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type_genre:"Forschungsbericht"
~subject:"Option pricing theory"
~subject:"Volatility"
~type_genre:"Aufsatz im Buch"
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Forecasting volatility in the financial markets
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Operations research proceedings 2006 : selected papers of the Annual International Conference of the German Operations Research Society (GOR), jointly organized with the Austrian Society of Operations Research (ÖGOR) and the Swiss Society of Operations Research (SVOR), Karlsruhe, September 6 - 8 2006 ; with 79 tables
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Statistical arbitrage in jump-diffusion models with compound Poisson processes
Akyildirim, Erdinc
;
Fabozzi, Frank J.
;
Goncu, Ahmet
; …
- In:
Risk management decisions and value under uncertainty
,
(pp. 1357-1371)
.
2022
Persistent link: https://www.econbiz.de/10013342121
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2
An applied approach to valuation of securitized balance sheet assets based on Monte Carlo Simulation with special reference to Turkish finance sector
Aksoy, Tamer
;
Yuzbasıoglu, Nuray
- In:
Financial ecosystem and strategy in the digital era : …
,
(pp. 379-398)
.
2021
Persistent link: https://www.econbiz.de/10012615121
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3
A simple efficient moment-based estimator for the stochastic volatility model
Ahsan, Nazmul
;
Dufour, Jean-Marie
-
2019
Persistent link: https://www.econbiz.de/10012244154
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4
Developed and emerging equity market tail risk : is it constant?
Straetmans, Stefan
;
Candelon, Bertrand
- In:
Emerging markets and the global economy
,
(pp. 241-270)
.
2014
Persistent link: https://www.econbiz.de/10010434652
Saved in:
5
Fractional Brownian motions in financial models and their Monte Carlo simulation
Tam, Chun Ming
- In:
Recent advances in financial engineering 2012 : …
,
(pp. 133-176)
.
2014
Persistent link: https://www.econbiz.de/10010359856
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6
American option pricing using simulation with an application to the GARCH model
Stentoft, Lars
- In:
Handbook of research methods and applications in …
,
(pp. 114-147)
.
2013
Persistent link: https://www.econbiz.de/10011897373
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7
Pricing American options in an infinite activity Lévy market : Monte Carlo and deterministic approaches using a diffusion approximation
Powers, Lisa J.
;
Nešlehová, Johanna
;
Stephens, David
- In:
Numerical methods in finance : Bordeaux, June 2010
,
(pp. 291-321)
.
2012
Persistent link: https://www.econbiz.de/10009577191
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8
Monte-Carlo valuation of American options : facts and new algorithms to improve existing methods
Bouchard, Bruno
;
Warin, Xavier
- In:
Numerical methods in finance : Bordeaux, June 2010
,
(pp. 215-255)
.
2012
Persistent link: https://www.econbiz.de/10009577193
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9
Monte Carlo approximations of American options that preserve monotonicity and convexity
Del Moral, Pierre
;
Rémillard, Bruno
;
Rubenthaler, Sylvain
- In:
Numerical methods in finance : Bordeaux, June 2010
,
(pp. 115-143)
.
2012
Persistent link: https://www.econbiz.de/10009577196
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10
Box-Cox stochastic volatility models with heavy-tails and correlated errors
Zhang, Xibin
;
King, Maxwell L.
-
2004
Persistent link: https://www.econbiz.de/10002479501
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