Freiburg, D-79085
Germany
University of Freiburg - Department of Economics
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implied volatility, Monte Carlo simulation, Asian options, exotic options
implied volatility, Monte Carlo simulation, Asian options, exotic options, calibration, local volatility
Asian options, volatility, vega, duration, qualitative risk-management
information, financial markets, stochastic differential games
R-minimizing hedging, Delta hedging, incomplete markets, stochastic volatility model, Clark-Ocone formula, Malliavin Calculus, path-dependent options
Malliavin calculus, Feller diffusions, Greeks, Option pricing