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  • Search: subject:"Diffusion Model"
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Year of publication
Subject
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Optionspreistheorie 68 Stochastic process 68 Option pricing theory 67 Stochastischer Prozess 67 Innovation diffusion 62 Innovationsdiffusion 61 Theorie 54 Theory 54 Volatility 46 Volatilität 46 Bass diffusion model 32 Diffusion model 31 jump-diffusion model 26 Option trading 25 Optionsgeschäft 25 diffusion model 24 Jump-diffusion model 21 CAPM 20 Schätztheorie 18 Estimation theory 17 Estimation 15 Forecasting model 15 Jump diffusion model 15 Portfolio selection 15 Portfolio-Management 15 Prognoseverfahren 15 Schätzung 14 Consumer behaviour 13 Konsumentenverhalten 13 Börsenkurs 12 Share price 12 jump diffusion model 12 Innovation 11 Monte Carlo simulation 11 Risk 11 Black-Scholes model 10 Black-Scholes-Modell 10 Experiment 10 Risiko 10 Time series analysis 10
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Online availability
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Undetermined 148 Free 95 CC license 4
Type of publication
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Article 236 Book / Working Paper 70
Type of publication (narrower categories)
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Article in journal 150 Aufsatz in Zeitschrift 150 Working Paper 27 Graue Literatur 16 Non-commercial literature 16 Arbeitspapier 15 research-article 10 Article 8 Aufsatz im Buch 5 Book section 5 Thesis 3 Conference paper 2 Konferenzbeitrag 2 Book Part 1 Conference Paper 1 Hochschulschrift 1
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Language
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English 225 Undetermined 80 German 1
Author
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Siu, Tak Kuen 5 Stübinger, Johannes 5 Aboura, Sofiane 4 Björk, Tomas 4 Corradi, Valentina 4 Fabozzi, Frank J. 4 Forbes, Catherine Scipione 4 Kleppe, Tore Selland 4 Kostrzewski, Maciej 4 Krajbich, Ian 4 Maneesoonthorn, Worapree 4 Martin, Gael M. 4 Ngoie, Jacques Kibambe 4 Silvapulle, Mervyn J. 4 Skaug, Hans J. 4 Strittmatter, Anthony 4 Sunde, Uwe 4 Yu, Jun 4 Cagliano, Anna Corinna 3 Chen, Jun-Home 3 Endres, Sylvia 3 Framstad, Nils Chr. 3 Hainaut, Donatien 3 Krichene, Noureddine 3 Lee, Chul-Yong 3 Lian, Yu-Min 3 Malinovskii, Vsevolod K. 3 Mangano, Giulio 3 Muroi, Yoshifumi 3 Rafele, Carlo 3 Suda, Shintaro 3 Swanson, Norman R. 3 Vasiljević, Nikola 3 Xu, Weijun 3 Zheng, Harry 3 Alekseev, Aleksandr G. 2 Amaya, Ingrid Y. 2 Archontakis, Fragiskos 2 Biele, Guido P. 2 Branger, Nicole 2
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Institution
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International Monetary Fund (IMF) 6 Université Paris-Dauphine (Paris IX) 3 Economics Institute for Research (SIR), Handelshögskolan i Stockholm 2 School of Economics, Singapore Management University 2 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 2 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2 Bank for International Settlements (BIS) 1 Banque de France 1 Collegio Carlo Alberto, Università degli Studi di Torino 1 Colwell, David , Banking & Finance, Australian School of Business, UNSW 1 Department of Economics, Faculty of Economic and Management Sciences 1 Department of Economics, Rutgers University-New Brunswick 1 Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft (ZBW) 1 EconWPA 1 EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X) 1 Economic Research Southern Africa (ERSA) 1 Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam. 1 Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam 1 Lee, Brendan Chee-Seng, Banking & Finance, Australian School of Business, UNSW 1 Santa Fe Institute 1 Society for Computational Economics - SCE 1 Technology Management, Economics and Policy Program (TEMEP), Seoul National University 1 United Nations University, Maastricht Economic and social Research and training centre on Innovation and Technology 1 United Nations University-Maastricht Economic Research Institute of Innovation and Technology (UNU-MERIT) 1 Université Paris-Dauphine 1 Wirtschaftswissenschaftliche Fakultät, Friedrich-Schiller-Universität Jena 1 Økonomisk institutt, Universitetet i Oslo 1
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Published in...
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Computational economics 8 Technological forecasting & social change : an international journal 7 IMF Working Papers 6 Physica A: Statistical Mechanics and its Applications 6 Industrial Management & Data Systems 5 Journal of econometrics 5 Management science : journal of the Institute for Operations Research and the Management Sciences 5 Finance and Stochastics 4 Finance research letters 4 Insurance 4 International journal of production economics 4 International journal of theoretical and applied finance 4 Journal of Econometrics 4 Management Science 4 Applied economics letters 3 Central European journal of economic modelling and econometrics 3 Economics Papers from University Paris Dauphine 3 Energy Policy 3 International journal of financial engineering 3 Journal of economic dynamics & control 3 Journal of the Economic Science Association : JESA : a companion journal to Experimental economics 3 Quantitative finance 3 Risks 3 SFB 649 Discussion Paper 3 SSE/EFI Working Paper Series in Economics and Finance 3 Working paper / Department of Econometrics and Business Statistics, Monash University 3 Applied Mathematical Finance 2 Applied mathematical finance 2 Cogent Economics & Finance 2 Cogent economics & finance 2 Econometrics 2 Economic modelling 2 Economic research 2 Energy economics 2 European journal of operational research : EJOR 2 Insurance: Mathematics and Economics 2 International Journal of Theoretical and Applied Finance (IJTAF) 2 Journal of banking & finance 2 Journal of business research : JBR 2 Journal of engineering and technology management : JET-M 2
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Source
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ECONIS (ZBW) 171 RePEc 97 EconStor 23 Other ZBW resources 10 BASE 5
Showing 31 - 40 of 306
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Pricing airbag option via first passage time approach
Liu, Zheng; Qian, Xiaosong; Yao, Jing; Dong, Yinghui - In: Quantitative finance 24 (2024) 7, pp. 955-974
Persistent link: https://www.econbiz.de/10015050807
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Analyst network centrality, forecast accuracy, and persistent influence
Bai, Yang; Zhang, Zhehao; Peng, Wenyan - In: Applied economics 56 (2024) 52, pp. 6667-6689
Persistent link: https://www.econbiz.de/10015073715
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Søren Johansen and Katarina Juselius : a bibliometric analysis of citations through multivariate bass models
Archontakis, Fragiskos; Mosconi, Rocco - In: Econometrics : open access journal 9 (2021) 3, pp. 1-28
We showcase the impact of Katarina Juselius and Søren Johansen's contribution to econometrics using bibliometric data on citations from 1989 to 2017, extracted from the Web of Science (WoS) database. Our purpose is to analyze the impact of KJ and SJ's ideas on applied and methodological...
Persistent link: https://www.econbiz.de/10012617236
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Søren Johansen and Katarina Juselius: A bibliometric analysis of citations through multivariate bass models
Archontakis, Fragiskos; Mosconi, Rocco - In: Econometrics 9 (2021) 3, pp. 1-28
We showcase the impact of Katarina Juselius and Søren Johansen's contribution to econometrics using bibliometric data on citations from 1989 to 2017, extracted from the Web of Science (WoS) database. Our purpose is to analyze the impact of KJ and SJ's ideas on applied and methodological...
Persistent link: https://www.econbiz.de/10012696335
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Price dynamics of individual stocks : jumps and information
Xiao, Yuewen; Zhao, Jing - In: Finance research letters 38 (2021), pp. 1-8
Persistent link: https://www.econbiz.de/10012485357
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High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - 2020 - (Revised working paper 17/18)
Persistent link: https://www.econbiz.de/10012606872
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Maximum likelihood estimation of continuous-time diffusion models for exchange rates
Choi, Seungmoon; Lee, Jaebum - In: East Asian economic review 24 (2020) 1, pp. 61-87
Persistent link: https://www.econbiz.de/10012225756
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Maximum Likelihood Estimation of Continuous-time Diffusion Models for Exchange Rates
Choi, Seungmoon; Lee, Jaebum - In: East Asian Economic Review (EAER) 24 (2020) 1, pp. 61-87
/100Yen exchange rates have a U-shape. Our results reveal that more care has to be taken when determining a diffusion model … for the exchange rate. The results also imply that we may have to use a more general diffusion model than those proposed …
Persistent link: https://www.econbiz.de/10015397986
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Bayesian DEJD Model and Detection of Asymmetry in Jump Sizes
Kostrzewski, Maciej - In: Central European Journal of Economic Modelling and … 7 (2015) 1, pp. 43-70
exponential jump-diffusion model is proposed. Theorems stated in the paper enable estimation of the model’s parameters, detection …
Persistent link: https://www.econbiz.de/10011265621
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Valuation of chooser options with state-dependent risks
Lian, Yu-Min; Chen, Jun-Home - In: Finance research letters 52 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014471998
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