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~isPartOf:"Journal of economic dynamics & control"
~subject:"Derivat"
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Search: subject_exact:"Optionspreismodell"
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Derivat
Option pricing theory
130
Optionspreistheorie
130
Theorie
38
Theory
38
Option trading
37
Optionsgeschäft
37
Stochastic process
37
Stochastischer Prozess
37
Volatility
35
Volatilität
35
Portfolio selection
22
Portfolio-Management
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Derivative
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Hedging
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CAPM
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Monte Carlo simulation
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Statistical distribution
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Credit risk
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Kreditrisiko
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Real options analysis
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Realoptionsansatz
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Risikoprämie
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Risk premium
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Markov chain
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Markov-Kette
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Numerical analysis
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Numerisches Verfahren
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Option pricing
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Chiarella, Carl
2
Joshi, Mark S.
2
Tang, Robert
2
Badescu, Alexandru
1
Barletta, Andrea
1
Beveridge, Christopher
1
Blenman, Lloyd P.
1
Branger, Nicole
1
Breton, Michèle
1
Cai, Ning
1
Chang, Chien-hung
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Chen, Zheng
1
Cheng, Jun
1
Elliott, Robert J.
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Ewald, Christian-Oliver
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Fabozzi, Frank J.
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Fontini, Fulvio
1
Füss, Roland
1
Gao, Bin
1
Guo, Ivan
1
Guégan, Dominique
1
Hassan, Nadima el
1
Hu, Yuan
1
Huang, Jing-Zhi
1
Ibraimi, Meriton
1
Ielpo, Florian
1
Kalev, Petko S.
1
Kuczera, Adam
1
Lalaharison, Hanjarivo
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Leippold, Markus
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Li, Danping
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Li, Jing
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Li, Lingfei
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Lin, Yueh-neng
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Lindquist, W. Brent
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Mahringer, Steffen
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Menkens, Olaf
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Journal of economic dynamics & control
International journal of theoretical and applied finance
101
Applied mathematical finance
61
Review of derivatives research
44
Quantitative finance
39
The journal of computational finance
32
The journal of futures markets
31
European journal of operational research : EJOR
30
Journal of banking & finance
30
Journal of mathematical finance
30
International journal of financial engineering
23
Energy economics
22
Mathematical finance : an international journal of mathematics, statistics and financial theory
22
Finance and stochastics
20
Risks : open access journal
20
The journal of derivatives : JOD
20
The European journal of finance
19
The North American journal of economics and finance : a journal of financial economics studies
19
The journal of derivatives : the official publication of the International Association of Financial Engineers
17
Computational economics
15
Finance research letters
15
Journal of econometrics
15
SpringerLink / Bücher
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Insurance / Mathematics & economics
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Applied economics letters
13
International review of financial analysis
13
Annals of finance
12
International review of economics & finance : IREF
12
Journal of risk and financial management : JRFM
11
SFB 649 discussion paper
11
Mathematical finance
10
Research paper series / Swiss Finance Institute
10
Wiley finance series
10
Applied economics
9
Mathematical finance : an international journal of mathematics, statistics and financial economics
9
Asia-Pacific financial markets
8
Economic modelling
8
Journal of financial economics
8
Management science : journal of the Institute for Operations Research and the Management Sciences
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ECONIS (ZBW)
21
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1
Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
Hu, Yuan
;
Lindquist, W. Brent
;
Račev, Svetlozar T.
; …
- In:
Journal of economic dynamics & control
137
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013464578
Saved in:
2
Investing in electricity production under a reliability options scheme
Fontini, Fulvio
;
Vargiolu, Tiziano
;
Zormpas, Dimitrios
- In:
Journal of economic dynamics & control
126
(
2021
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012667919
Saved in:
3
It only takes a few moments to hedge options
Barletta, Andrea
;
Santucci de Magistris, Paolo
;
Sloth, David
- In:
Journal of economic dynamics & control
100
(
2019
),
pp. 251-269
Persistent link: https://www.econbiz.de/10012130971
Saved in:
4
Evaluation of counterparty risk for derivatives with early-exercise features
Breton, Michèle
;
Marzouk, Oussama
- In:
Journal of economic dynamics & control
88
(
2018
),
pp. 1-20
Persistent link: https://www.econbiz.de/10011973914
Saved in:
5
Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
Zeng, Yan
;
Li, Danping
;
Chen, Zheng
;
Yang, Zhou
- In:
Journal of economic dynamics & control
88
(
2018
),
pp. 70-103
Persistent link: https://www.econbiz.de/10011973926
Saved in:
6
Pure jump models for pricing and hedging VIX derivatives
Li, Jing
;
Li, Lingfei
;
Zhang, Gongqiu
- In:
Journal of economic dynamics & control
74
(
2017
),
pp. 28-55
Persistent link: https://www.econbiz.de/10011740472
Saved in:
7
Equal risk pricing under convex trading constraints
Guo, Ivan
;
Zhu, Song-Ping
- In:
Journal of economic dynamics & control
76
(
2017
),
pp. 136-151
Persistent link: https://www.econbiz.de/10011817212
Saved in:
8
Optimal portfolios when variances and covariances can jump
Branger, Nicole
;
Muck, Matthias
;
Seifried, Frank Thomas
; …
- In:
Journal of economic dynamics & control
85
(
2017
),
pp. 59-89
Persistent link: https://www.econbiz.de/10011919303
Saved in:
9
Computation of Greeks using binomial trees in a jump-diffusion model
Suda, Shintaro
;
Muroi, Yoshifumi
- In:
Journal of economic dynamics & control
51
(
2015
),
pp. 93-110
Persistent link: https://www.econbiz.de/10011474273
Saved in:
10
Electricity derivatives pricing with forward-looking information
Füss, Roland
;
Mahringer, Steffen
;
Prokopczuk, Marcel
- In:
Journal of economic dynamics & control
58
(
2015
),
pp. 34-57
Persistent link: https://www.econbiz.de/10011574636
Saved in:
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