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~person:"Boyle, Phelim P."
~person:"Eberlein, Ernst"
~person:"Wu, Liuren"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Optionspreismodell"
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Option pricing theory
44
Optionspreistheorie
44
Stochastic process
16
Stochastischer Prozess
16
Theorie
15
Theory
15
Volatility
13
Volatilität
13
Option trading
11
Optionsgeschäft
11
Yield curve
7
Zinsstruktur
7
Derivat
5
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Index futures
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Aktienoption
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Lévy processes
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Stock option
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Swap
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jumps
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Black-Scholes model
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Currency option
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Devisenoption
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Hybrid models
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Kapitaleinkommen
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option pricing
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Aufsatz in Zeitschrift
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Boyle, Phelim P.
Eberlein, Ernst
Wu, Liuren
Madan, Dilip B.
50
Carr, Peter
45
Fabozzi, Frank J.
35
Elliott, Robert J.
34
Kwok, Yue-Kuen
34
Cui, Zhenyu
31
Wang, Xingchun
31
Takahashi, Akihiko
30
Siu, Tak Kuen
29
Schoutens, Wim
27
Zhang, Jin E.
26
Benth, Fred Espen
24
Jarrow, Robert A.
23
Kim, Young Shin
21
Stentoft, Lars
21
Escobar, Marcos
20
Levendorskij, Sergej Z.
20
Račev, Svetlozar T.
20
Wong, Hoi Ying
20
Joshi, Mark S.
19
Zanette, Antonino
19
Schwartz, Eduardo S.
18
Glasserman, Paul
17
He, Xin-Jiang
17
Chen, Ren-Raw
16
Chen, Son-nan
16
Lin, Shih-kuei
16
Ryu, Doojin
16
Zhu, Song-Ping
16
Chung, San-lin
15
Xu, Wei
15
Chiarella, Carl
14
Christoffersen, Peter F.
14
Câmara, António
14
Fusai, Gianluca
14
Hobson, David G.
14
Härdle, Wolfgang
14
Jacobs, Kris
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Applied mathematical finance
7
Journal of financial economics
4
Finance and stochastics
3
Journal of financial and quantitative analysis : JFQA
3
Mathematical finance : an international journal of mathematics, statistics and financial theory
3
The journal of finance : the journal of the American Finance Association
3
Insurance / Mathematics & economics
2
Journal of economic dynamics & control
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
The journal of business : B
2
Advances in futures and options research : a research annual
1
American journal of agricultural economics
1
Journal of banking & finance
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Journal of investment management : JOIM
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Journal of risk
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Quantitative finance
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Review of derivatives research
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The European journal of finance
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ECONIS (ZBW)
44
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1
Fourier based methods for the management of complex life insurance products
Ballotta, Laura
;
Eberlein, Ernst
;
Schmidt, Thorsten
; …
- In:
Insurance / Mathematics & economics
101
(
2021
)
2
,
pp. 320-341
Persistent link: https://www.econbiz.de/10012793930
Saved in:
2
A multiple curve Lévy swap market model
Eberlein, Ernst
;
Gerhart, Christoph
; …
- In:
Applied mathematical finance
27
(
2020
)
5
,
pp. 396-421
Persistent link: https://www.econbiz.de/10012501623
Saved in:
3
Using machine learning to predict realized variance
Carr, Peter
;
Wu, Liuren
;
Zhang, Zhibai
- In:
Journal of investment management : JOIM
18
(
2020
)
2
,
pp. 57-72
Persistent link: https://www.econbiz.de/10012588965
Saved in:
4
Hybrid Lévy models : design and computational aspects
Eberlein, Ernst
;
Rudmann, Marcus
- In:
Applied mathematical finance
25
(
2018
)
5/6
,
pp. 533-556
Persistent link: https://www.econbiz.de/10012129180
Saved in:
5
A multiple-curve Lévy forward rate model in a two-price economy
Eberlein, Ernst
;
Gerhart, Christoph
- In:
Quantitative finance
18
(
2018
)
4
,
pp. 537-561
Persistent link: https://www.econbiz.de/10011906431
Saved in:
6
Simple robust hedging with nearby contracts
Wu, Liuren
;
Zhu, Jingyi
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
1
,
pp. 1-35
Persistent link: https://www.econbiz.de/10011658670
Saved in:
7
Leverage effect, volatility feedback, and self-exciting market disruptions
Carr, Peter
;
Wu, Liuren
- In:
Journal of financial and quantitative analysis : JFQA
52
(
2017
)
5
,
pp. 2119-2156
Persistent link: https://www.econbiz.de/10011928991
Saved in:
8
Computation of Greeks in LIBOR models driven by time : inhomogeneous Lévy processes
Eberlein, Ernst
;
Eddahbi, M'hamed
;
Cherif, Sidi Mohamed …
- In:
Applied mathematical finance
23
(
2016
)
3/4
,
pp. 236-260
Persistent link: https://www.econbiz.de/10011704234
Saved in:
9
Analyzing volatility risk and risk premium in option contracts : a new theory
Carr, Peter
;
Wu, Liuren
- In:
Journal of financial economics
120
(
2016
)
1
,
pp. 1-20
Persistent link: https://www.econbiz.de/10011590060
Saved in:
10
Variational solutions of the pricing PIDEs for European options in Lévy models
Eberlein, Ernst
;
Glau, Kathrin
- In:
Applied mathematical finance
21
(
2014
)
5/6
,
pp. 417-450
Persistent link: https://www.econbiz.de/10010500880
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