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  • Search: subject:"Transition density"
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Year of publication
Subject
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Transition density 15 Option pricing theory 8 Optionspreistheorie 8 transition density 8 Statistische Verteilung 7 Statistical distribution 6 Stochastischer Prozess 6 Stochastic process 5 Option Pricing 4 Option pricing 4 Volatility 4 Volatilität 4 Continuous-time model 3 Estimation theory 3 Hermite expansion 3 Option trading 3 Optionsgeschäft 3 Schätztheorie 3 Transition Density 3 Analytic Approximations 2 Analytic transition density 2 Asian Options 2 Boundary bias 2 Continuous record 2 Degenerate Diffusion Processes 2 Diffusion model 2 Diffusion process 2 Discrete sampling 2 Edgeworth expansion 2 Heat kernel 2 Hellinger metric 2 Itô diffusion 2 Jackknife 2 Jump-diffusion 2 Kernel method 2 Kingman’s coalescent 2 Likelihood estimation 2 Lévy system 2 Markov Chains 2 Maximum likelihood 2
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Online availability
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Free 21 Undetermined 12
Type of publication
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Book / Working Paper 21 Article 17
Type of publication (narrower categories)
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Article in journal 9 Aufsatz in Zeitschrift 9 Working Paper 6 Arbeitspapier 2 Graue Literatur 2 Non-commercial literature 2 Thesis 1
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Language
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English 22 Undetermined 16
Author
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Foschi, Paolo 3 Hong, Yongmiao 3 Kristensen, Dennis 3 Cerrato, Mario 2 Chen, Ding 2 Griffiths, Robert C. 2 Herzberg, Frederik 2 Härkönen, Hannu J. 2 Lee, Yoon Dong 2 Li, Haitao 2 Lo, Chia Chun 2 Newton, David P. 2 Pagliarani, Stefano 2 Pascucci, Andrea 2 Riedel, Frank 2 Ruggiero, Matteo 2 Skindilias, Konstantinos 2 Song, Seongjoo 2 Spanò, Dario 2 Spokoiny, Vladimir 2 Yang, Xuewei 2 Yu, Jun 2 Zhou, Youzhou 2 Cai, Ning 1 Chen, Dachuan 1 Chen, Zhen-Qing 1 Elizabeth Ortega. 1 Figueroa-López, José E. 1 Gong, Ruoting 1 Houdré, Christian 1 Hu, Eryan 1 José Antonio Núñez. 1 Kim, Kyung-Youn 1 Kim, Panki 1 Kim, See-Woo 1 Lee, Eun-Kyung 1 Lee, Eun-kyung 1 Lee, Young Jun 1 Li, Chenxu 1 Ma, Yong-Ki 1
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Institution
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Dipartimento di Scienze Statistiche "Paolo Fortunati", Alma Mater Studiorum - Università di Bologna 2 Cowles Foundation for Research in Economics, Yale University 1 Department of Economics, Adam Smith Business School 1 East Asian Bureau of Economic Research (EABER) 1 Galatasaray Üniversitesi İktisadi Araştırmalar Merkezi (GİAM), Galatasaray Üniversitesi 1 Institut für Mathematische Wirtschaftsforschung, Universität Bielefeld 1 School of Economics and Management, University of Aarhus 1 Scottish Institute for Research in Economics (SIRE) 1 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 1 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1 Økonomisk Institut, Københavns Universitet 1
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Published in...
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Stochastic Processes and their Applications 3 Carlo Alberto notebooks 2 Journal of econometrics 2 Journal of economic dynamics & control 2 Quaderni di Dipartimento 2 Applied mathematical finance 1 Bulletin of the Czech Econometric Society 1 CREATES Research Papers 1 Computational economics 1 Cowles Foundation Discussion Papers 1 Development Economics Working Papers 1 Discussion Papers / Økonomisk Institut, Københavns Universitet 1 Economía: teoría y práctica 1 GIAM Working Papers 1 INFORMS journal on computing : JOC 1 International journal of theoretical and applied finance 1 Journal of Econometrics 1 Journal of Financial Economics 1 Journal of financial economics 1 MPRA Paper 1 Quaderni di Dipartimento - EPMQ 1 SFB 373 Discussion Paper 1 SFB 373 Discussion Papers 1 SFB 649 Discussion Paper 1 SFB 649 Discussion Papers 1 SIRE Discussion Papers 1 Statistics & Probability Letters 1 Working Paper 1 Working Papers 1 Working Papers / Department of Economics, Adam Smith Business School 1 Working Papers / Institut für Mathematische Wirtschaftsforschung, Universität Bielefeld 1
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Source
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RePEc 22 ECONIS (ZBW) 11 EconStor 4 BASE 1
Showing 1 - 10 of 38
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Dual process in the two-parameter Poisson–Dirichlet diffusion
Griffiths, Robert C.; Ruggiero, Matteo; Spanò, Dario; … - 2024
Persistent link: https://www.econbiz.de/10015371980
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Closed-form approximations of moments and densities of continuous-time Markov models
Kristensen, Dennis; Lee, Young Jun; Mele, Antonio - In: Journal of economic dynamics & control 168 (2024), pp. 1-26
Persistent link: https://www.econbiz.de/10015556333
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Dual process in the two-parameter Poisson-Dirichlet diffusion
Griffiths, Robert C.; Ruggiero, Matteo; Spanò, Dario; … - 2024
Persistent link: https://www.econbiz.de/10015101097
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Modeling tail dependence using stochastic volatility model
Kim, See-Woo; Ma, Yong-Ki; Necula, Ciprian - In: Computational economics 62 (2023) 1, pp. 129-147
Persistent link: https://www.econbiz.de/10014327243
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Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps
Wan, Xiangwei; Yang, Nian - In: Journal of economic dynamics & control 125 (2021), pp. 1-37
Persistent link: https://www.econbiz.de/10012666952
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A computational approach to first passage problems of reflected hyperexponential jump diffusion processes
Cai, Ning; Yang, Xuewei - In: INFORMS journal on computing : JOC 33 (2021) 1, pp. 216-229
Persistent link: https://www.econbiz.de/10012496376
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Existence of Financial Equilibria in Continuous Time with Potentially Complete Markets
Riedel, Frank; Herzberg, Frederik - Institut für Mathematische Wirtschaftsforschung, … - 2013
We prove that in smooth Markovian continuous-time economies with potentially complete asset markets, Radner equilibria with endogenously complete markets exist.
Persistent link: https://www.econbiz.de/10008764998
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The valuation of options on foreign exchange rate in a target zone
Xu, Guangli; Song, Shiyu; Wang, Yongjin - In: International journal of theoretical and applied finance 19 (2016) 3, pp. 1-19
Persistent link: https://www.econbiz.de/10011523802
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Estimating Stochastic Differential Equations Using Repeated Eigenfunction Estimation and Neural Networks
Tuncer, Ruhi - Galatasaray Üniversitesi İktisadi Araştırmalar … - 2012
using repeated eigenfunction estimation. The transition density will be estimated in a new way involving Kolmogorov …
Persistent link: https://www.econbiz.de/10010840310
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Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model
Zheng, Wendong; Zeng, Pingping - In: Applied mathematical finance 23 (2016) 5/6, pp. 344-373
Persistent link: https://www.econbiz.de/10011704259
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