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type_genre:"Working Paper"
~person:"Platen, Eckhard"
~person:"Scaillet, Olivier"
~subject:"Option pricing theory"
~type_genre:"Graue Literatur"
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Option pricing theory
Stochastic process
43
Stochastischer Prozess
43
Theorie
22
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Volatility
14
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14
Portfolio selection
10
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Platen, Eckhard
Scaillet, Olivier
Chiarella, Carl
11
Kohlmann, Michael
10
Alòs, Elisa
9
Takahashi, Akihiko
8
Filipović, Damir
6
Yamada, Toshihiro
6
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5
Forbes, Catherine Scipione
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Martin, Gael M.
5
Renault, Eric
5
Schöbel, Rainer
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Tang, Shanjian
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Wystup, Uwe
5
Christoffersen, Peter F.
4
Craig, Ben R.
4
Gnoatto, Alessandro
4
Henderson, Vicky
4
Howison, Sam
4
Kang, Boda
4
Keller, Joachim G.
4
Kilin, Fiodar
4
León, Jorge A.
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Lord, Roger
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Nagaev, Sergei A.
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Schlag, Christian
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Barndorff-Nielsen, Ole E.
3
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Ewald, Christian-Oliver
3
Farkas, Walter
3
Ferrari, Giorgio
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Föllmer, Hans
3
Hafner, Christian M.
3
Jacobs, Kris
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Cahier de recherche / Faculté des Sciences Economiques et Sociales, Hautes Etudes Commerciales, Université de Genève
1
Cahier de recherches / Faculté des Sciences Economiques et Sociales, Hautes Etudes Commerciales, Université de Genève
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ECONIS (ZBW)
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Calibration to FX triangles of the 4/2 model under the benchmark approach
Gnoatto, Alessandro
;
Grasselli, Martino
;
Platen, Eckhard
-
2021
Persistent link: https://www.econbiz.de/10013347384
Saved in:
2
Fast quantization of stochastic volatility models
Rudd, Ralph
;
McWalter, Thomas A.
;
Kienitz, Jörg
; …
-
2017
Persistent link: https://www.econbiz.de/10011778174
Saved in:
3
Approximation and calibration of short-term implied volatilities under jump-diffusion stochastic volatility
Medvedev, Alexey
(
contributor
); …
-
2006
Persistent link: https://www.econbiz.de/10003370412
Saved in:
4
Approximation and calibration of short-term implied volatilities under jump-diffusion stochastic volatility
Medvedev, Alexey
(
contributor
); …
-
2006
Persistent link: https://www.econbiz.de/10003354334
Saved in:
5
A simple calibration procedure of stochastic volatility models with jumps by short term asymptotics
Medvedev, Alexey
;
Scaillet, Olivier
-
2003
Persistent link: https://www.econbiz.de/10001825737
Saved in:
6
Convergence of discrete time option pricing models under stochastic interest rates
Lesne, Jean-Philippe
;
Prigent, Jean-Luc
;
Scaillet, Olivier
-
1998
Persistent link: https://www.econbiz.de/10000997340
Saved in:
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