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~isPartOf:"CREATES Research Paper"
~isPartOf:"Cahiers de recherche"
~isPartOf:"Journal of empirical finance"
~person:"Palma, André de"
~person:"Stentoft, Lars"
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Search: subject:"pricing"
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ARCH model
3
ARCH-Modell
3
Option pricing theory
3
Optionspreistheorie
3
Volatility
3
Volatilität
3
GARCH models
2
option pricing
2
American options
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Palma, André de
Stentoft, Lars
Dionne, Georges
10
Garcia, R.
7
BEAULIEU, Marie-Claude
4
DUFOUR, Jean-Marie
4
Gordon, Stephen
4
KHALAF, Lynda
4
St-Amour, Pascal
4
Bonomo, M.
3
Boyer, M.
3
Dionne, G.
3
Renault, E.
3
Robotti, Cesare
3
Zhou, Guofu
3
Alarie, Yves
2
Angers, Jean-François
2
Blitz, David
2
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2
Bonomo, m.
2
Branger, Nicole
2
Chiang, I-Hsuan Ethan
2
Conrad, Christian
2
Coën, Alain
2
Daehwan, Kim
2
Desjardins, Denise
2
Fulkerson, Jon A.
2
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2
Garrett, Ian
2
Gaudry, M.
2
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2
Ghysels, E.
2
Gospodinov, Nikolaj
2
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2
He, Xue-zhong
2
Hübner, Georges
2
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2
Kim, Kun Ho
2
Kolokolova, Olga
2
Le Leyzour, A.
2
Li, Yuming
2
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Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE)
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CREATES Research Paper
Cahiers de recherche
Journal of empirical finance
CREATES research paper
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Journal of risk and financial management : JRFM
5
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Investment and the use of tax and toll revenues in the transport sector
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ECONIS (ZBW)
3
RePEc
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1
Multivariate Option
Pricing
with Time Varying Volatility and Correlations
Rombouts, Jeroen V.K.
;
Stentoft, Lars
-
Centre Interuniversitaire sur le Risque, les Politiques …
-
2010
to option
pricing
. Specifically, we derive the risk neutral dynamics for a general class of multivariate heteroskedastic …
Persistent link: https://www.econbiz.de/10008595653
Saved in:
2
Multivariate Option
Pricing
with Time Varying Volatility and Correlations
Rombouts, J. V. K.
-
2010
to option
pricing
. Specifically, we derive the risk neutral dynamics for a general class of multivariate heteroskedastic …
Persistent link: https://www.econbiz.de/10013143636
Saved in:
3
Bayesian Option
Pricing
Using Mixed Normal Heteroskedasticity Models
Rombouts, Jeroen V.K.
;
Stentoft, Lars
-
Centre Interuniversitaire sur le Risque, les Politiques …
-
2009
While stochastic volatility models improve on the option
pricing
error when compared to the Black-Scholes-Merton model …
Persistent link: https://www.econbiz.de/10008528563
Saved in:
4
Pricing
American options when the underlying asset follows GARCH processes
Stentoft, Lars
- In:
Journal of empirical finance
12
(
2005
)
4
,
pp. 576-611
Persistent link: https://www.econbiz.de/10003144806
Saved in:
5
American option
pricing
with discrete and continuous time models : an empirical comparison
Stentoft, Lars
- In:
Journal of empirical finance
18
(
2011
)
5
,
pp. 880-902
Persistent link: https://www.econbiz.de/10009492526
Saved in:
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