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~accessRights:"free"
~isPartOf:"Research paper / Quantitative Finance Research Centre, University of Technology Sydney"
~person:"Schlögl, Erik"
~subject:"Optionspreistheorie"
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Optionspreistheorie
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stochastic interest rates
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Petroleum
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frequency basis
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futures options
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futures options pricing
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liquidity risk
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long-dated commodity derivatives
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long-dated crude oil derivatives
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market tenor swap
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stochastic volatility
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swap market
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Schlögl, Erik
Chiarella, Carl
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Kang, Boda
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Nikitopoulos, Christina Sklibosios
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Cheng, Benjamin
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Assefa, Samson
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Cheang, Gerald H. L.
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Fanelli, Viviana
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Kienitz, Jörg
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Hsiao, Chih-ying
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Overbeck, Ludger
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Pilz, Kay Frederik
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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Pricing of long-dated commodity derivatives with stochastic volatility and stochastic interest rates
Cheng, Benjamin
;
Nikitopoulos, Christina Sklibosios
; …
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2015
Persistent link: https://www.econbiz.de/10011777512
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2
Empirical pricing performance in long-dated crude oil derivatives : do models with stochastic interest rates matter?
Cheng, Benjamin
;
Nikitopoulos, Christina Sklibosios
; …
-
2016
Persistent link: https://www.econbiz.de/10011777909
Saved in:
3
Hedging futures options with stochastic interest rates
Cheng, Benjamin
;
Nikitopoulos, Christina Sklibosios
; …
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2016
Persistent link: https://www.econbiz.de/10011778107
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