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  • Search: subject:"normal inverse Gaussian distributions"
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Erwartungsnutzen 1 Expected utility 1 Option pricing theory 1 Option trading 1 Optionsgeschäft 1 Optionspreistheorie 1 Probability theory 1 Risiko 1 Risikomaß 1 Risk 1 Risk measure 1 Statistical distribution 1 Statistische Verteilung 1 Stochastic process 1 Stochastic volatility 1 Stochastischer Prozess 1 Stress tests 1 Value-at-Risk 1 Wahrscheinlichkeitsrechnung 1 certainty equivalent 1 cumulant generating functions 1 cumulants gama distributions 1 expected utility 1 implied volatility smiles 1 methods of moments estimation 1 normal inverse Gaussian distributions 1 normal-inverse Gaussian distributions 1 option smiles 1 tail risk estimation 1 variance-gamma distributions 1
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1 Undetermined 1
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Osband, Kent 1 Tompkins, Robert 1
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Journal of investment management : JOIM 1 The European Journal of Finance 1
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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VarGamma stresstests
Osband, Kent - In: Journal of investment management : JOIM 11 (2013) 2, pp. 92-107
Persistent link: https://www.econbiz.de/10009763897
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Why Smiles Exist in Foreign Exchange Options Markets: Isolating Components of the Risk Neutral Process
Tompkins, Robert - In: The European Journal of Finance 12 (2006) 6-7, pp. 583-603
Prices of foreign exchange options systematically diverge from those consistent with several previous option pricing models. This paper examines whether alternative models better explaining the empirical dynamics of the foreign exchange futures markets can yield implied volatility surfaces...
Persistent link: https://www.econbiz.de/10005471941
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