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~person:"Boyle, Phelim P."
~person:"Wu, Liuren"
~type_genre:"Aufsatz im Buch"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Optionspreismodell"
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Option pricing theory
33
Optionspreistheorie
33
Volatility
13
Volatilität
13
Theorie
12
Theory
12
Stochastic process
10
Stochastischer Prozess
10
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8
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Boyle, Phelim P.
Wu, Liuren
Madan, Dilip B.
51
Fabozzi, Frank J.
47
Carr, Peter
46
Elliott, Robert J.
38
Kwok, Yue-Kuen
34
Cui, Zhenyu
32
Takahashi, Akihiko
32
Wang, Xingchun
31
Siu, Tak Kuen
30
Schoutens, Wim
27
Benth, Fred Espen
26
Zhang, Jin E.
26
Jarrow, Robert A.
25
Kim, Young Shin
23
Račev, Svetlozar T.
23
Stentoft, Lars
22
Escobar, Marcos
21
Wong, Hoi Ying
21
Levendorskij, Sergej Z.
20
Glasserman, Paul
19
Joshi, Mark S.
19
Zanette, Antonino
19
Chiarella, Carl
18
Eberlein, Ernst
18
Fusai, Gianluca
18
Schwartz, Eduardo S.
18
He, Xin-Jiang
17
Chen, Ren-Raw
16
Chen, Son-nan
16
Härdle, Wolfgang
16
Lin, Shih-kuei
16
Ryu, Doojin
16
Zhu, Song-Ping
16
Brigo, Damiano
15
Christoffersen, Peter F.
15
Chung, San-lin
15
Câmara, António
15
Jacobs, Kris
15
Jeanblanc, Monique
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Journal of financial economics
4
Journal of financial and quantitative analysis : JFQA
3
The journal of finance : the journal of the American Finance Association
3
Journal of economic dynamics & control
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Advances in futures and options research : a research annual
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American journal of agricultural economics
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
1
Options : classic approaches to pricing and modelling
1
Research in finance
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Review of derivatives research
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The European journal of finance
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ECONIS (ZBW)
33
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1
Probabilistic interpretation of Black implied volatility
Carr, Peter
;
Wu, Liuren
;
Zhang, Yuzhao
- In:
Options - 45 years since the publication of the …
,
(pp. 29-46)
.
2023
Persistent link: https://www.econbiz.de/10014366585
Saved in:
2
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:
3
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:
4
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:
5
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:
6
Static hedging of standard options
Carr, Peter
;
Wu, Liuren
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
1
,
pp. 3-46
Persistent link: https://www.econbiz.de/10010233614
Saved in:
7
Variance swaps on time-changed Lévy processes
Carr, Peter
;
Lee, Roger
;
Wu, Liuren
- In:
Finance and stochastics
16
(
2012
)
2
,
pp. 335-355
Persistent link: https://www.econbiz.de/10009544664
Saved in:
8
Monte Carlo methods for pricing discrete Parisian options
Bernard, Carole
;
Boyle, Phelim P.
- In:
The European journal of finance
17
(
2011
)
3/4
,
pp. 169-196
Persistent link: https://www.econbiz.de/10009155447
Saved in:
9
Variance dynamics : joint evidence from options and high-frequency returns
Wu, Liuren
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 280-287
Persistent link: https://www.econbiz.de/10009242518
Saved in:
10
The behavior of risk and market prices of risk over the Nasdaq bubble period
Bakshi, Gurdip S.
;
Wu, Liuren
- In:
Management science : journal of the Institute for …
56
(
2010
)
12
,
pp. 2251-2264
Persistent link: https://www.econbiz.de/10008809519
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