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~isPartOf:"Journal of economic dynamics & control"
~isPartOf:"Research Paper Series / Finance Discipline Group, Business School"
~person:"Chiarella, Carl"
~subject:"Monte Carlo simulation"
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Monte Carlo simulation
stochastic volatility
7
free boundary problem
5
method of lines
4
American options
3
Volterra integral equations
3
Stochastic volatility
2
credit spreads
2
jump-diffusion processes
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term structure
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volatility
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American compound option
1
Analysis of variance
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Backwardation
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CDS rates
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CEV process
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Commodity futures returns
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Contango
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Crude oil futures volatility
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Derivat
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Derivative
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Financial crisis
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Fourier-cosine series
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Gold futures volatility
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Heath-Jarrow-Morton framework
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Heath-Jarrow-Morton model
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Markov switching stochastic volatility models
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Markovian HJM model
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Option pricing theory
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Optionspreistheorie
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Particle filters
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Realized variance
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Return-volatility relation
1
Sequential Monte Carlo simulation
1
Stochastic process
1
Stochastischer Prozess
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Swap
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Unspanned stochastic volatility
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Variance options
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Chiarella, Carl
Kang, Boda
2
Bognanni, Mark
1
Karlsson, Sune
1
Mazur, Stepan
1
Meyer, Gunter H.
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Nguyen, Hoang
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Zito, John
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Finance Discipline Group, Business School
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Journal of economic dynamics & control
Research Paper Series / Finance Discipline Group, Business School
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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The Evaluation Of Barrier Option Prices Under Stochastic
Volatility
Chiarella, Carl
;
Kang, Boda
;
Meyer, Gunter H.
-
Finance Discipline Group, Business School
-
2010
are driven by stochastic
volatility
following the square root process of Heston (1993). We develop a method of lines …
Persistent link: https://www.econbiz.de/10008487694
Saved in:
2
The Evaluation of American Compound Option Prices Under Stochastic
Volatility
Using the Sparse Grid Approach
Chiarella, Carl
;
Kang, Boda
-
Finance Discipline Group, Business School
-
2009
American-type compound options where the underlying dynamics follow Heston’s stochastic
volatility
model. This price is …
Persistent link: https://www.econbiz.de/10004984506
Saved in:
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