent link: https://www.econbiz.de/10003900965
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