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  • Search: subject:"COS method"
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Year of publication
Subject
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COS method 14 Option pricing theory 12 Optionspreistheorie 12 Stochastic process 9 Stochastischer Prozess 9 Option trading 6 Optionsgeschäft 6 Volatility 6 Volatilität 6 Derivat 5 Derivative 5 Option pricing 5 Hedging 3 Interest rate derivative 3 Yield curve 3 Zinsderivat 3 Zinsstruktur 3 Interest rate 2 Interest rate derivatives 2 Portfolio selection 2 Portfolio-Management 2 Zins 2 affine jump-diffusion 2 central bank 2 deterministic jump times 2 interest ratederivatives 2 interest rates 2 monetary policy 2 overnight interest rate option 2 Affine jump-diffusion 1 Affine processes 1 Analysis 1 Asia 1 Asian options 1 Asien 1 Barrier options 1 Bid-ask spread 1 Bid-ask spreads 1 Black-Scholes model 1 Black-Scholes-Modell 1
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Online availability
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Undetermined 8 Free 5 CC license 2
Type of publication
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Article 12 Book / Working Paper 2
Type of publication (narrower categories)
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Article in journal 11 Aufsatz in Zeitschrift 11 Arbeitspapier 2 Graue Literatur 2 Non-commercial literature 2 Working Paper 2 Article 1
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Language
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English 14
Author
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Baczynski, Jack 5 Silva, Allan Jonathan da 4 Vicente, José Valentim Machado 2 Ziveyi, Jonathan 2 Alonso-García, Jennifer 1 Baschetti, Fabio 1 Bormetti, Giacomo 1 Brignone, Riccardo 1 Deng, Geng 1 Dulaney, Tim 1 Guo, Shimin 1 Jing, Bo 1 Joshi, Mark 1 Kang, Boda 1 Li, Shenghong 1 Li, Zhe 1 Liu, Jianguo 1 Ma, Yong 1 McCann, Craig 1 Romagnoli, Silvia 1 Rossi, Pietro 1 Sgarra, Carlo 1 Shen, Yang 1 Sun, Youfa 1 Wood, Oliver 1 Yan, Mike 1 Yi, Zhigao 1 Yuan, George 1 Yuan, Steven 1 Zhang, Weiguo 1 Zhang, Yue 1 Zhu, Dan 1 da Silva, Allan Jonathan 1
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Published in...
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Quantitative finance 2 The North American journal of economics and finance : a journal of financial economics studies 2 Annals of finance 1 Computational management science 1 Economies 1 Economies : open access journal 1 International Journal of Financial Studies : open access journal 1 International journal of financial engineering 1 Operations research letters 1 Série de trabalhos para discussão 1 The journal of computational finance 1 Working paper 1
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Source
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ECONIS (ZBW) 13 EconStor 1
Showing 1 - 10 of 14
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A stochastically correlated bivariate square-root model
Silva, Allan Jonathan da; Baczynski, Jack; Vicente, … - In: International Journal of Financial Studies : open … 12 (2024) 2, pp. 1-24
We introduce a novel stochastically correlated two-factor (i.e., bivariate) diffusion process under the square-root format, for which we analytically obtain the corresponding solutions for the conditional moment-generating functions and conditional characteristic functions. Such solutions...
Persistent link: https://www.econbiz.de/10014636327
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Discretely distributed scheduled jumps and interest rate derivatives : pricing in the context of central bank actions
Silva, Allan Jonathan da; Baczynski, Jack - In: Economies : open access journal 12 (2024) 3, pp. 1-29
models. The AJD-Skellam models are well suited for using the interest rate version of the Fourier-cosine series (COS) method …
Persistent link: https://www.econbiz.de/10014501143
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Discretely distributed scheduled jumps and interest rate derivatives: Pricing in the context of central bank actions
da Silva, Allan Jonathan; Baczynski, Jack - In: Economies 12 (2023) 3, pp. 1-29
models. The AJD-Skellam models are well suited for using the interest rate version of the Fourier-cosine series (COS) method …
Persistent link: https://www.econbiz.de/10015469543
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Exploring non-analytical affine jump-diffusion models for path-dependent interest rate derivatives
Silva, Allan Jonathan da; Baczynski, Jack - In: Computational management science 21 (2024) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10014636797
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Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier Cosine method
Kang, Boda; Shen, Yang; Zhu, Dan; Ziveyi, Jonathan - 2021
Persistent link: https://www.econbiz.de/10012628839
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Efficient solutions for pricing and hedging interest rate Asian options
Silva, Allan Jonathan da; Baczynski, Jack; Vicente, … - 2020
Persistent link: https://www.econbiz.de/10012171315
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The SINC way : a fast and accurate approach to Fourier pricing
Baschetti, Fabio; Bormetti, Giacomo; Romagnoli, Silvia; … - In: Quantitative finance 22 (2022) 3, pp. 427-446
Persistent link: https://www.econbiz.de/10013167768
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Consistent pricing of VIX options with the Hawkes jump-diffusion model
Jing, Bo; Li, Shenghong; Ma, Yong - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10012821987
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Asian options pricing in Hawkes-type jump-diffusion models
Brignone, Riccardo; Sgarra, Carlo - In: Annals of finance 16 (2020) 1, pp. 101-119
Persistent link: https://www.econbiz.de/10012495966
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An analytical approximation approach for pricing European options in a two-price economy
Li, Zhe; Zhang, Weiguo; Zhang, Yue; Yi, Zhigao - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-12
Persistent link: https://www.econbiz.de/10012201210
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