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~subject:"Option pricing theory"
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Option pricing theory
calibration
480
Calibration
474
Theorie
125
Theory
113
Optionspreistheorie
90
Volatilität
68
Volatility
67
equation
64
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63
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CALIBRATION
29
forecasting
28
normal distribution
28
samples
27
Credit risk
25
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25
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stochastic process
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Grzelak, Lech A.
3
Guillaume, Florence
3
La Bua, Gaetano
3
Marazzina, Daniele
3
Martini, Claude
3
Stoep, Anthonie W. van der
3
Drimus, Gabriel
2
Farkas, Walter
2
Gallegati, Mauro
2
Kim, Jeong-Hoon
2
Mehrdoust, Farshid
2
Mittnik, Stefan
2
Necula, Ciprian
2
Noorani, Idin
2
Oosterlee, Cornelis W.
2
Recchioni, Maria Cristina
2
Schoutens, Wim
2
Tedeschi, Gabriele
2
Abergel, Frédéric
1
Alfeus, Mesias
1
Alim, Md. Abdul
1
Andresen, Arne
1
Assa, Hirbod
1
Avdiu, Kujtim
1
Azzone, Michele
1
Badamchizadeh, Abdolrahim
1
Baik, Seung Min
1
Baviera, Roberto
1
Benth, Fred Espen
1
Biswas, Md. Haider Ali
1
Boen, Lynn
1
Boukai, Benzion
1
Burkovska, Olena
1
Cao, Hongkai
1
Chatterjee, Rupak
1
Chaudhuri, Sunrita
1
Chen, Xi
1
Cheridito, Patrick
1
Choi, Changhui
1
Cohort, Pierre
1
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Quantitative finance
10
International journal of theoretical and applied finance
9
The journal of computational finance
9
Review of derivatives research
6
Journal of risk and financial management : JRFM
4
Decisions in economics and finance : DEF ; a journal of applied mathematics
3
Journal of mathematical finance
3
Applied economics
2
Computational economics
2
Decisions in economics and finance : a journal of applied mathematics
2
International journal of financial engineering
2
International journal of theoretical and applied finance : IJTAF
2
Journal of economic dynamics & control
2
Mathematics and financial economics
2
Research paper series / Swiss Finance Institute
2
Review of quantitative finance and accounting
2
Applied mathematical finance
1
Computational Management Science : CMS
1
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1
Digital finance : smart data analytics, investment innovation, and financial technology
1
European journal of operational research : EJOR
1
FFA Working Papers : FFA working paper
1
Finance and stochastics
1
Finmap working paper
1
IMES discussion paper series / Englische Ausgabe
1
International Journal of Financial Markets and Derivatives : IJFMD
1
International Journal of Financial Studies : open access journal
1
Journal of banking & finance
1
Journal of derivatives and quantitative studies : Seonmul yeongu
1
Journal of economic theory
1
Journal of risk
1
Journal of risk finance : the convergence of financial products and insurance
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
1
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
1
Review of Derivatives Research, 22 (1), 1-40, (2019)
1
Risks : open access journal
1
South African journal of economic and management sciences
1
Swiss Finance Institute Research Paper
1
The journal of computational finance : JFC
1
The journal of futures markets
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ECONIS (ZBW)
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No arbitrage global parametrization for the eSSVI volatility surface
Mingone, A.
- In:
Quantitative finance
22
(
2022
)
12
,
pp. 2205-2217
Persistent link: https://www.econbiz.de/10013490938
Saved in:
2
Unbiasing and robustifying implied volatility
calibration
in a cryptocurrency market with large bid-ask spreads and missing quotes
Echenim, Mnacho
;
Gobet, Emmanuel
;
Maurice, Anne-Claire
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1285-1304
Persistent link: https://www.econbiz.de/10014339922
Saved in:
3
Uncertainty and switching in the mortgage market
Gondat-Larralde, Céline
;
Strobel, Frank
- In:
Applied economics
45
(
2013
)
19/21
,
pp. 3068-3073
Persistent link: https://www.econbiz.de/10010192319
Saved in:
4
Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations
Pistorius, Martijn
;
Stolte, Johannes
- In:
International journal of theoretical and applied finance
15
(
2012
)
4
,
pp. 1-34
Persistent link: https://www.econbiz.de/10009624458
Saved in:
5
Efficient pricing and reliable
calibration
in the Heston model
Levendorskij, Sergej Z.
- In:
International journal of theoretical and applied finance
15
(
2012
)
7
,
pp. 1-44
Persistent link: https://www.econbiz.de/10009685887
Saved in:
6
An implied volatility model determined by credit default swaps
Heider, Pascal
- In:
International journal of theoretical and applied finance
15
(
2012
)
7
,
pp. 1-21
Persistent link: https://www.econbiz.de/10009685890
Saved in:
7
The CARMA interest rate model
Andresen, Arne
;
Benth, Fred Espen
;
Koekebakker, Steen
; …
- In:
International journal of theoretical and applied finance
17
(
2014
)
2
,
pp. 1-27
Persistent link: https://www.econbiz.de/10010363925
Saved in:
8
Smiles all around : FX joint
calibration
in a multi-Heston model
De Col, Alvise
;
Gnoatto, Alessandro
;
Grasselli, Martino
- In:
Journal of banking & finance
37
(
2013
)
10
,
pp. 3799-3818
Persistent link: https://www.econbiz.de/10010126819
Saved in:
9
Local volatility pricing models for long-dated FX derivatives
Deelstra, Griselda
;
Rayée, Grégory
- In:
Applied mathematical finance
20
(
2013
)
3/4
,
pp. 380-402
Persistent link: https://www.econbiz.de/10010187656
Saved in:
10
A parsimonious multi-asset Heston model :
calibration
and derivative pricing
Dimitroff, Georgi
;
Lorenz, Stefan
;
Szimayer, Alexander
- In:
International journal of theoretical and applied finance
14
(
2011
)
8
,
pp. 1299-1333
Persistent link: https://www.econbiz.de/10009541994
Saved in:
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