Narrow search
Showing 1 - 10 of 13,662
Cover Image
Pricing options under generalised GARCH and stochastic volatility processes
Ritchken, Peter H.; Trevor, Robert G. - 1997
Persistent link: https://www.econbiz.de/10000978436
Cover Image
Pricing options under generalized GARCH and stochastic volatility processes
Ritchken, Peter; Trevor, Rob - In: The journal of finance : the journal of the American … 54 (1999) 1, pp. 377-402
Persistent link: https://www.econbiz.de/10001355222
Cover Image
Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps
Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013
We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...
Persistent link: https://www.econbiz.de/10010256970
Cover Image
Assessing the quality of volatility estimators via option pricing
Sanfelici, Simona; Uboldi, Adamo - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 2, pp. 103-124
Persistent link: https://www.econbiz.de/10010347332
Cover Image
The fine structure of equity-index option dynamics
Andersen, Torben; Bondarenko, Oleg; Todorov, Viktor; … - In: Journal of econometrics 187 (2015) 2, pp. 532-546
Persistent link: https://www.econbiz.de/10011499756
Cover Image
Estimating the price impact of trades in a high-frequency microstructure model with jumps
Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - In: Journal of banking & finance 61 (2015) 2, pp. 205-224
Persistent link: https://www.econbiz.de/10011585573
Cover Image
Pricing and hedging options with GARCH-stable proxy volatilities
Mozumder, Sharif; Kabir, Humayun; Dempsey, Michael - In: Applied economics 50 (2018) 56, pp. 6034-6046
Persistent link: https://www.econbiz.de/10012063384
Cover Image
Does the Hurst index matter for option prices under fractional volatility?
Funahashi, Hideharu; Kijima, Masaaki - In: Annals of finance 13 (2017) 1, pp. 55-74
Persistent link: https://www.econbiz.de/10011944961
Cover Image
Nonparametric filtering of conditional state-price densities
Dalderop, Jeroen - In: Journal of econometrics 214 (2020) 2, pp. 295-325
Persistent link: https://www.econbiz.de/10012438391