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~isPartOf:"Applied quantitative finance series"
~isPartOf:"The journal of futures markets"
~subject:"Commodity derivative"
~subject:"Theorie"
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Search: subject_exact:"Stochastic volatility model"
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Commodity derivative
Theorie
Stochastic volatility
12
Stochastische Volatilität
12
Option pricing theory
8
Optionspreistheorie
8
Theory
4
Börsenkurs
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Heston-type stochastic volatility model
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Li, Minqiang
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Mercurio, Fabio
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Nikitopoulos, Christina Sklibosios
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Romo, Jacinto Marabel
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Tô, Thuy-Duong
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Applied quantitative finance series
The journal of futures markets
International journal of theoretical and applied finance
9
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
5
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Journal of econometrics
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Working paper / Department of Econometrics and Business Statistics, Monash University
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International journal of forecasting
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The return-volatility relation in commodity futures markets
Chiarella, Carl
;
Kang, Boda
;
Nikitopoulos, Christina …
- In:
The journal of futures markets
36
(
2016
)
2
,
pp. 127-152
Persistent link: https://www.econbiz.de/10011568056
Saved in:
2
Stochastic skew and target volatility options
Grasselli, Martino
;
Romo, Jacinto Marabel
- In:
The journal of futures markets
36
(
2016
)
2
,
pp. 174-193
Persistent link: https://www.econbiz.de/10011568064
Saved in:
3
Derivatives pricing on integrated diffusion processes : a general perturbation approach
Li, Minqiang
- In:
The journal of futures markets
35
(
2015
)
6
,
pp. 582-595
Persistent link: https://www.econbiz.de/10011405411
Saved in:
4
Analytic approximation of finite-maturity timer option prices
Li, Minqiang
;
Mercurio, Fabio
- In:
The journal of futures markets
35
(
2015
)
3
,
pp. 245-273
Persistent link: https://www.econbiz.de/10011348432
Saved in:
5
Alternative tilts for nonparametric option pricing
Haley, M. Ryan
;
Walker, Todd B.
- In:
The journal of futures markets
30
(
2010
)
10
,
pp. 983-1006
Persistent link: https://www.econbiz.de/10008900930
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