Die Arbeit hat das Ziel, die ursprünglich rein kapitalmarkttheoretisch ausgelegte Optionspreistheorie für das … den Leitlinien der Optionspreistheorie folgen.Mit einer auf die 16 führenden Pharmaunternehmen bezogenen empirischen …

into volatility persistence in stock returns. In part two, I show that the introduction of continuous trading on the WSE is … volatility on days after limit hits and positive autocorrelation in stock returns. I do not find significant advantages of this …

volatility on foreign exchange markets. Starting point is the market participant's microeconomic investment decision, which is … trading volume and volatility on foreign exchange markets. We apply various two-country-models with representative market …

rate volatility increased. Thus, it is presently crucial to understand how stochastic interest rates and correlation impact … diffusion and the stochastic interest rate is driven by the Hull-White short rate dynamics. Local volatility is constructed with … marginals. In the solution for the local volatility, the joint forward density of the stock price and interest rate is derived …