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  • Search: subject:"Forward start options"
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Year of publication
Subject
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Affine Models 3 Barndorff-Nielsen-Shephard Model 3 Forward-Start Options 3 Optionspreistheorie 2 Stochastischer Prozess 2 Theorie 2 Volatilität 2 CDS 1 Option pricing theory 1 Stochastic process 1 Theory 1 Volatility 1 forward start options 1 forward volatility 1 implied volatility term structure 1
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Online availability
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Free 4
Type of publication
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Book / Working Paper 4
Type of publication (narrower categories)
All
Working Paper 3 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
Language
All
English 4
Author
All
Keller-Ressel, Martin 3 Kilin, Fiodar 3 Byström, Hans 1
Institution
All
Frankfurt School of Finance and Management 1
Published in...
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CPQF Working Paper Series 2 Working Paper 1 Working paper series / Centre for Practical Quantitative Finance 1
Source
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EconStor 2 ECONIS (ZBW) 1 RePEc 1
Showing 1 - 4 of 4
Cover Image
Credit-Implied Forward Volatility and Volatility Expectations
Byström, Hans - 2015
We show how one can back out implied forward volatility term structures from credit default swap spreads. Such forward stock volatility term structures are useful for instance in forward start option pricing. We find the term structure to be downward-sloping, and the credit market's volatility...
Persistent link: https://www.econbiz.de/10013208742
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Cover Image
Forward-start options in the Barndorff-Nielsen-Shephard Model
Keller-Ressel, Martin; Kilin, Fiodar - 2008
We derive a semi-analytical formula for pricing forward-start options in the Barndorff-Nielsen- Shephard model. In …
Persistent link: https://www.econbiz.de/10010301709
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Cover Image
Forward-start options in the Barndorff-Nielsen-Shephard Model
Keller-Ressel, Martin; Kilin, Fiodar - Frankfurt School of Finance and Management - 2008
We derive a semi-analytical formula for pricing forward-start options in the Barndorff-Nielsen- Shephard model. In …
Persistent link: https://www.econbiz.de/10009642578
Saved in:
Cover Image
Forward-start options in the Barndorff-Nielsen-Shephard Model
Keller-Ressel, Martin; Kilin, Fiodar - 2008
We derive a semi-analytical formula for pricing forward-start options in the Barndorff-Nielsen- Shephard model. In …
Persistent link: https://www.econbiz.de/10011293920
Saved in:
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