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~person:"Schweizer, Martin"
~subject:"Intrinsic value"
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Intrinsic value
option pricing
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Contingent claim
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Hedging
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Signed martingale measures
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incomplete markets
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mean-variance tradeoff
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minimal signed martingale measure
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semimartingales
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Asset prices
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Black-Scholes formula
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CAPM
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Foellmer-Schweizer decomposition
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Frictionless continuous trading
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backward stochastic differential equations
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feedback effects
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financial mathematics
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implied volatility
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locally risk-minimization trading strategies
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Schweizer, Martin
Foellmer, Hans
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University of Bonn, Germany
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Discussion Paper Serie B
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Mean variance hedging for general claims
Schweizer, Martin
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University of Bonn, Germany
Persistent link: https://www.econbiz.de/10005001476
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Hedging of contingent claims under incomplete information
Foellmer, Hans
;
Schweizer, Martin
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University of Bonn, Germany
Persistent link: https://www.econbiz.de/10005028424
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