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Search: subject:"Stochastic elasticity of variance"
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Option pricing theory
3
Optionspreistheorie
3
Stochastic elasticity of variance
3
Stochastic process
3
Stochastischer Prozess
3
Analysis of variance
2
Varianzanalyse
2
Volatility
2
Volatilität
2
Correlation
1
Credit risk
1
Default risk
1
Derivat
1
Derivative
1
Elasticity
1
Elastizität
1
Fractional Ornstein-Uhlenbeck process
1
Hurst exponent
1
Implied volatility
1
Korrelation
1
Kreditrisiko
1
Leverage effect
1
Mean Reversion
1
Mean reversion
1
Mellin transform
1
Multiscale
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Option
1
Short range correlation
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English
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Kim, Jeong-Hoon
3
Choi, Sun-Yong
2
Yoon, Ji-Hun
2
Cao, Jiling
1
Kim, See-Woo
1
Lee, Jungwoo
1
Sotheara Veng
1
Zhang, WenJun
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Computational economics
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Economic modelling
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Finance research letters
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ECONIS (ZBW)
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A Mellin transform approach to the pricing of options with default risk
Choi, Sun-Yong
;
Sotheara Veng
;
Kim, Jeong-Hoon
;
Yoon, Ji-Hun
- In:
Computational economics
59
(
2022
)
3
,
pp. 1113-1134
Persistent link: https://www.econbiz.de/10013169229
Saved in:
2
Rough
stochastic
elasticity
of
variance
and option pricing
Cao, Jiling
;
Kim, Jeong-Hoon
;
Kim, See-Woo
;
Zhang, WenJun
- In:
Finance research letters
37
(
2020
),
pp. 1-11
Persistent link: https://www.econbiz.de/10012485014
Saved in:
3
On the
stochastic
elasticity
of
variance
diffusions
Kim, Jeong-Hoon
;
Yoon, Ji-Hun
;
Lee, Jungwoo
;
Choi, Sun-Yong
- In:
Economic modelling
51
(
2015
),
pp. 263-268
Persistent link: https://www.econbiz.de/10011475989
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