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~subject:"Black-Scholes-Modell"
~subject:"Monte-Carlo-Simulation"
~subject:"Optionspreistheorie"
~type:"article"
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Search: subject_exact:"Stochastische Volatilität"
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Black-Scholes-Modell
Monte-Carlo-Simulation
Optionspreistheorie
Stochastic volatility
48
Stochastische Volatilität
48
Volatility
21
Volatilität
21
Theorie
20
Theory
20
Option pricing theory
19
Stochastic process
18
Stochastischer Prozess
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Asai, Manabu
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International journal of theoretical and applied finance
8
The journal of futures markets
7
Journal of econometrics
2
Applied quantitative finance
1
Journal of risk
1
Kredit und Kapital
1
Recent advances in financial engineering 2011: proceedings of the International Workshop on Finance 2011
1
Wirtschaftswissenschaftliches Studium : WiSt ; Zeitschrift für Studium und Forschung
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ECONIS (ZBW)
22
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1
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 285-304
Persistent link: https://www.econbiz.de/10013441658
Saved in:
2
Implementation of local stochastic volatility model in FX derivatives
Zheng, J.
;
Yuan, X.
- In:
Applied quantitative finance
,
(pp. 57-69)
.
2017
Persistent link: https://www.econbiz.de/10011794953
Saved in:
3
Realized stochastic volatility with general asymmetry and long memory
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
199
(
2017
)
2
,
pp. 202-213
Persistent link: https://www.econbiz.de/10011897674
Saved in:
4
A generalization of the recursive integration method for the analytic valuation of American options
Chang, Lung-Fu
;
Guo, Jia-Hau
;
Hung, Mao-Wei
- In:
The journal of futures markets
36
(
2016
)
9
,
pp. 887-901
Persistent link: https://www.econbiz.de/10011568657
Saved in:
5
Heston-type stochastic volatility with a Markov switching regime
Elliott, Robert J.
;
Nishide, Katsumasa
;
Osakwe, …
- In:
The journal of futures markets
36
(
2016
)
9
,
pp. 902-919
Persistent link: https://www.econbiz.de/10011568671
Saved in:
6
Executive stock option pricing in China under stochastic volatility
Chong, Terence Tai-Leung
;
Ding, Yue
;
Li, Yong
- In:
The journal of futures markets
35
(
2015
)
10
,
pp. 953-960
Persistent link: https://www.econbiz.de/10011392713
Saved in:
7
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:
8
An approach to the option market model based on end-user net demand
Sasaki, Hiroshi
- In:
The journal of futures markets
35
(
2015
)
5
,
pp. 476-503
Persistent link: https://www.econbiz.de/10011405401
Saved in:
9
Pricing multiasset cross-currency options
Shiraya, Kenichiro
;
Takahashi, Akihiko
- In:
The journal of futures markets
34
(
2014
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10010254960
Saved in:
10
Are traders' rules useful for pricing options? : evidence from intraday data
Kim, Sol
- In:
Journal of risk
17
(
2014/15
)
1
,
pp. 63-84
Persistent link: https://www.econbiz.de/10010476252
Saved in:
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