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~isPartOf:"International journal of theoretical and applied finance"
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Option pricing theory
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Stochastischer Prozess
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Volatility
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Volatilität
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volatility smile
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asset price dynamics
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multivariate Esscher transform
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multivariate non-Gaussian processes
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option pricing
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rational approximation
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stochastic volatility
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time-changed Brownian motion
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uncertain volatility
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Gatheral, Jim
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International journal of theoretical and applied finance
MPRA Paper
8
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Journal of banking & finance
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Review of quantitative finance and accounting
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Departmental Working Papers / Department of Economics, Rutgers University-New Brunswick
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International Journal of Theoretical and Applied Finance (IJTAF)
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Asia-Pacific Financial Markets
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Economic modelling
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Finance and Stochastics
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International journal of financial engineering
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Investigaciones Europeas de Dirección y Economía de la Empresa (IEDEE)
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Investigaciones europeas de Dirección y Economía de la Empresa : IEDEE
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
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Quantitative finance
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Review of Derivatives Research
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The European journal of finance
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The North American journal of economics and finance : a journal of financial economics studies
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Working Papers / School of Economics and Finance, Queen Mary
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2000 Conference, April 17-18 2000, Chicago, Illinois
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1
Rational approximation of the rough Heston solution
Gatheral, Jim
;
Radoičić, Radoš
- In:
International journal of theoretical and applied finance
22
(
2019
)
3
,
pp. 1-19
Persistent link: https://www.econbiz.de/10012019824
Saved in:
2
Generalized BN-S stochastic volatility model for option pricing
SenGupta, Indranil
- In:
International journal of theoretical and applied finance
19
(
2016
)
2
,
pp. 1-23
Persistent link: https://www.econbiz.de/10011455400
Saved in:
3
Calibrating the smile with multivariate time-changed Brownian motion and the Esscher transform
Tassinari, Gian Luca
;
Bianchi, Michele Leonardo
- In:
International journal of theoretical and applied finance
17
(
2014
)
4
,
pp. 1-34
Persistent link: https://www.econbiz.de/10010391513
Saved in:
4
Option pricing via maximization over uncertainty and correction of
volatility
smile
Dokučaev, Nikolaj G.
- In:
International journal of theoretical and applied finance
14
(
2011
)
4
,
pp. 507-524
Persistent link: https://www.econbiz.de/10009269369
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