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Option pricing theory
233
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233
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116
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116
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Kabanov, Jurij M.
8
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7
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7
Hobson, David G.
7
Linetsky, Vadim
6
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5
Belomestny, Denis
4
Frey, Rüdiger
4
Fukasawa, Masaaki
4
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4
Jeanblanc, Monique
4
Lee, Roger
4
Obłój, Jan
4
Soner, Halil Mete
4
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3
Brigo, Damiano
3
Carmona, René
3
Cox, Alexander M. G.
3
Dassios, Angelos
3
Fouque, Jean-Pierre
3
Kallsen, Jan
3
Kardaras, Constantinos
3
Keller-Ressel, Martin
3
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3
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2
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2
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Finance and stochastics
MPRA Paper
1,329
The journal of futures markets
808
Journal of banking & finance
609
International journal of theoretical and applied finance
598
Economics Bulletin
484
European journal of operational research : EJOR
474
NBER Working Papers
459
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Finance research letters
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Review of Pacific Basin Financial Markets and Policies (RPBFMP)
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206
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1
Local martingales, bubbles and option prices
Cox, Alexander M. G.
;
Hobson, David G.
- In:
Finance and stochastics
9
(
2005
)
4
,
pp. 477-492
Persistent link: https://www.econbiz.de/10003123202
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2
Robust price bounds for the forward starting straddle
Hobson, David G.
;
Klimmek, Martin
- In:
Finance and stochastics
19
(
2015
)
1
,
pp. 189-214
Persistent link: https://www.econbiz.de/10011417160
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3
Forward equations for option prices in semimartingale models
Bentata, Amel
;
Cont, Rama
- In:
Finance and stochastics
19
(
2015
)
3
,
pp. 617-651
Persistent link: https://www.econbiz.de/10011418317
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4
Discretely monitored first passage problems and barrier options : an eigenfunction expansion approach
Li, Lingfei
;
Linetsky, Vadim
- In:
Finance and stochastics
19
(
2015
)
4
,
pp. 941-977
Persistent link: https://www.econbiz.de/10011421097
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5
Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps
Figueroa-López, José E.
;
Ólafsson, Sveinn
- In:
Finance and stochastics
20
(
2016
)
4
,
pp. 973-1020
Persistent link: https://www.econbiz.de/10011570202
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6
Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility
Figueroa-López, José E.
;
Ólafsson, Sveinn
- In:
Finance and stochastics
20
(
2016
)
1
,
pp. 219-265
Persistent link: https://www.econbiz.de/10011460382
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7
Computing deltas without derivatives
Baños, D.
;
Meyer-Brandis, T.
;
Proske, Frank
;
Duedahl, S.
- In:
Finance and stochastics
21
(
2017
)
2
,
pp. 509-549
Persistent link: https://www.econbiz.de/10011944403
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8
Bounds for VIX futures given S&P 500 smiles
Guyon, Julien
;
Menegaux, Romain
;
Nutz, Marcel
- In:
Finance and stochastics
21
(
2017
)
3
,
pp. 593-630
Persistent link: https://www.econbiz.de/10011944412
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9
Improved robust price bounds for multi-asset derivatives under market-implied dependence information
Ansari, Jonathan
;
Lütkebohmert, Eva
;
Neufeld, Ariel
; …
- In:
Finance and stochastics
28
(
2024
)
4
,
pp. 911-964
Persistent link: https://www.econbiz.de/10015130470
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10
Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation
González Cázares, Jorge
;
Mijatović, Aleksandar
- In:
Finance and stochastics
26
(
2022
)
4
,
pp. 671-732
Persistent link: https://www.econbiz.de/10013440249
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