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  • Search: subject:"stochastic correlation"
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Year of publication
Subject
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Stochastic process 27 Stochastischer Prozess 27 Correlation 26 Korrelation 26 Option pricing theory 22 Optionspreistheorie 22 Stochastic correlation 19 Volatility 15 Volatilität 15 stochastic correlation 13 Derivat 11 Derivative 11 Option trading 8 Optionsgeschäft 8 Heston model 6 Jacobi process 5 Portfolio selection 5 Portfolio-Management 5 Stochastic volatility 5 stochastic volatility 5 Estimation theory 4 Ornstein-Uhlenbeck process 4 Schätztheorie 4 Statistical distribution 4 Statistische Verteilung 4 stochastic correlation process 4 Analysis of variance 3 CAPM 3 Credit risk 3 Kreditrisiko 3 Risk premium 3 Stochastic Correlation 3 Theorie 3 Theory 3 Varianzanalyse 3 Wishart process 3 ARCH model 2 ARCH-Modell 2 Barndorff-Nielsen & Shephard model 2 CDO 2
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Online availability
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Undetermined 28 Free 12 CC license 2
Type of publication
All
Article 37 Book / Working Paper 8
Type of publication (narrower categories)
All
Article in journal 26 Aufsatz in Zeitschrift 26 Working Paper 2 Arbeitspapier 1 Article 1 Graue Literatur 1 Non-commercial literature 1
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Language
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English 33 Undetermined 12
Author
All
Ehrhardt, Matthias 4 Günther, Michael 4 Teng, Long 4 Escobar, Marcos 3 Fonseca, José da 3 Grasselli, Martino 3 Wang, Xingchun 3 Branger, Nicole 2 Casarin, Roberto 2 Chen, Jianli 2 Chiarella, Carl 2 Christoffersen, Peter 2 Götz, Barbara 2 Heston, Steven 2 Ielpo, Florian 2 Jacobs, Kris 2 Li, Shenghong 2 Liu, Zhen 2 Manner, Hans 2 Muck, Matthias 2 Neykova, Daniela 2 Olivares, Pablo 2 Reznikova, Olga 2 Romo, Jacinto Marabel 2 Sartore, Domenico 2 Tronzano, Marco 2 Zagst, Rudi 2 Alvarez, Alexander 1 Baczynski, Jack 1 Brigo, Damiano 1 Claudio, Ferrarese 1 ESCOBAR, MARCOS 1 FONSECA, JOSÉ DA 1 Fonseca, José 1 GRASSELLI, MARTINO 1 Han, Ah-Reum 1 Hsiao, Chih-Ying 1 Hsiao, Chih-ying 1 IELPO, FLORIAN 1 Itkin, Andrey 1
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Institution
All
School of Economics and Management, University of Aarhus 2 Dipartimento di Economia, Università Ca' Foscari Venezia 1 Finance Discipline Group, Business School 1 Seminar für Wirtschafts- und Sozialstatistik, Wirtschafts- und Sozialwissenschaftliche Fakultät 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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International journal of theoretical and applied finance 5 Journal of mathematical finance 3 Applied economics letters 2 Applied mathematical finance 2 CREATES Research Papers 2 Computational economics 2 International Journal of Financial Studies : open access journal 2 International Journal of Theoretical and Applied Finance (IJTAF) 2 Annals of Finance 1 Asia-Pacific Financial Markets 1 Asia-Pacific Journal of Operational Research (APJOR) 1 CORE discussion papers : DP 1 Discussion Papers in Econometrics and Statistics 1 Discussion Papers in Statistics and Econometrics 1 Economic Modelling 1 Economic modelling 1 European journal of operational research : EJOR 1 International Journal of Financial Markets and Derivatives 1 International Journal of Financial Studies 1 Journal of Banking & Finance 1 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 1 Journal of economic dynamics & control 1 Journal of empirical finance 1 Journal of management science and engineering 1 MPRA Paper 1 Management Science 1 Research Paper Series / Finance Discipline Group, Business School 1 Review of Derivatives Research 1 Review of derivatives research 1 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 1 The North American journal of economics and finance : a journal of financial economics studies 1 The North American journal of economics and finance : a journal of theory and practice 1 Working Papers / Dipartimento di Economia, Università Ca' Foscari Venezia 1
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Source
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ECONIS (ZBW) 27 RePEc 16 EconStor 2
Showing 1 - 10 of 45
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Orthogonal polynomial expansions for the valuation of options under the stochastic volatility models with stochastic correlation
Tong, Kevin Z. - In: Journal of management science and engineering 9 (2024) 2, pp. 239-253
stochastic correlation. Our method is based on the observation that the generalized models belong to the class of polynomial … and Schöbel-Zhu models with stochastic correlation as two specific examples and are able to derive the analytical formulas …
Persistent link: https://www.econbiz.de/10014632198
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A stochastically correlated bivariate square-root model
Silva, Allan Jonathan da; Baczynski, Jack; Vicente, … - In: International Journal of Financial Studies : open … 12 (2024) 2, pp. 1-24
We introduce a novel stochastically correlated two-factor (i.e., bivariate) diffusion process under the square-root format, for which we analytically obtain the corresponding solutions for the conditional moment-generating functions and conditional characteristic functions. Such solutions...
Persistent link: https://www.econbiz.de/10014636327
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Pricing exchange options under stochastic correlation
Villamor, Enrique; Olivares, Pablo - In: The North American journal of economics and finance : a … 73 (2024), pp. 1-17
Persistent link: https://www.econbiz.de/10014580764
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Fuzzy portfolio selection using stochastic correlation
Jo, Gumsong; Kim, Hyokil; Kim, Hoyong; Ri, Gyongho - In: Computational economics 63 (2024) 4, pp. 1493-1509
Persistent link: https://www.econbiz.de/10014549109
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Pricing options on the maximum of two average prices under stochastic volatility models
Wang, Xingchun - In: Applied economics letters 29 (2022) 10, pp. 887-894
Persistent link: https://www.econbiz.de/10013411818
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Exchange options and spread options with stochastically correlated underlyings
Wang, Xingchun - In: Applied economics letters 29 (2022) 12, pp. 1060-1068
Persistent link: https://www.econbiz.de/10013412038
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Numerical simulation of the Heston Model under stochastic correlation
Teng, Long; Ehrhardt, Matthias; Günther, Michael - In: International Journal of Financial Studies 6 (2018) 1, pp. 1-16
Stochastic correlation models have become increasingly important in financial markets. In order to be able to price …
Persistent link: https://www.econbiz.de/10011996069
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Numerical simulation of the Heston Model under stochastic correlation
Teng, Long; Ehrhardt, Matthias; Günther, Michael - In: International Journal of Financial Studies : open … 6 (2018) 1, pp. 1-16
Stochastic correlation models have become increasingly important in financial markets. In order to be able to price …
Persistent link: https://www.econbiz.de/10011848190
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Valuation of options on the maximum of two prices with default risk under GARCH models
Wang, Xingchun - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10012822187
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Variance swaps with deterministic and stochastic correlations
Han, Ah-Reum; Kim, Jeong-Hoon; Kim, See-Woo - In: Computational economics 57 (2021) 4, pp. 1059-1092
Persistent link: https://www.econbiz.de/10012543256
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