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Volatilität
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1
Leverage effect, volatility feedback, and self-exciting market disruptions
Carr, Peter
;
Wu, Liuren
- In:
Journal of financial and quantitative analysis : JFQA
52
(
2017
)
5
,
pp. 2119-2156
Persistent link: https://www.econbiz.de/10011928991
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2
Volatility co-movements : a time-scale decomposition analysis
Cipollini, Andrea
;
Lo Cascio, Iolanda
;
Muzzioli, Silvia
- In:
Journal of empirical finance
34
(
2015
),
pp. 34-44
Persistent link: https://www.econbiz.de/10011556988
Saved in:
3
Stock price default boundary : a Black-Cox model approach
Shi, Yunkun
;
Stasinakis, Charalampos
;
Xu, Yaofei
;
Yan, Cheng
- In:
International review of financial analysis
83
(
2022
),
pp. 1-11
Persistent link: https://www.econbiz.de/10013455157
Saved in:
4
Market co-movement between credit default swap curves and option volatility surfaces
Shi, Yukun
;
Stasinakis, Charalampos
;
Xu, Yaofei
;
Yan, Cheng
- In:
International review of financial analysis
82
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013426474
Saved in:
5
Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models
Marie, Nicolas
- In:
Finance and stochastics
27
(
2023
)
1
,
pp. 97-126
Persistent link: https://www.econbiz.de/10013489500
Saved in:
6
Generalized volatility-stabilized processes
Picková, Radka
- In:
Annals of finance
10
(
2014
)
1
,
pp. 101-125
Persistent link: https://www.econbiz.de/10010244577
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7
Multifractional stochastic volatility models
Corlay, Sylvain
;
Lebovits, Joachim
;
Lévy Véhel, Jacques
- In:
Mathematical finance : an international journal of …
24
(
2014
)
2
,
pp. 364-402
Persistent link: https://www.econbiz.de/10010357370
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8
A new S.D.E. and instantaneous mean reversion rate formula (presented via a numerical empirical model comparison)
Rabinovitz, Yedidya
- In:
International journal of financial engineering
4
(
2017
)
2/3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011778269
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9
Approximate option pricing and hedging in the CEV model via path-wise comparison of stochastic processes
Krasin, Vladislav Y.
;
Smirnov, Ivan
;
Melʹnikov, …
- In:
Annals of finance
14
(
2018
)
2
,
pp. 195-209
Persistent link: https://www.econbiz.de/10011945591
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10
Increasing risk : dynamic mean-preserving spreads
Arcand, Jean-Louis L.
;
Hongler, Max-Olivier
;
Rinaldo, …
- In:
Journal of mathematical economics
86
(
2020
),
pp. 69-82
Persistent link: https://www.econbiz.de/10012660651
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