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  • Search: subject:"Stochastic local volatility"
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Year of publication
Subject
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Option pricing theory 9 Optionspreistheorie 9 Stochastic process 9 Stochastischer Prozess 9 Volatility 9 Volatilität 9 Black-Scholes model 5 Black-Scholes-Modell 5 Markov chain 4 Markov-Kette 4 Stochastic local volatility 4 Heston 3 Monte Carlo 3 Option trading 3 Optionsgeschäft 3 calibration 3 local volatility 3 Derivat 2 Derivative 2 Finance 2 HSLV 2 Heston stochastic-local volatility 2 Monte Carlo simulation 2 Monte-Carlo-Simulation 2 SABR 2 hybrid models 2 stochastic local volatility 2 stochastic volatility 2 American option pricing 1 Analysis 1 Approximation formula 1 Asymptotic analysis 1 Autocallable 1 Barrier shifting 1 Collocating volatility 1 Commodity derivative 1 Commodity exchange 1 Commodity futures 1 Commodity indices 1 Commodity market 1
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Online availability
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Undetermined 9 Free 2
Type of publication
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Article 10 Book / Working Paper 2
Type of publication (narrower categories)
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Article in journal 9 Aufsatz in Zeitschrift 9 Thesis 1
Language
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English 10 Undetermined 2
Author
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Cui, Zhenyu 2 Grzelak, Lech A. 2 Stoep, Anthonie W. van der 2 Cui, Yeda 1 Engelmann, Bernd 1 Felpel, Mike 1 GRZELAK, LECH A. 1 Ha, Mijin 1 Kaye, George 1 Kienitz, Jörg 1 Kim, Donghyun 1 Kim, Jeong-Hoon 1 Kirkby, J. Lars 1 Koster, Frank 1 Li, Lingfei 1 Ma, Jingtang 1 Madan, Dilip 1 Manzano-Herrero, Alberto Pedro 1 McWalter, Thomas A. 1 Nastasi, Emanuele 1 Nguyen, Duy 1 OOSTERLEE, CORNELIS W. 1 Oeltz, Daniel 1 Oosterlee, Cornelis W. 1 Oosterlee, Cornelis Willebrordus 1 Pallavicini, Andrea 1 STOEP, ANTHONIE W. VAN DER 1 Smetaniouk, Taras 1 Vázquez, Carlos 1 Yang, Wensheng 1 Yoon, Ji-Hun 1 Zhang, Gongqiu 1
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Institution
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World Scientific Publishing Co. Pte. Ltd. 1
Published in...
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International journal of theoretical and applied finance 2 Quantitative finance 2 European journal of operational research : EJOR 1 International Journal of Theoretical and Applied Finance (IJTAF) 1 International journal of financial engineering 1 Journal of economic dynamics & control 1 The quarterly review of economics and finance 1 World Scientific Books 1
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Source
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ECONIS (ZBW) 9 RePEc 2 BASE 1
Showing 11 - 12 of 12
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The Heston stochastic-local volatility model : efficient Monte Carlo simulation
Stoep, Anthonie W. van der; Grzelak, Lech A.; … - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-30
Persistent link: https://www.econbiz.de/10010498851
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Cover Image
The Value of Uncertainty:Dealing with Risk in the Equity Derivatives Market
Kaye, George - World Scientific Publishing Co. Pte. Ltd.
Along with the extraordinary growth in the derivatives market over the last decade, the impact of model choice, and model parameter usage, has become a major source of valuation uncertainty. This book concentrates on equity derivatives and charts, step by step, how key assumptions on the...
Persistent link: https://www.econbiz.de/10011122727
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