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subject:"local homogeneity"
~person:"Funahashi, Hideharu"
~person:"Nguyen, Duy"
~subject:"Volatilität"
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local homogeneity
Volatilität
Option pricing theory
4
Optionspreistheorie
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Stochastic process
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Stochastischer Prozess
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Volatility
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stochastic volatility model
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Markov chain
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Option trading
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Options pricing
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Stochastic volatility model
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calibration
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chaos expansion
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density matching
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fractional Brownian motion
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fractional volatility model
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hurst index
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jump diffusion
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mean-reverting process
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options pricing
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Funahashi, Hideharu
Nguyen, Duy
McAleer, Michael
8
Asai, Manabu
6
Chang, Chia-Lin
4
Spokoiny, Vladimir G.
4
Takahashi, Akihiko
4
Chiarella, Carl
3
Kobayashi, Masahito
3
Koopman, Siem Jan
3
Baum, Christopher F.
2
Chaussé, Pierre
2
Chen, Jinghui
2
Chen, Liyuan
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Diebold, Francis X.
2
Frazier, David T.
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Herwartz, Helmut
2
Huber, Florian
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Härdle, Wolfgang
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Jungbacker, Borus
2
Lee, Eunhee
2
Loiza-Maya, Ruben
2
Martin, Gael M.
2
Mercurio, Danilo
2
Neto, David
2
Peiris, Shelton
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Sardy, Sylvain
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Schorfheide, Frank
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Shin, Minchul
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Xu, Dinghai
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Yamada, Toshihiro
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Zerilli, Paola
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Aas, Kjersti
1
Alanya, Willy
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Alòs, Elisa
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Amir Ahmadi, Pooyan
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Antonelli, Fabio
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Assaf, Ata
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International journal of financial engineering
2
Finance research letters
1
International journal of theoretical and applied finance
1
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ECONIS (ZBW)
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Replication scheme for the pricing of European options
Funahashi, Hideharu
- In:
International journal of theoretical and applied finance
24
(
2021
)
3
,
pp. 1-37
Persistent link: https://www.econbiz.de/10012652628
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2
A hybrid Markov chain-tree valuation framework for stochastic volatility jump diffusion models
Nguyen, Duy
- In:
International journal of financial engineering
5
(
2018
)
4
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012028829
Saved in:
3
A unified tree approach for options pricing under stochastic volatility models
Lo, C. C.
;
Nguyen, Duy
;
Skindilias, K.
- In:
Finance research letters
20
(
2017
),
pp. 260-268
Persistent link: https://www.econbiz.de/10011806944
Saved in:
4
Pricing derivatives with fractional volatility
Funahashi, Hideharu
- In:
International journal of financial engineering
4
(
2017
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011673129
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