Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Academic Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject:"Fourier cosine series"
Narrow search
Narrow search
Year of publication
From:
To:
Subject
All
Option pricing theory
6
Optionspreistheorie
6
Stochastic process
6
Stochastischer Prozess
6
Option trading
5
Optionsgeschäft
5
Fourier-cosine series
4
Volatility
3
Volatilität
3
Barrier options
2
Black-Scholes model
2
Black-Scholes-Modell
2
Fourier cosine series expansion
2
Liquidity
2
Liquidität
2
Market liquidity
2
Marktliquidität
2
Realized variance
2
Stochastic volatility
2
Variance options
2
Variance swaps
2
Volatility swaps
2
Accuracy
1
Analysis of variance
1
Analytical approximation
1
Betriebliche Liquidität
1
Bid-ask spread
1
Coherent risk measure
1
Corporate liquidity
1
Derivat
1
Derivative
1
Discrete barrier options
1
Dynamic programming
1
Dynamische Optimierung
1
Fourier cosine series
1
Geld-Brief-Spanne
1
Heston model
1
Illiquidity smile
1
Illiquidity smirk
1
Index futures
1
more ...
less ...
Online availability
All
Undetermined
5
Free
1
Type of publication
All
Article
7
Type of publication (narrower categories)
All
Article in journal
6
Aufsatz in Zeitschrift
6
Language
All
English
6
Undetermined
1
Author
All
Lian, Guanghua
3
Chiarella, Carl
2
Kalev, Petko S.
2
Ai, Meiqiao
1
Chuang, Ming-Che
1
Cui, Zhenyu
1
Elliott, Robert J.
1
He, Xin-Jiang
1
Li, Zhe
1
Lin, Sha
1
Liu, Yong-Jun
1
Tsai, Jeffrey Tzuhao
1
Zhang, Wei-guo
1
Zhang, Yue
1
Zhang, Zhimin
1
Zhu, Dan
1
Zhu, Song-Ping
1
more ...
less ...
Published in...
All
Computational economics
1
International review of economics & finance : IREF
1
Journal of Economic Dynamics and Control
1
Journal of banking & finance
1
Journal of economic dynamics & control
1
Pacific-Basin finance journal
1
Scandinavian actuarial journal
1
more ...
less ...
Source
All
ECONIS (ZBW)
6
RePEc
1
Showing
1
-
7
of
7
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models
Ai, Meiqiao
;
Zhang, Zhimin
;
Zhu, Dan
- In:
Scandinavian actuarial journal
2023
(
2023
)
4
,
pp. 330-358
Persistent link: https://www.econbiz.de/10014336388
Saved in:
2
Determining bid-ask prices for options with stochastic illiquidity and applications to index options
Chuang, Ming-Che
;
Tsai, Jeffrey Tzuhao
- In:
Pacific-Basin finance journal
84
(
2024
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014534554
Saved in:
3
An analytical approximation formula for barrier option prices under the heston model
He, Xin-Jiang
;
Lin, Sha
- In:
Computational economics
60
(
2022
)
4
,
pp. 1413-1425
Persistent link: https://www.econbiz.de/10013447445
Saved in:
4
Pricing discrete barrier options under jump-diffusion model with liquidity risk
Li, Zhe
;
Zhang, Wei-guo
;
Liu, Yong-Jun
;
Zhang, Yue
- In:
International review of economics & finance : IREF
59
(
2019
),
pp. 347-368
Persistent link: https://www.econbiz.de/10012202898
Saved in:
5
Semi-analytical valuation for discrete barrier options under time-dependent Lévy processes
Lian, Guanghua
;
Zhu, Song-Ping
;
Elliott, Robert J.
; …
- In:
Journal of banking & finance
75
(
2017
),
pp. 167-183
Persistent link: https://www.econbiz.de/10011742159
Saved in:
6
Volatility swaps and volatility options on discretely sampled realized variance
Lian, Guanghua
;
Chiarella, Carl
;
Kalev, Petko S.
- In:
Journal of Economic Dynamics and Control
47
(
2014
)
C
,
pp. 239-262
Fourier-cosine
series
method. Numerical experiments show that our approximation is more accurate in comparison to the …
Persistent link: https://www.econbiz.de/10010939754
Saved in:
7
Volatility swaps and volatility options on discretely sampled realized variance
Lian, Guanghua
;
Chiarella, Carl
;
Kalev, Petko S.
- In:
Journal of economic dynamics & control
47
(
2014
),
pp. 239-262
Persistent link: https://www.econbiz.de/10010485855
Saved in:
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
