Portfolio insurance and volatility : on the robustness of the Black-Scholes option pricing model
- Standort
-
Deutsche Nationalbibliothek Frankfurt am Main
- Maße
-
30 cm
- Umfang
-
II, 38 S.
- Sprache
-
Deutsch
- Anmerkungen
-
graph. Darst.
- Erschienen in
-
Discussion paper / B / Sonderforschungsbereich Information und die Koordination Wirtschaftlicher Aktivitäten ; No. 256, B / Projektbereich B
- Schlagwort
-
Capital-Asset-Pricing-Modell
Portfolio Selection
Hedging
Theorie
- Ereignis
-
Veröffentlichung
- (wo)
-
Bonn
- (wer)
-
Sonderforschungsbereich 303
- (wann)
-
1993
- Urheber
- Inhaltsverzeichnis
- Rechteinformation
-
Bei diesem Objekt liegt nur das Inhaltsverzeichnis digital vor. Der Zugriff darauf ist unbeschränkt möglich.
- Letzte Aktualisierung
-
11.06.2025, 14:14 MESZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
Deutsche Nationalbibliothek. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Deutsche Nationalbibliothek. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Beteiligte
- Frey, Rüdiger
- Stremme, Alexander
- Sonderforschungsbereich 303
Entstanden
- 1993
Ähnliche Objekte (12)
Quanto pricing beyond Black-Scholes
Good volatility, bad volatility and option pricing
The genesis of the Black-Scholes option pricing formula
The genesis of the Black-Scholes option pricing formula
Use of Bayesian estimates to determine the volatility parameter input in the black-scholes and binomial option pricing models
Computing Black Scholes with uncertain volatility — a machine learning approach
Robustness-based portfolio optimization under epistemic uncertainty
Reconstructing volatility: Pricing of index options under rough volatility
Reconstructing volatility: Pricing of index options under rough volatility
Portfolio selection and asset pricing
Schole
Volatility-managed portfolios : a close examination
Quanto pricing beyond Black-Scholes
Good volatility, bad volatility and option pricing
The genesis of the Black-Scholes option pricing formula
The genesis of the Black-Scholes option pricing formula
Use of Bayesian estimates to determine the volatility parameter input in the black-scholes and binomial option pricing models
Computing Black Scholes with uncertain volatility — a machine learning approach
Robustness-based portfolio optimization under epistemic uncertainty
Reconstructing volatility: Pricing of index options under rough volatility
Reconstructing volatility: Pricing of index options under rough volatility
Portfolio selection and asset pricing
Schole
Volatility-managed portfolios : a close examination
Quanto pricing beyond Black-Scholes
Good volatility, bad volatility and option pricing
The genesis of the Black-Scholes option pricing formula
The genesis of the Black-Scholes option pricing formula
Use of Bayesian estimates to determine the volatility parameter input in the black-scholes and binomial option pricing models
Computing Black Scholes with uncertain volatility — a machine learning approach
Robustness-based portfolio optimization under epistemic uncertainty
Reconstructing volatility: Pricing of index options under rough volatility
Reconstructing volatility: Pricing of index options under rough volatility
Portfolio selection and asset pricing
Schole