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~isPartOf:"International journal of theoretical and applied finance"
~person:"Elliott, Robert J."
~person:"Fabozzi, Frank J."
~person:"Sandmann, Klaus"
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Option pricing theory
13
Optionspreistheorie
13
Markov chain
5
Markov-Kette
5
Stochastic process
5
Stochastischer Prozess
5
CAPM
4
Hedging
3
Option trading
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Optionsgeschäft
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European call option prices for inform traders
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Elliott, Robert J.
Fabozzi, Frank J.
Sandmann, Klaus
Levendorskij, Sergej Z.
10
Kwok, Yue-Kuen
9
Takahashi, Akihiko
7
Gapeev, Pavel V.
6
Jeanblanc, Monique
6
Benth, Fred Espen
5
Bojarčenko, Svetlana I.
5
Joshi, Mark S.
5
Oosterlee, Cornelis W.
5
Siu, Tak Kuen
5
Avellaneda, Marco
4
Brigo, Damiano
4
Ekström, Erik
4
Hess, Markus
4
Hui, Cho H.
4
Liu, Rui Hua
4
Lo, C. F.
4
Macrina, Andrea
4
Račev, Svetlozar T.
4
Wu, Lixin
4
Arai, Takuji
3
Bernard, Carole
3
Boyarchenko, Mitya
3
Chiarella, Carl
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Cui, Zhenyu
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Ehrhardt, Matthias
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Forde, Martin
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Gatheral, Jim
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Grzelak, Lech A.
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Hoogland, J. K.
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Hubalek, Friedrich
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Hughston, Lane P.
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Neumann, C. D. D.
3
Pallavicini, Andrea
3
Pistorius, Martijn
3
Radoičić, Radoš
3
Schmidt, Thorsten
3
Schoutens, Wim
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International journal of theoretical and applied finance
Discussion paper / B
7
Journal of economic dynamics & control
5
Mathematical finance : an international journal of mathematics, statistics and financial theory
5
Valuation, financial modeling, and quantitative tools
5
Annals of finance
4
Applied mathematical finance
4
The journal of fixed income
4
Computational economics
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European journal of operational research : EJOR
3
Insurance / Mathematics & economics
3
Interest rate, term structure, and valuation modeling
3
Journal of banking & finance
3
The Frank J. Fabozzi series
3
The journal of derivatives : the official publication of the International Association of Financial Engineers
3
The journal of futures markets
3
Bank of Italy Temi di Discussione (Working Paper)
2
Finance and stochastics
2
The European journal of finance
2
The handbook of fixed income securities
2
The journal of derivatives : JOD
2
The theory and practice of investment management
2
Working paper series in economics
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Advances in finance and stochastics : essays in honour of Dieter Sondermann
1
Annals of operations research ; volume 275, numbers 2 (April 2019)
1
Applied economics
1
Applied financial economics
1
Asia-Pacific financial markets
1
Econometric reviews
1
Economics letters
1
Finance research letters
1
Financial markets and instruments
1
Financial markets and portfolio management
1
Geld, Finanzwirtschaft, Banken und Versicherungen : 1996 ; Beiträge zum 7. Symposium Geld, Finanzwirtschaft, Banken und Versicherungen an der Universität Karlsruhe vom 11.- 13. Dezember 1996
1
International journal of financial engineering
1
International journal of theoretical and applied finance : IJTAF
1
International review of financial analysis
1
Journal of financial and quantitative analysis : JFQA
1
Journal of risk and financial management : JRFM
1
Les cahiers de recherche / HEC Paris
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1
Option pricing in markets with informed traders
Hu, Yuan
;
Shirvani, Abootaleb
;
Stoyanov, Stoyan V.
; …
- In:
International journal of theoretical and applied finance
23
(
2020
)
6
,
pp. 1-32
Persistent link: https://www.econbiz.de/10012496747
Saved in:
2
Pricing derivatives in hermite markets
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
;
Mittnik, Stefan
- In:
International journal of theoretical and applied finance
22
(
2019
)
6
,
pp. 1-27
Persistent link: https://www.econbiz.de/10012153100
Saved in:
3
Hedging options in a doubly Markov-modulated financial market via stochastic flows
Siu, Tak Kuen
;
Elliott, Robert J.
- In:
International journal of theoretical and applied finance
22
(
2019
)
8
,
pp. 1-41
Persistent link: https://www.econbiz.de/10012183224
Saved in:
4
Financial markets with no riskless (safe) asset
Račev, Svetlozar T.
;
Stoyanov, Stoyan V.
;
Fabozzi, Frank J.
- In:
International journal of theoretical and applied finance
20
(
2017
)
8
,
pp. 1-24
Persistent link: https://www.econbiz.de/10011787424
Saved in:
5
A Dupire equation for a regime-switching model
Elliott, Robert J.
;
Chan, Leunglung
;
Siu, Tak Kuen
- In:
International journal of theoretical and applied finance
18
(
2015
)
4
,
pp. 1-13
Persistent link: https://www.econbiz.de/10011403770
Saved in:
6
Option pricing using a regime switching stochastic discount factor
Elliott, Robert J.
;
Hamada, Ahmed S.
- In:
International journal of theoretical and applied finance
17
(
2014
)
3
,
pp. 1-26
Persistent link: https://www.econbiz.de/10010364754
Saved in:
7
Attainable contingent claims in a Markovian regime-switching market
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
International journal of theoretical and applied finance
15
(
2012
)
8
,
pp. 1-19
Persistent link: https://www.econbiz.de/10009706331
Saved in:
8
In-arrears term structure products : no arbitrage pricing bounds and the convexity adjustments
Chen, An
;
Sandmann, Klaus
- In:
International journal of theoretical and applied finance
15
(
2012
)
8
,
pp. 1-24
Persistent link: https://www.econbiz.de/10009706335
Saved in:
9
A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions
Badescu, Alexandru
;
Elliott, Robert J.
;
Kulperger, Reg
; …
- In:
International journal of theoretical and applied finance
14
(
2011
)
5
,
pp. 669-708
Persistent link: https://www.econbiz.de/10009298478
Saved in:
10
It's your choice : a unified approach to chooser options
Sandmann, Klaus
;
Wittke, Manuel
- In:
International journal of theoretical and applied finance
13
(
2010
)
1
,
pp. 139-161
Persistent link: https://www.econbiz.de/10008860419
Saved in:
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