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Search: subject:"Geometric Brownian Motion"
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CAPM
Stochastischer Prozess
80
Stochastic process
79
geometric Brownian motion
51
Geometric Brownian motion
48
Option pricing theory
47
Optionspreistheorie
47
Theorie
42
Theory
41
Geometric Brownian Motion
31
Portfolio selection
17
Portfolio-Management
17
Derivat
15
Derivative
15
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14
Optionsgeschäft
14
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13
Volatilität
12
optimal stopping
10
Börsenkurs
9
Capital income
9
Kapitaleinkommen
9
Real options analysis
9
Search theory
9
Share price
9
Suchtheorie
9
Realoptionsansatz
8
Hedging
7
Markov chain
7
Markov-Kette
7
Risikomaß
7
Risk measure
7
Estimation theory
6
Monte Carlo simulation
6
Risk
6
Schätztheorie
6
Statistical distribution
6
Statistische Verteilung
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Black-Scholes model
5
Black-Scholes-Modell
5
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6
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English
8
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Diasakos, Theodoros M.
2
Kipp, Martin
2
Koziol, Christian
2
Akyildirim, Erdinc
1
Cheng, Chi-Hung
1
Clinton, Vaughan
1
Goncu, Ahmet
1
Hekimoglu, Alper
1
Hertrich, Markus
1
Lian, Yu-Min
1
Lin, Jui-Hsuan
1
Lin, Shih-Hsun
1
Nguyen, Duc Khuong
1
Reddy, Krishna
1
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School of Economics and Finance discussion paper
2
Australasian accounting business and finance journal : AABF
1
Credit and Capital Markets – Kredit und Kapital
1
Credit and capital markets : Kredit und Kapital
1
Journal of mathematical finance
1
OR spectrum : quantitative approaches in management
1
Swiss journal of economics and statistics
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ECONIS (ZBW)
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1
Statistical arbitrage : factor investing approach
Akyildirim, Erdinc
;
Goncu, Ahmet
;
Hekimoglu, Alper
; …
- In:
OR spectrum : quantitative approaches in management
45
(
2023
)
4
,
pp. 1295-1331
Persistent link: https://www.econbiz.de/10014519079
Saved in:
2
Which is the Correct Discount Rate? Arithmetic Versus Geometric Mean
Kipp, Martin
;
Koziol, Christian
- In:
Credit and Capital Markets – Kredit und Kapital
53
(
2020
)
3
,
pp. 355-381
geometric
Brownian
motion
, we can explain that the appropriate discount rate refers to the mean discrete return and, therefore …
Persistent link: https://www.econbiz.de/10014523052
Saved in:
3
Which is the correct discount rate? : arithmetic versus geometric mean
Kipp, Martin
;
Koziol, Christian
- In:
Credit and capital markets : Kredit und Kapital
53
(
2020
)
3
,
pp. 355-381
Persistent link: https://www.econbiz.de/10012550376
Saved in:
4
A cautionary note on the put-call parity under an asset pricing model with a lower reflecting barrier
Hertrich, Markus
- In:
Swiss journal of economics and statistics
151
(
2015
)
3
,
pp. 227-260
an asset pricing model includes reflecting barriers. This paper shows that in the case of
geometric
Brownian
motion
with …
geometric
Brownian
motion
is then used to analyze the impact that the Swiss National Bank's minimum exchange rate regime vis …
Persistent link: https://www.econbiz.de/10011341666
Saved in:
5
A cost of carry-based framework for the Bitcoin futures price modeling
Lian, Yu-Min
;
Cheng, Chi-Hung
;
Lin, Shih-Hsun
;
Lin, …
- In:
Journal of mathematical finance
9
(
2019
)
1
,
pp. 42-53
Persistent link: https://www.econbiz.de/10012116666
Saved in:
6
Comparative statics of asset prices : the effect of other assets’ risk
Diasakos, Theodoros M.
-
2013
Persistent link: https://www.econbiz.de/10010241591
Saved in:
7
A simple characterization of dynamic completeness in continuous time
Diasakos, Theodoros M.
-
2013
Persistent link: https://www.econbiz.de/10010241594
Saved in:
8
Simulating stock prices using
geometric
Brownian
motion
: evidence from Australian companies
Reddy, Krishna
;
Clinton, Vaughan
- In:
Australasian accounting business and finance journal : AABF
10
(
2016
)
3
,
pp. 23-47
Persistent link: https://www.econbiz.de/10011599063
Saved in:
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