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  • Search: subject:"Options pricing and hedging"
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Year of publication
Subject
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Options pricing and hedging 3 Black and Scholes formula 2 Financial crisis 2 Black-Scholes model 1 Black-Scholes-Modell 1 Derivat 1 Derivative 1 Finanzkrise 1 Hedging 1 Markov switch 1 Option pricing theory 1 Optionspreistheorie 1 Taiwan stock index options 1 Two-State volatility model 1
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Article 3
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1 research-article 1
Language
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English 2 Undetermined 1
Author
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El-Khatib, Youssef 2 Hatemi-J, Abdulnasser 2 Lin, Feng-Jeng 1 Su, En-Der 1
Published in...
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Computational Economics 1 Journal of Economic Studies 1 Journal of economic studies 1
Source
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ECONIS (ZBW) 1 RePEc 1 Other ZBW resources 1
Showing 1 - 3 of 3
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Option valuation and hedging in markets with a crunch
El-Khatib, Youssef; Hatemi-J, Abdulnasser - In: Journal of Economic Studies 44 (2017) 5, pp. 801-815
Purpose Option pricing is an integral part of modern financial risk management. The well-known Black and Scholes (1973) formula is commonly used for this purpose. The purpose of this paper is to extend their work to a situation in which the unconditional volatility of the original asset is...
Persistent link: https://www.econbiz.de/10014864174
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Cover Image
Option valuation and hedging in markets with a crunch
El-Khatib, Youssef; Hatemi-J, Abdulnasser - In: Journal of economic studies 44 (2017) 5, pp. 801-815
Persistent link: https://www.econbiz.de/10011960936
Saved in:
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Two-State Volatility Transition Pricing and Hedging of TXO Options
Su, En-Der; Lin, Feng-Jeng - In: Computational Economics 39 (2012) 3, pp. 259-287
Persistent link: https://www.econbiz.de/10010866849
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