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~person:"Carr, Peter"
~person:"Takahashi, Akihiko"
~subject:"Volatilität"
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Search: subject:"PRICING"
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Volatilität
Option pricing theory
119
Optionspreistheorie
119
Stochastic process
51
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51
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49
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40
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40
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25
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Carr, Peter
Takahashi, Akihiko
Cui, Zhenyu
44
Chiarella, Carl
29
Jacobs, Kris
28
Jacquier, Antoine (Jack)
25
Christoffersen, Peter F.
24
Härdle, Wolfgang
24
Fengler, Matthias R.
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21
Lorig, Matthew
21
Nguyen, Duy
21
Todorov, Viktor
21
Zhang, Jin E.
21
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19
Fabozzi, Frank J.
18
Madan, Dilip B.
18
Bansal, Ravi
16
Fouque, Jean-Pierre
16
Heston, Steven L.
16
Wang, Xingchun
16
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15
Benth, Fred Espen
15
Bollerslev, Tim
15
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15
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15
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15
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14
Branger, Nicole
14
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14
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14
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14
Le Floc'h, Fabien
14
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14
Platen, Eckhard
14
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14
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International journal of theoretical and applied finance
7
Mathematical finance : an international journal of mathematics, statistics and financial theory
3
Applied mathematical finance
2
Asia-Pacific financial markets
2
Computational economics
2
Mathematics of operations research
2
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2
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1
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1
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1
Journal of investment management : JOIM
1
Journal of risk
1
NYU Tandon Research Paper
1
Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
1
Recent advances in financial engineering 2011: proceedings of the International Workshop on Finance 2011
1
Robert H. Smith School Research Paper
1
The journal of computational finance
1
The journal of derivatives : the official publication of the International Association of Financial Engineers
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The journal of finance : the journal of the American Finance Association
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ECONIS (ZBW)
49
Showing
1
-
10
of
49
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date (oldest first)
1
Semi-robust replication of barrier-style claims on price and volatility
Carr, Peter
;
Lee, Roger
;
Lorig, Matthew
- In:
Applied mathematical finance
28
(
2021
)
6
,
pp. 534-559
Persistent link: https://www.econbiz.de/10013411770
Saved in:
2
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:
3
Vol, skew, and smile trading
Al-Jaaf, Aşty
;
Carr, Peter
- In:
The journal of derivatives : JOD
31
(
2023
)
1
,
pp. 64-95
Persistent link: https://www.econbiz.de/10014422386
Saved in:
4
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:
5
Semi-analytical
pricing
of barrier options in the time-dependent Heston model
Carr, Peter
;
Itkin, Andrey
;
Muravey, Dmitry
- In:
The journal of derivatives : JOD
30
(
2022
)
2
,
pp. 141-171
Persistent link: https://www.econbiz.de/10014231115
Saved in:
6
Pricing
average and spread options under local-stochastic volatility jump-diffusion models
Shiraya, Kenichiro
;
Takahashi, Akihiko
- In:
Mathematics of operations research
44
(
2019
)
1
,
pp. 303-333
Persistent link: https://www.econbiz.de/10012001122
Saved in:
7
An Asymptotic Expansion Formula for Up-and-Out Barrier Option Price Under Stochastic Volatility Model
Kato, Takashi
;
Takahashi, Akihiko
;
Yamada, Toshihiro
-
2014
This paper derives a new semi closed-form approximation formula for
pricing
an up-and-out barrier option under a …
Persistent link: https://www.econbiz.de/10014162264
Saved in:
8
An expanded Local Variance Gamma model
Carr, Peter
;
Itkin, Andrey
- In:
Computational economics
57
(
2021
)
4
,
pp. 949-987
Persistent link: https://www.econbiz.de/10012543243
Saved in:
9
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:
10
Spiking the volatility punch
Carr, Peter
;
Figà-Talamanca, Gianna
- In:
Applied mathematical finance
27
(
2020
)
6
,
pp. 495-520
Persistent link: https://www.econbiz.de/10012516169
Saved in:
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