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Stochastic volatility
Optionspreistheorie
249
Option pricing theory
243
Stochastischer Prozess
234
Stochastic process
230
Volatilität
167
Volatility
166
Theorie
94
Theory
88
Jump diffusion
79
Option trading
71
Optionsgeschäft
71
Portfolio selection
70
Portfolio-Management
70
jump diffusion
67
jump-diffusion
54
Jump-diffusion
51
Derivat
48
Derivative
48
CAPM
46
Markov chain
44
Markov-Kette
42
Statistische Verteilung
41
Statistical distribution
40
Jump-diffusion process
37
Monte Carlo simulation
31
Option pricing
31
Börsenkurs
29
Capital income
29
Kapitaleinkommen
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Share price
28
jump-diffusion model
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Monte-Carlo-Simulation
26
Schätzung
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Estimation
25
option pricing
25
Risk
24
jump-diffusion process
24
stochastic volatility
24
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Kirkby, J. Lars
4
Nguyen, Duy
4
Cui, Zhenyu
3
Cheang, Gerald H. L.
2
Garces, Len Patrick Dominic M.
2
Ignatieva, Ekaterina
2
Jessen, Cathrine
2
Lando, David
2
Liu, Qingfu
2
Rong, Ximin
2
Tu, Anthony H.
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Zhao, Hui
2
Zhao, Yonggan
2
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1
Bhamra, Harjoat Singh
1
Boes, M.J.
1
Briani, Maya
1
Caramellino, Lucia
1
Chourdakis, Kyriakos
1
Costantini, Cristina
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1
Drost, Feike C.
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Fengler, Matthias
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Fernanda D’Ippoliti
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ECONIS (ZBW)
21
RePEc
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1
Modelling high frequency crude oil dynamics using affine and non-affine
jump-diffusion
models
Ignatieva, Ekaterina
;
Wong, Patrick
- In:
Energy economics
108
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013203083
Saved in:
2
Jumps in commodity prices : new approaches for pricing plain vanilla options
Crosby, John
;
Frau, Carme
- In:
Energy economics
114
(
2022
),
pp. 1-22
Persistent link: https://www.econbiz.de/10013477538
Saved in:
3
Electricity price modelling with stochastic volatility and jumps : an empirical investigation
Gudkov, Nikolay
;
Ignatieva, Ekaterina
- In:
Energy economics
98
(
2021
),
pp. 1-26
Persistent link: https://www.econbiz.de/10012873255
Saved in:
4
A numerical approach to pricing exchange options under stochastic volatility and
jump-diffusion
dynamics
Garces, Len Patrick Dominic M.
;
Cheang, Gerald H. L.
- In:
Quantitative finance
21
(
2021
)
12
,
pp. 2025-2054
Persistent link: https://www.econbiz.de/10012696809
Saved in:
5
Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
Kirkby, J. Lars
;
Nguyen, Duy
- In:
Annals of finance
16
(
2020
)
3
,
pp. 307-351
Persistent link: https://www.econbiz.de/10012496337
Saved in:
6
Representation of exchange option prices under stochastic volatility
jump-diffusion
dynamics
Cheang, Gerald H. L.
;
Garces, Len Patrick Dominic M.
- In:
Quantitative finance
20
(
2020
)
2
,
pp. 291-310
Persistent link: https://www.econbiz.de/10012194867
Saved in:
7
Numerical stability of a hybrid method for pricing options
Briani, Maya
;
Caramellino, Lucia
;
Terenzi, Giulia
; …
- In:
International journal of theoretical and applied finance
22
(
2019
)
7
,
pp. 1-46
Persistent link: https://www.econbiz.de/10012153319
Saved in:
8
Smiling twice : the Heston++ model
Pacati, Claudio
;
Pompa, Gabriele
;
Renò, Roberto
- In:
Journal of banking & finance
96
(
2018
),
pp. 185-206
Persistent link: https://www.econbiz.de/10011967200
Saved in:
9
Equity index variance : evidence from flexible parametric
jump-diffusion
models
Kaeck, Andreas
;
Rodrigues, Paulo Jorge Maurício
; …
- In:
Journal of banking & finance
83
(
2017
),
pp. 85-103
Persistent link: https://www.econbiz.de/10011816827
Saved in:
10
A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
Kirkby, J. Lars
;
Nguyen, Duy
;
Cui, Zhenyu
- In:
Journal of economic dynamics & control
80
(
2017
),
pp. 75-100
Persistent link: https://www.econbiz.de/10011817629
Saved in:
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