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~person:"Brigo, Damiano"
~person:"Tai, Tzu"
~subject:"Behavioural finance"
~subject:"Black-Scholes model"
~subject:"Capital income"
~subject:"Index futures"
~type_genre:"Book section"
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Behavioural finance
Black-Scholes model
Capital income
Index futures
Option pricing theory
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Option trading
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Optionsgeschäft
2
Optionspreistheorie
2
Volatility
2
Volatilität
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2010-2013
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Black-Scholes-Modell
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Derivat
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Derivative
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Estimation
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Forecasting model
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Historical volatility
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Index-Futures
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Prognoseverfahren
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Schätzung
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Time series analysis
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USA
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United States
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Zeitreihenanalyse
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implied volatility
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option pricing
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pathwise finance
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pathwise option pricing
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rough paths theory
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statistically indistinguishable models
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Brigo, Damiano
Tai, Tzu
Guillaume, Tristan
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Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
1
Portfolio construction, measurement, and efficiency : essays in honor of Jack Treynor
1
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ECONIS (ZBW)
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Probability-free models in option pricing : statistically indistinguishable dynamics and historical vs implied volatility
Brigo, Damiano
- In:
Options - 45 years since the publication of the …
,
(pp. 47-61)
.
2023
Persistent link: https://www.econbiz.de/10014366586
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2
Forecasting implied volatilities for options on index futures : time-series and cross-sectional analysis versus constant elasticity of variance (CEV) model
Tai, Tzu
;
Lee, Cheng F.
- In:
Portfolio construction, measurement, and efficiency : …
,
(pp. 355-387)
.
2017
Persistent link: https://www.econbiz.de/10011603288
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