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Search: subject:"Heston's Model"
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Stochastic volatility
157
Heston model
145
Optionspreistheorie
142
Stochastischer Prozess
141
Option pricing theory
140
Stochastic process
138
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122
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47
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45
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40
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40
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35
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31
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30
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stochastic volatility
27
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25
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24
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19
United States
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Portfolio selection
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266
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Clark, Todd E.
15
McAleer, Michael
14
Asai, Manabu
11
Huber, Florian
10
Mertens, Elmar
9
Wystup, Uwe
9
Detlefsen, Kai
8
McCracken, Michael W.
8
Carriero, Andrea
7
Marcellino, Massimiliano
7
Aastveit, Knut Are
6
Chiarella, Carl
6
Griebsch, Susanne
6
Peiris, Shelton
6
Alòs, Elisa
5
Chang, Chia-Lin
5
Janek, Agnieszka
5
Kluge, Tino
5
Zhu, Song-Ping
5
Chan, Jiun Hong
4
Crespo Cuaresma, Jesús
4
Cui, Zhenyu
4
Härdle, Wolfgang
4
Härdle, Wolfgang Karl
4
Jacquier, Antoine
4
Joshi, Mark S.
4
Mickel, Annalena
4
Neuenkirch, Andreas
4
Bernard, Carole
3
Breitung, Jörg
3
Chen, Jinghui
3
Doppelhofer, Gernot
3
Ehrhardt, Matthias
3
Feldkircher, Martin
3
Forde, Martin
3
Gatheral, Jim
3
Gnoatto, Alessandro
3
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3
Günther, Michael
3
Hafner, Christian M.
3
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
5
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
5
Department of Economics and Business, Universitat Pompeu Fabra
3
Finance Discipline Group, Business School
3
Department of Economics, Iowa State University
2
School of Economics and Management, University of Aarhus
2
Birkbeck, Department of Economics, Mathematics & Statistics
1
Frankfurt School of Finance and Management
1
Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska
1
National Bureau of Economic Research
1
Society for Computational Economics - SCE
1
Technische Universität Dresden
1
Universität Trier
1
World Scientific Publishing Co. Pte. Ltd.
1
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International journal of theoretical and applied finance
24
Quantitative finance
14
The journal of futures markets
11
International Journal of Theoretical and Applied Finance (IJTAF)
10
The journal of computational finance
8
Computational economics
7
International journal of financial engineering
7
Physica A: Statistical Mechanics and its Applications
7
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
7
Department of Economics working paper
6
Econometric Institute research papers
6
Applied mathematical finance
5
MPRA Paper
5
SFB 649 Discussion Paper
5
SFB 649 Discussion Papers
5
Discussion paper / Centre for Economic Policy Research
4
Discussion paper / Tinbergen Institute
4
European journal of operational research : EJOR
4
Finance and Stochastics
4
Finance and stochastics
4
Review of Derivatives Research
4
Asia-Pacific Financial Markets
3
BIFEC Book of Abstracts & Proceedings
3
CORE discussion papers : DP
3
Decisions in economics and finance : DEF ; a journal of applied mathematics
3
Economics Working Papers / Department of Economics and Business, Universitat Pompeu Fabra
3
Federal Reserve Bank of Cleveland working paper series
3
Finance research letters
3
Insurance / Mathematics & economics
3
Journal of banking & finance
3
Journal of economic dynamics & control
3
Journal of mathematical finance
3
Journal of risk
3
Journal of risk and financial management : JRFM
3
Quantitative Finance
3
Research Paper Series / Finance Discipline Group, Business School
3
Working paper
3
Applied Mathematical Finance
2
Asia-Pacific financial markets
2
CESifo working papers
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ECONIS (ZBW)
244
RePEc
70
EconStor
13
Showing
101
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110
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327
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101
An analytic approximation for valuation of the American option under the
Heston
model
in two regimes
Jeon, Junkee
;
Huh, Jeonggyu
;
Park, Kyunghyun
- In:
Computational economics
56
(
2020
)
2
,
pp. 499-528
Persistent link: https://www.econbiz.de/10012272044
Saved in:
102
High-order approximations to call option prices in the
Heston
model
Gulisashvili, Archil
;
Lagunas-Merino, Marc
;
Merino, Raúl
; …
- In:
The journal of computational finance
24
(
2020
)
1
,
pp. 83-102
Persistent link: https://www.econbiz.de/10012421960
Saved in:
103
Numerical techniques for the Heston collocated volatility model
Le Floc'h, Fabien
;
Oosterlee, Cornelis Willebrordus
- In:
The journal of computational finance
24
(
2020
)
3
,
pp. 59-110
Persistent link: https://www.econbiz.de/10012544158
Saved in:
104
Realised volatility and parametric estimation of Heston SDEs
Azencott, Robert
;
Ren, Peng
;
Timofeyev, Ilya
- In:
Finance and stochastics
24
(
2020
)
3
,
pp. 723-755
Persistent link: https://www.econbiz.de/10012518091
Saved in:
105
Approximating expected value of an option with non-Lipschitz payoff in fractional Heston-type model
Mišura, Julija S.
;
Yurchenko-Tytarenko, Anton
- In:
International journal of theoretical and applied finance
23
(
2020
)
5
,
pp. 1-36
Persistent link: https://www.econbiz.de/10012496732
Saved in:
106
Modeling time-varying uncertainty of multiple-horizon forecast errors
Clark, Todd E.
;
McCracken, Michael W.
;
Mertens, Elmar
- In:
The review of economics and statistics
102
(
2020
)
1
,
pp. 17-33
Persistent link: https://www.econbiz.de/10012208035
Saved in:
107
Testing for time variation in an unobserved components model for the US economy
Berger, Tino
;
Everaert, Gerdie
;
Vierke, Hauke
-
2015
Persistent link: https://www.econbiz.de/10010515386
Saved in:
108
US monetary policy in a globalized world
Crespo Cuaresma, Jesús
;
Doppelhofer, Gernot
; …
-
2015
Persistent link: https://www.econbiz.de/10011421835
Saved in:
109
A stochastic volatility model with GH skew student's t-distribution : application to Latin-American stock returns
Lengua Lafosse, Patricia
;
Bayes, Cristian
;
Rodriguez, …
-
2015
Persistent link: https://www.econbiz.de/10011415404
Saved in:
110
Essays on higher order approximation solution methods for DSGE models
Lan, Hong
-
2015
Persistent link: https://www.econbiz.de/10011334249
Saved in:
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