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Search: subject:"Heston's Model"
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Subject
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Stochastic volatility
157
Heston model
145
Optionspreistheorie
142
Stochastischer Prozess
141
Option pricing theory
140
Stochastic process
138
Stochastische Volatilität
128
Volatilität
126
Volatility
122
Theorie
47
Theory
45
Option trading
40
Optionsgeschäft
40
Monte Carlo simulation
35
Monte-Carlo-Simulation
31
Derivat
30
Derivative
30
stochastic volatility
27
Forecasting model
25
Prognoseverfahren
25
Black-Scholes model
24
Black-Scholes-Modell
24
USA
19
United States
19
Portfolio selection
18
Portfolio-Management
18
ARCH model
17
ARCH-Modell
17
Bayes-Statistik
16
Bayesian inference
16
VAR model
16
VAR-Modell
16
Simulation
15
Welt
15
World
15
Capital market returns
13
Estimation
13
Kapitalmarktrendite
13
Schätzung
13
Estimation theory
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Undetermined
141
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119
CC license
7
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Article
204
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123
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Article in journal
147
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147
Graue Literatur
66
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66
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65
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58
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11
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6
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6
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4
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English
266
Undetermined
58
German
3
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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
Grasselli, Martino
3
Günther, Michael
3
Hafner, Christian M.
3
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Institution
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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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Published in...
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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
2
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Source
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ECONIS (ZBW)
244
RePEc
70
EconStor
13
Showing
181
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190
of
327
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date (oldest first)
181
Stochastic skew and target volatility options
Grasselli, Martino
;
Romo, Jacinto Marabel
- In:
The journal of futures markets
36
(
2016
)
2
,
pp. 174-193
Persistent link: https://www.econbiz.de/10011568064
Saved in:
182
Empirical performance of commodity pricing models : when is it worthwhile to use a stochastic volatility specification?
Cortazar, Gonzalo
;
Gutierrez, Simon
;
Ortega, Hector
- In:
The journal of futures markets
36
(
2016
)
5
,
pp. 457-487
Persistent link: https://www.econbiz.de/10011568444
Saved in:
183
A generalization of the recursive integration method for the analytic valuation of American options
Chang, Lung-Fu
;
Guo, Jia-Hau
;
Hung, Mao-Wei
- In:
The journal of futures markets
36
(
2016
)
9
,
pp. 887-901
Persistent link: https://www.econbiz.de/10011568657
Saved in:
184
Heston-type stochastic volatility with a Markov switching regime
Elliott, Robert J.
;
Nishide, Katsumasa
;
Osakwe, …
- In:
The journal of futures markets
36
(
2016
)
9
,
pp. 902-919
Persistent link: https://www.econbiz.de/10011568671
Saved in:
185
Have standard VARs remained stable since the crisis?
Aastveit, Knut Are
;
Carriero, Andrea
;
Clark, Todd E.
; …
-
2016
Persistent link: https://www.econbiz.de/10011571317
Saved in:
186
On the
Heston
model
with stochastic correlation
Teng, Long
;
Ehrhardt, Matthias
;
Günther, Michael
- In:
International journal of theoretical and applied finance
19
(
2016
)
6
,
pp. 1-25
Persistent link: https://www.econbiz.de/10011572381
Saved in:
187
A comparative goodness-of-fit analysis of distributions of some Lévy processes and
Heston
model
to stock index returns
Göncü, Ahmet
;
Karahan, Mehmet Oğuz
;
Kuzubaş, Tolga Umut
- In:
The North American journal of economics and finance : a …
36
(
2016
),
pp. 69-83
Persistent link: https://www.econbiz.de/10011672611
Saved in:
188
An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching
He, Xin-Jiang
;
Zhu, Song-Ping
- In:
Journal of economic dynamics & control
71
(
2016
),
pp. 77-85
Persistent link: https://www.econbiz.de/10011708772
Saved in:
189
FX smile in the
Heston
model
Janek, Agnieszka
;
Kluge, Tino
;
Weron, Rafał
;
Wystup, Uwe
-
2010
The
Heston
model
stands out from the class of stochastic volatility (SV) models mainly for two reasons. Firstly, the …
Persistent link: https://www.econbiz.de/10010281507
Saved in:
190
Optimal Investment Strategies under Stochastic Volatility - Estimation and Applications
Chiarella, Carl
;
Hsiao, Chih-Ying
-
Finance Discipline Group, Business School
-
2010
different SV models: an extended Stein/Stein model, the
Heston
Model
and an extended
Heston
Model
with a constant elasticity … the
Heston
model
is favored as a more parsimonious model compared with the other two models. All three investment …
Persistent link: https://www.econbiz.de/10008492101
Saved in:
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