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isPartOf:"Econometric Institute research papers"
~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"The review of financial studies"
~subject:"Optionspreistheorie"
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Finanzierung, Investition und Entscheidung : einzelwirtschaftliche Analysen zur Bank- und Finanzwirtschaft ; Prof. Dr. Michael Bitz zum 65. Geburtstag gewidmet ; [Festschrift für Michael Bitz]
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Capturing option anomalies with a variance-dependent pricing Kernel
Christoffersen, Peter F.
;
Heston, Steven L.
;
Jacobs, Kris
- In:
The review of financial studies
26
(
2013
)
8
,
pp. 1962-2006
Persistent link: https://www.econbiz.de/10010207293
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2
A central limit theorem for Latin hypercube sampling with dependence and application to exotic basket option pricing
Aistleitner, Christoph
;
Hofer, Markus
;
Tichy, Robert F.
- In:
International journal of theoretical and applied finance
15
(
2012
)
7
,
pp. 1-20
Persistent link: https://www.econbiz.de/10009685903
Saved in:
3
Hedging (co)variance risk with variance swaps
Fonseca, José da
;
Grasselli, Martino
;
Ielpo, Florian
- In:
International journal of theoretical and applied finance
14
(
2011
)
6
,
pp. 899-943
Persistent link: https://www.econbiz.de/10009380996
Saved in:
4
Local scale invariance and contingent claim pricing
Hoogland, J. K.
;
Neumann, C. D. D.
- In:
International journal of theoretical and applied finance
4
(
2001
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10001554193
Saved in:
5
Local scale invariance and contingent claim pricing, [Teil] II: Path-dependent contingent claims
Hoogland, J. K.
;
Neumann, C. D. D.
- In:
International journal of theoretical and applied finance
4
(
2001
)
1
,
pp. 23-43
Persistent link: https://www.econbiz.de/10001554199
Saved in:
6
Constant elasticity of variance option pricing model with time-dependent parameters
Lo, C. F.
;
Yuen, P. H.
;
Hui, Cho H.
- In:
International journal of theoretical and applied finance
3
(
2000
)
4
,
pp. 661-674
Persistent link: https://www.econbiz.de/10001526858
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