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~language:"eng"
~language:"slv"
~person:"Fabozzi, Frank J."
~subject:"Option pricing theory"
~type_genre:"Article in journal"
~type_genre:"Bibliografie"
~type_genre:"Non-commercial literature"
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Option pricing theory
Theorie
92
Theory
92
Portfolio selection
79
Portfolio-Management
79
USA
40
United States
40
Optionspreistheorie
39
Volatility
29
Volatilität
29
CAPM
28
Statistical distribution
27
Statistische Verteilung
27
Stochastic process
27
Stochastischer Prozess
27
Capital income
26
Kapitaleinkommen
26
Estimation
24
Schätzung
24
Risikomaß
21
Risikoprämie
21
Risk measure
21
Risk premium
21
Credit risk
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Kreditrisiko
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Derivat
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36
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12
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Fabozzi, Frank J.
Madan, Dilip B.
54
Carr, Peter
46
Härdle, Wolfgang
43
Takahashi, Akihiko
41
Joshi, Mark S.
38
Chiarella, Carl
35
Stentoft, Lars
35
Elliott, Robert J.
34
Kwok, Yue-Kuen
34
Schoutens, Wim
34
Wang, Xingchun
32
Cui, Zhenyu
31
Christoffersen, Peter F.
30
Siu, Tak Kuen
30
Jacobs, Kris
28
Zhang, Jin E.
27
Barone-Adesi, Giovanni
26
Wystup, Uwe
26
Alòs, Elisa
25
Benth, Fred Espen
25
Račev, Svetlozar T.
25
Filipović, Damir
23
Jarrow, Robert A.
23
Kim, Young Shin
23
Schoenmakers, John
23
Platen, Eckhard
22
Escobar, Marcos
21
Schlögl, Erik
21
Chesney, Marc
20
Levendorskij, Sergej Z.
20
Schwartz, Eduardo S.
20
Wong, Hoi Ying
20
Leippold, Markus
19
Prokopczuk, Marcel
19
Scaillet, Olivier
19
Wu, Liuren
19
Zanette, Antonino
19
Glasserman, Paul
18
Korn, Ralf
18
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International journal of theoretical and applied finance
5
The journal of fixed income
4
Computational economics
3
Journal of economic dynamics & control
3
The journal of derivatives : the official publication of the International Association of Financial Engineers
3
European journal of operational research : EJOR
2
Journal of banking & finance
2
Working paper series in economics
2
Applied economics
1
Applied financial economics
1
Econometric reviews
1
Economics letters
1
Finance research letters
1
Insurance / Mathematics & economics
1
International review of financial analysis
1
Journal of risk and financial management : JRFM
1
Mathematical methods of operations research
1
Review of derivatives research
1
Risks : open access journal
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
Temi di discussione / Banca d'Italia
1
The journal of alternative investments : JAI
1
The journal of derivatives : JOD
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ECONIS (ZBW)
39
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11
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39
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11
Enhancing binomial and trinomial equity option pricing models
Kim, Young Shin
;
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
- In:
Finance research letters
28
(
2019
),
pp. 185-190
Persistent link: https://www.econbiz.de/10012388304
Saved in:
12
Evolution of real estate derivatives and their pricing
Fabozzi, Frank J.
;
Shiller, Robert J.
;
Tunaru, Radu
- In:
The journal of derivatives : the official publication …
26
(
2019
)
3
,
pp. 7-21
Persistent link: https://www.econbiz.de/10012306146
Saved in:
13
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:
14
Quanto option pricing with Lévy models
Fallahgoul, Hasan A.
;
Kim, Young Shin
;
Fabozzi, Frank J.
; …
- In:
Computational economics
53
(
2019
)
3
,
pp. 1279-1308
Persistent link: https://www.econbiz.de/10012135131
Saved in:
15
Another look at the Ho-Lee bond option pricing model
Kim, Young Shin
;
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
- In:
The journal of derivatives : the official publication …
25
(
2018
)
4
,
pp. 48-53
Persistent link: https://www.econbiz.de/10011965408
Saved in:
16
Calibrating the Italian smile with time-varying volatility and heavy-tailed models
Bianchi, Michele Leonardo
;
Račev, Svetlozar T.
; …
- In:
Computational economics
51
(
2018
)
3
,
pp. 339-378
Persistent link: https://www.econbiz.de/10011963681
Saved in:
17
Local volatility and the recovery rate of credit default swaps
Jansen, Jeroen
;
Das, Sanjiv R.
;
Fabozzi, Frank J.
- In:
Journal of economic dynamics & control
92
(
2018
),
pp. 1-29
Persistent link: https://www.econbiz.de/10011974230
Saved in:
18
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:
19
An improved least squares Monte Carlo valuation method based on heteroscedasticity
Fabozzi, Frank J.
;
Paletta, Tommaso
;
Tunaru, Radu
- In:
European journal of operational research : EJOR
263
(
2017
)
2
,
pp. 698-706
Persistent link: https://www.econbiz.de/10011794017
Saved in:
20
Intensity-based framework for surrender modeling in life insurance
Russo, Vincenzo
;
Giacometti, Rosella
;
Fabozzi, Frank J.
- In:
Insurance / Mathematics & economics
72
(
2017
),
pp. 189-196
Persistent link: https://www.econbiz.de/10011694432
Saved in:
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