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~person:"Poon, Ser-Huang"
~person:"Zagst, Rudi"
~subject:"Option pricing theory"
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Poon, Ser-Huang
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General equilibrium and preference free model for pricing options under transformed gamma distribution
Vitiello, Luiz
;
Poon, Ser-Huang
- In:
The journal of futures markets
30
(
2010
)
5
,
pp. 409-431
Persistent link: https://www.econbiz.de/10003962630
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2
Stochastic correlation and volatility mean-reversion : empirical motivation and derivatives pricing via perturbation theory
Escobar, Marcos
;
Götz, Barbara
;
Neykova, Daniela
; …
- In:
Applied mathematical finance
21
(
2014
)
5/6
,
pp. 555-594
Persistent link: https://www.econbiz.de/10010500871
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3
Pricing two-asset barrier options under stochastic correlation via perturbation
Escobar, Marcos
;
Götz, Barbara
;
Neykova, Daniela
; …
- In:
International journal of theoretical and applied finance
18
(
2015
)
3
,
pp. 1-44
Persistent link: https://www.econbiz.de/10011403748
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4
Empirical evaluation of hybrid defaultable bond pricing models
Antes, S.
;
Ilg, M.
;
Schmid, Beat
;
Zagst, Rudi
- In:
Applied mathematical finance
15
(
2008
)
3/4
,
pp. 219-249
Persistent link: https://www.econbiz.de/10003751234
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5
Mind the cap!-constrained portfolio optimisation in Heston's stochastic volatility model
Escobar, Marcos
;
Kschonnek, M.
;
Zagst, Rudi
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1793-1813
Persistent link: https://www.econbiz.de/10014452471
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6
Option pricing with random risk aversion
Vitiello, Luiz
;
Poon, Ser-Huang
- In:
Review of quantitative finance and accounting
58
(
2022
)
4
,
pp. 1665-1684
Persistent link: https://www.econbiz.de/10013191990
Saved in:
7
Moneyness, underlying asset volatility, and the cross-section of option returns*
Aretz, Kevin
;
Lin, Ming-Tsung
;
Poon, Ser-Huang
- In:
Review of finance : journal of the European Finance …
27
(
2023
)
1
,
pp. 289-323
Persistent link: https://www.econbiz.de/10013543163
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