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  • Search: subject:"Characteristic function"
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Year of publication
Subject
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Characteristic function 89 characteristic function 82 Optionspreistheorie 43 Option pricing theory 42 Stochastic process 40 Stochastischer Prozess 40 Estimation theory 35 Schätztheorie 35 Theorie 31 Empirical characteristic function 30 Volatility 30 Volatilität 30 Theory 28 Characteristic Function 25 Statistical distribution 20 Statistische Verteilung 20 Estimation 16 stochastic volatility 15 Probability theory 14 Wahrscheinlichkeitsrechnung 14 Core 13 Option trading 13 Optionsgeschäft 13 Schätzung 13 Kooperatives Spiel 12 empirical characteristic function 12 Cooperative game 11 Game theory 11 Nichtparametrisches Verfahren 11 Nonparametric statistics 11 Statistical test 11 Statistischer Test 11 Shapley value 10 option pricing 10 Heston 9 Lévy process 9 Spieltheorie 9 Bootstrap 8 Fourier inversion 8 Goodness-of-fit 8
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Online availability
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Undetermined 155 Free 125 CC license 8
Type of publication
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Article 194 Book / Working Paper 110
Type of publication (narrower categories)
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Article in journal 80 Aufsatz in Zeitschrift 80 Working Paper 42 Graue Literatur 26 Non-commercial literature 26 Arbeitspapier 24 Article 10 Aufsatz im Buch 5 Book section 5 research-article 2 Conference paper 1 Konferenzbeitrag 1 Research Report 1
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Language
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English 172 Undetermined 130 German 2
Author
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Xu, Dinghai 10 Lord, Roger 9 Hoderlein, Stefan 8 Kahl, Christian 8 Breunig, Christoph 7 Meintanis, Simos 7 Broda, Simon A. 6 Wystup, Uwe 6 Forges, Françoise 5 Gupta, Arjun 5 Manuel, Conrado 5 Orzach, Ram 5 Zhylyevskyy, Oleksandr 5 Appaia, Loganathan 4 Brink, René van den 4 Chander, Parkash 4 Drakatos, Stylianos Th. 4 Ewerhart, Christian 4 Figueiredo, Annibal 4 Fountas, Ioannis E. 4 Fusai, Gianluca 4 Griebsch, Susanne 4 He, Xin-Jiang 4 Henze, Norbert 4 Hong, Yongmiao 4 Hušková, Marie 4 Kampisioulis, Panagiotis K. 4 Knight, John 4 Krichene, Noureddine 4 Serena, Marco 4 Caldana, Ruggero 3 Carrasco, Marine 3 Florens, Jean-Pierre 3 González-Aranguena, Enrique 3 Kan, Raymond 3 Laeven, Roger J. A. 3 Leucht, Anne 3 Meintanis, Simos G. 3 Nguyen, Truc 3 Pagliarani, Stefano 3
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Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 7 International Monetary Fund (IMF) 6 Department of Economics, University of Waterloo 5 Tinbergen Instituut 5 Department of Economics, Iowa State University 3 Dipartimento di Informatica e Studi Aziendali, Università degli Studi di Trento 3 Econometric Society 3 Cowles Foundation for Research in Economics, Yale University 2 Fondazione ENI Enrico Mattei (FEEM) 2 Frankfurt School of Finance and Management 2 Tinbergen Institute 2 University of Bonn, Germany 2 Université Paris-Dauphine (Paris IX) 2 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 1 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 1 Centro de Estudios Monetarios y Financieros (CEMFI) 1 Departamento de Economía de la Empresa, Universidad Carlos III de Madrid 1 Department of Econometrics and Business Statistics, Monash Business School 1 Department of Economics, University of California-San Diego (UCSD) 1 EconWPA 1 Finance Press 1 HAL 1 Institut for Miljø og Erhvervsøkonomi, Syddansk Universitet 1 Institute for Monetary and Economic Studies, Bank of Japan 1 Internationella Handelshögskolan, Högskolan i Jönköping 1 London School of Economics (LSE) 1 School of Management, Yale University 1 Society for Computational Economics - SCE 1 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 1 Swiss Finance Institute 1 Université Paris-Dauphine 1
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Published in...
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Annals of the Institute of Statistical Mathematics 11 International journal of theoretical and applied finance 10 Metrika 10 Journal of Multivariate Analysis 9 Journal of econometrics 9 Discussion paper / Tinbergen Institute 7 MPRA Paper 7 Tinbergen Institute Discussion Papers 7 Computational Statistics & Data Analysis 6 IMF Working Papers 6 Physica A: Statistical Mechanics and its Applications 6 Tinbergen Institute Discussion Paper 6 Statistics & Probability Letters 5 Working Paper 5 Working Papers / Department of Economics, University of Waterloo 5 CPQF Working Paper Series 4 Computational economics 4 TEST: An Official Journal of the Spanish Society of Statistics and Operations Research 4 Journal of mathematical finance 3 Quantitative finance 3 Staff General Research Papers / Department of Economics, Iowa State University 3 Statistical Papers / Springer 3 The journal of computational finance 3 Annals of Economics and Finance 2 Applied Mathematical Finance 2 Computational Statistics 2 Cowles Foundation Discussion Papers 2 DISA Working Papers 2 Discussion Paper Serie B 2 Econometric Reviews 2 Econometric Society 2004 North American Winter Meetings 2 Econometric reviews 2 Economic Quality Control 2 Economics Papers from University Paris Dauphine 2 Economics letters 2 European journal of operational research : EJOR 2 Finance and Stochastics 2 Forschung am ivwKöln 2 International Game Theory Review (IGTR) 2 International Journal of Quality & Reliability Management 2
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Source
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RePEc 160 ECONIS (ZBW) 111 EconStor 29 Other ZBW resources 3 BASE 1
Showing 1 - 10 of 304
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Analytical pricing of discretely sampled volatility swaps under the 4/2 stochastic volatility model
Rujivan, Sanae; Lim, Seyha; Thamrongrat, Nopporn; … - In: Risks : open access journal 14 (2026) 3, pp. 1-21
This paper develops a unified analytical framework for pricing discretely sampled volatility-average swaps under the 4/2 stochastic volatility model. The model accommodates a broad range of volatility dynamics by combining affine and inverse-affine components in the instantaneous volatility...
Persistent link: https://www.econbiz.de/10015638992
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Energy commodities and calendar spread options
Frau, Carme; Fusai, Gianluca; Kyriakou, Ioannis - In: Energy economics 151 (2025), pp. 1-18
Persistent link: https://www.econbiz.de/10015614716
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Risikoquantifizierung : charakteristische Funktion und numerische Methoden als Alternative zur Monte-Carlo-Simulation : Fallbeispiele zu kombinierten Verteilungen
Knobloch, Ralf - 2025
paper presents a numerical alternative based on the stochastic concept of the characteristic function and applies it to …
Persistent link: https://www.econbiz.de/10015475156
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Risikoquantifizierung: Charakteristische Funktion und numerische Methoden als Alternative zur Monte-Carlo-Simulation: Fallbeispiele zu kombinierten Verteilungen
Knobloch, Ralf - 2025
paper presents a numerical alternative based on the stochastic concept of the characteristic function and applies it to …
Persistent link: https://www.econbiz.de/10015477987
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Equitable solutions in game representations : an extension of the Shapley value
Dubey, Pradeep - 2024
Persistent link: https://www.econbiz.de/10014575654
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Characteristic functions for cooperative interval games
Parilina, Elena M.; Savaşkan, Gönül Selin; Zaccour, … - 2024
Persistent link: https://www.econbiz.de/10014483397
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Consistent distribution-free affine-invariant tests for the validity of independent component models
Hallin, Marc; Meintanis, Simos G.; Nordhausen, Klaus - 2024
Persistent link: https://www.econbiz.de/10014473311
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Analytically pricing European options in dynamic markets : incorporating liquidity variations and economic cycles
He, Xin-Jiang; Pasricha, Puneet; Lin, Sha - In: Economic modelling 139 (2024), pp. 1-10
Persistent link: https://www.econbiz.de/10015189810
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A unified approach to goodness-of-fit testing for spherical and hyperspherical data
Ebner, Bruno; Henze, Norbert; Meintanis, Simos - In: Statistical Papers 65 (2024) 6, pp. 3447-3475
. The method is based on the characterization of probability distributions via their characteristic function, and it leads …
Persistent link: https://www.econbiz.de/10015358841
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Estimating option pricing models using a characteristic function-based linear state space representation
Boswijk, Herman Peter; Laeven, Roger J. A.; Vladimirov, … - In: Journal of econometrics 244 (2024) 1, pp. 1-25
Persistent link: https://www.econbiz.de/10015552398
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