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The evaluation of barrier option prices under stochastic volatility
Chiarella, Carl; Kang, Boda; Meyer, Gunter H. - 2010
Persistent link: https://www.econbiz.de/10008662205
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Investigating time-efficient methods to price compound options in the Heston Model
Chiarella, Carl; Griebsch, Susanne; Kang, Boda - 2013
Persistent link: https://www.econbiz.de/10009744645
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Modelling the evolution of credit spreads using the Cox process within the HUM framework : a CDS option pricing model
Chiarella, Carl; Fanelli, Viviana; Musti, Silvana - 2008
Persistent link: https://www.econbiz.de/10003857131
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The evaluation of American compound option prices under stochastic volatility using the sparse grid approach
Chiarella, Carl; Kang, Boda - 2009
Persistent link: https://www.econbiz.de/10003857524
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Modelling the evolution of credit spreads using the Cox process within the HJM framework : a CDS option pricing model
Chiarella, Carl; Fanelli, Viviana; Musti, Silvana - 2009
Persistent link: https://www.econbiz.de/10008662364
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Modelling the evolution of credit spreads using the Cox process within the HJM framework : a CDS option pricing model
Chiarella, Carl; Fanelli, Viviana; Musti, Silvana - In: European journal of operational research : EJOR 208 (2011) 2, pp. 95-108
Persistent link: https://www.econbiz.de/10008779603
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Mean variance preferences, expectations formation, and the dynamics of random asset prices
Böhm, Volker; Chiarella, Carl - In: Mathematical finance : an international journal of … 15 (2005) 1, pp. 61-97
Persistent link: https://www.econbiz.de/10002582956
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Limit distribution of evolving strategies in financial markets
Chiarella, Carl; Di Guilmi, Corrado - 2011
Persistent link: https://www.econbiz.de/10009564617
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Mean variance preferences, expectations formation, and the dynamics of random asset prices
Böhm, Volker; Chiarella, Carl - 2000
Persistent link: https://www.econbiz.de/10013385379
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Limit Distribution of Evolving Strategies in Financial Markets
Chiarella, Carl - 2012
In this paper we model a financial market composed of agents with heterogeneous beliefs who change their strategy over time. We propose two different solution methods which lead to two different types of endogenous dynamics. The first makes use of the maximum entropy approach to obtain an...
Persistent link: https://www.econbiz.de/10013098981