EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject_exact:"Heston model"
Narrow search

Narrow search

Year of publication
Subject
All
Stochastic volatility 155 Heston model 145 Stochastische Volatilität 128 Optionspreistheorie 113 Stochastischer Prozess 112 Option pricing theory 111 Stochastic process 109 Volatilität 103 Volatility 98 Theorie 46 Theory 44 Option trading 34 Optionsgeschäft 34 Monte Carlo simulation 32 Monte-Carlo-Simulation 28 Forecasting model 25 Prognoseverfahren 25 Derivat 24 Derivative 24 stochastic volatility 23 Black-Scholes model 18 Black-Scholes-Modell 18 USA 18 United States 18 ARCH model 17 ARCH-Modell 17 Bayes-Statistik 16 Bayesian inference 16 VAR model 16 VAR-Modell 16 Welt 15 World 15 Simulation 14 Capital market returns 13 Kapitalmarktrendite 13 Schätzung 13 Estimation 12 Estimation theory 12 Portfolio selection 12 Portfolio-Management 12
more ... less ...
Online availability
All
Undetermined 115 Free 113 CC license 6
Type of publication
All
Article 169 Book / Working Paper 119
Type of publication (narrower categories)
All
Article in journal 118 Aufsatz in Zeitschrift 118 Graue Literatur 65 Non-commercial literature 65 Working Paper 64 Arbeitspapier 57 Hochschulschrift 11 Aufsatz im Buch 6 Book section 6 Article 5 Collection of articles written by one author 4 Sammlung 4 Thesis 4 Aufsatzsammlung 2 Collection of articles of several authors 2 Sammelwerk 2 Systematic review 1 Übersichtsarbeit 1
more ... less ...
Language
All
English 235 Undetermined 50 German 3
Author
All
Clark, Todd E. 15 McAleer, Michael 14 Asai, Manabu 11 Huber, Florian 10 Mertens, Elmar 9 Wystup, Uwe 9 Detlefsen, Kai 8 McCracken, Michael W. 8 Carriero, Andrea 7 Marcellino, Massimiliano 7 Aastveit, Knut Are 6 Griebsch, Susanne 6 Peiris, Shelton 6 Alòs, Elisa 5 Chang, Chia-Lin 5 Chiarella, Carl 5 Janek, Agnieszka 5 Kluge, Tino 5 Chan, Jiun Hong 4 Crespo Cuaresma, Jesús 4 Cui, Zhenyu 4 Härdle, Wolfgang 4 Härdle, Wolfgang Karl 4 Jacquier, Antoine 4 Joshi, Mark S. 4 Mickel, Annalena 4 Neuenkirch, Andreas 4 Bernard, Carole 3 Breitung, Jörg 3 Chen, Jinghui 3 Doppelhofer, Gernot 3 Ehrhardt, Matthias 3 Feldkircher, Martin 3 Forde, Martin 3 Günther, Michael 3 Hafner, Christian M. 3 Kobayashi, Masahito 3 Li, Jiang-Cheng 3 Platen, Eckhard 3 Takahashi, Akihiko 3
more ... less ...
Institution
All
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 5 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 5 Department of Economics and Business, Universitat Pompeu Fabra 3 Finance Discipline Group, Business School 2 School of Economics and Management, University of Aarhus 2 Birkbeck, Department of Economics, Mathematics & Statistics 1 Department of Economics, Iowa State University 1 Frankfurt School of Finance and Management 1 Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska 1 National Bureau of Economic Research 1 Society for Computational Economics - SCE 1 Technische Universität Dresden 1 Universität Trier 1
more ... less ...
Published in...
All
International journal of theoretical and applied finance 20 The journal of futures markets 11 The journal of computational finance 8 International Journal of Theoretical and Applied Finance (IJTAF) 7 Physica A: Statistical Mechanics and its Applications 7 Quantitative finance 7 Research paper / Quantitative Finance Research Centre, University of Technology Sydney 7 Department of Economics working paper 6 Econometric Institute research papers 6 Computational economics 5 MPRA Paper 5 SFB 649 Discussion Paper 5 SFB 649 Discussion Papers 5 Applied mathematical finance 4 Discussion paper / Centre for Economic Policy Research 4 Discussion paper / Tinbergen Institute 4 European journal of operational research : EJOR 4 Finance and Stochastics 4 Review of Derivatives Research 4 BIFEC Book of Abstracts & Proceedings 3 CORE discussion papers : DP 3 Economics Working Papers / Department of Economics and Business, Universitat Pompeu Fabra 3 Federal Reserve Bank of Cleveland working paper series 3 Finance and stochastics 3 Insurance / Mathematics & economics 3 International journal of financial engineering 3 Journal of risk 3 Quantitative Finance 3 Working paper 3 Applied Mathematical Finance 2 Asia-Pacific Financial Markets 2 CESifo working papers 2 CPQF Working Paper Series 2 CREATES Research Papers 2 Decisions in economics and finance : DEF ; a journal of applied mathematics 2 Finance research letters 2 Financial Innovation 2 Financial innovation : FIN 2 Insurance: Mathematics and Economics 2 Interest rate modelling after the financial crisis 2
more ... less ...
Source
All
ECONIS (ZBW) 214 RePEc 62 EconStor 12
Showing 1 - 50 of 288
Cover Image
Optimal static hedging of variable annuities with volatility-dependent fees
Tang, Junsen - In: Risks : open access journal 12 (2024) 1, pp. 1-20
Variable annuities (VAs) and other long-term equity-linked insurance products are typically difficult to hedge in the incomplete markets. A state-dependent fee tied with market volatility for VAs is designed to contribute the risk-sharing mechanism between policyholders and insurers. Different...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014480918
Saved in:
Cover Image
Signal extraction by the extremum Monte Carlo method
Moussa, Karim - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014512213
Saved in:
Cover Image
An efficient and provable sequential quadratic programming method for American and swing option pricing
Shen, Jinye; Huang, Weizhang; Ma, Jingtang - In: European journal of operational research : EJOR 316 (2024) 1, pp. 19-35
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014566281
Saved in:
Cover Image
Parameter estimation of the Heston volatility model with jumps in the asset prices
Gruszka, Jarosław; Szwabiński, Janusz - In: Econometrics : open access journal 11 (2023) 2, pp. 1-26
The parametric estimation of stochastic differential equations (SDEs) has been the subject of intense studies already for several decades. The Heston model, for instance, is based on two coupled SDEs and is often used in financial mathematics for the dynamics of asset prices and their...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014362627
Saved in:
Cover Image
A comparison of neural networks and Bayesian MCMC for the Heston model estimation (forget statistics – machine learning is sufficient!)
Witzany, Jiří; Fičura, Milan - 2023
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014338462
Saved in:
Cover Image
Analysis of numerical integration schemes for the Heston model : a case study based on the pricing of investment certificates
Fusaro, Michelangelo; Giribone, Pier Giuseppe; Tissone, … - In: Risk management magazine 18 (2023) 2, pp. 13-26
The Heston model is one of the most used techniques for estimating the fair value and the risk measures associated with investment certificates. Typically, the pricing engine implements a significant number of projections of the underlying until maturity, it calculates the pay-off for all the...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014383148
Saved in:
Cover Image
The Generalized Gamma distribution as a useful RND under Heston's stochastic volatility model
Boukai, Benzion - In: Journal of Risk and Financial Management 15 (2022) 6, pp. 1-18
We present the Generalized Gamma (GG) distribution as a possible risk neutral distribution (RND) for modeling European options prices under Heston's stochastic volatility (SV) model. We demonstrate that under a particular reparametrization, this distribution, which is a member of the...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014332439
Saved in:
Cover Image
Time-varying dynamics of the german business cycle : a comprehensive investigation
Reif, Magnus - In: Oxford bulletin of economics and statistics 84 (2022) 1, pp. 80-102
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012818979
Saved in:
Cover Image
Optimal exercise frontier of Bermudan options by simulation methods
Xie, Dejun; Edwards, David A.; Wu, Xiaoxia - In: International journal of financial engineering 9 (2022) 3, pp. 2250013-1-2250013-20
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013367611
Saved in:
Cover Image
The Generalized Gamma distribution as a useful RND under Heston's stochastic volatility model
Boukai, Benzion - In: Journal of risk and financial management : JRFM 15 (2022) 6, pp. 1-18
We present the Generalized Gamma (GG) distribution as a possible risk neutral distribution (RND) for modeling European options prices under Heston's stochastic volatility (SV) model. We demonstrate that under a particular reparametrization, this distribution, which is a member of the...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013273577
Saved in:
Cover Image
Portfolio optimization with feedback strategies based on artificial neural networks
Kopeliovich, Yaacov; Pokojovy, Michael - In: Finance research letters 69 (2024) 2, pp. 1-8
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015191872
Saved in:
Cover Image
On bid and ask pricing of European options via direct discretization of Choquet distorted expectations
Michielon, Matteo - In: Quantitative finance 24 (2024) 12, pp. 1729-1745
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015196963
Saved in:
Cover Image
Option pricing in the Heston model with physics inspired neural networks
Hainaut, Donatien; Casas, Alex - In: Annals of finance 20 (2024) 3, pp. 353-376
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015188746
Saved in:
Cover Image
Simulation schemes for the Heston model with Poisson conditioning
Choi, Jaehyuk; Kwok, Yue-Kuen - In: European journal of operational research : EJOR 314 (2024) 1, pp. 363-376
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014456865
Saved in:
Cover Image
Addressing COVID-19 outliers in BVARs with stochastic volatility
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - In: The review of economics and statistics 106 (2024) 5, pp. 1403-1417
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015073219
Saved in:
Cover Image
The weak convergence rate of two semi-exact discretization schemes for the Heston model
Mickel, Annalena; Neuenkirch, Andreas - In: Risks 9 (2021) 1, pp. 1-38
Inspired by the article Weak Convergence Rate of a Time-Discrete Scheme for the Heston Stochastic Volatility Model, Chao Zheng, SIAM Journal on Numerical Analysis 2017, 55:3, 1243-1263, we studied the weak error of discretization schemes for the Heston model, which are based on exact simulation...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013200693
Saved in:
Cover Image
The weak convergence rate of two semi-exact discretization schemes for the Heston model
Mickel, Annalena; Neuenkirch, Andreas - In: Risks : open access journal 9 (2021) 1/23, pp. 1-38
Inspired by the article Weak Convergence Rate of a Time-Discrete Scheme for the Heston Stochastic Volatility Model, Chao Zheng, SIAM Journal on Numerical Analysis 2017, 55:3, 1243-1263, we studied the weak error of discretization schemes for the Heston model, which are based on exact simulation...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012423114
Saved in:
Cover Image
Time-varying dynamics of the German business cycle : a comprehensive investigation
Reif, Magnus - 2021
This paper provides insights into the time-varying dynamics of the German business cycle over the last five decades. To do so, I employ an open-economy time-varying parameter VAR with stochastic volatility, which I estimate by quasi-Bayesian techniques. The reduced-form analysis reveals...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012607593
Saved in:
Cover Image
Empirical Option Pricing Models
Bates, David S. - National Bureau of Economic Research - 2021
This paper is an overview of empirical options research, with primary emphasis on research into systematic stochastic volatility and jump risks relevant for pricing stock index options. The paper reviews evidence from time series analysis, option prices and option price evolution regarding those...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012794582
Saved in:
Cover Image
Accelerated American Option Pricing with deep neural networks
Anderson, David; Ulrych, Urban - 2021 - This Version: December 2021
Given the competitiveness of a market-making environment, the ability to speedily quote option prices consistent with an ever-changing market environment is essential. Thus, the smallest acceleration or improvement over traditional pricing methods is crucial to avoid arbitrage. We propose a...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012800926
Saved in:
Cover Image
On the valuation of discrete Asian options in high volatility environments
Desmettre, Sascha; Wenzel, Jörg - In: Applied mathematical finance 28 (2021) 6, pp. 508-533
In this paper, we are concerned with the Monte Carlo valuation of discretely sampled arithmetic and geometric average options in the Black-Scholes model and the stochastic volatility model of Heston in high volatility environments. To this end, we examine the limits and convergence rates of...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013411769
Saved in:
Cover Image
Inventory effects on the price dynamics of VSTOXX futures quantified via machine learning
Guterding, Daniel - In: The Journal of finance and data science : JFDS 7 (2021), pp. 126-142
The VSTOXX index tracks the expected 30-day volatility of the EURO STOXX 50 equity index. Futures on the VSTOXX index can, therefore, be used to hedge against economic uncertainty. We investigate the effect of trader inventory on the price of VSTOXX futures through a combination of stochastic...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013162887
Saved in:
Cover Image
The EWMA Heston model
Parent, Léo - In: Quantitative finance 23 (2023) 1, pp. 71-93
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013490955
Saved in:
Cover Image
Sharp L¹-approximation of the log-Heston stochastic differential equation by Euler-type methods
Mickel, Annalena; Neuenkirch, Andreas - In: The journal of computational finance 26 (2023) 4, pp. 67-100
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014342066
Saved in:
Cover Image
Implied higher order moments in the Heston model : a case study of S&P 500 index
Mehrdoust, Farshid; Noorani, Idin - In: Decisions in economics and finance : a journal of … 46 (2023) 2, pp. 477-504
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014443752
Saved in:
Cover Image
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
MacKay, Anne; Vachon, Marie-Claude; Cui, Zhenyu - In: Quantitative finance 23 (2023) 7/8, pp. 1055-1078
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014321664
Saved in:
Cover Image
Sharp L¹-approximation of the log-Heston stochastic differential equation by Euler-type methods
Mickel, Annalena; Neuenkirch, Andreas - In: The journal of computational finance : JFC 26 (2023) 4, pp. 67-100
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014486902
Saved in:
Cover Image
The market price of risk for delivery periods: Pricing swaps and options in electricity markets
Kemper, Annika; Schmeck, Maren Diane; Balci, Anna KH. - 2020
In electricity markets, futures contracts typically function as a swap since they deliver the underlying over a period of time. In this paper, we introduce a market price for the delivery periods of electricity swaps, thereby opening an arbitrage-free pricing framework for derivatives based on...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012388852
Saved in:
Cover Image
The market price of risk for delivery periods : pricing swaps and options in electricity markets
Kemper, Annika; Schmeck, Maren D.; Balci, Anna KH. - 2020
In electricity markets, futures contracts typically function as a swap since they deliver the underlying over a period of time. In this paper, we introduce a market price for the delivery periods of electricity swaps, thereby opening an arbitrage-free pricing framework for derivatives based on...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012216375
Saved in:
Cover Image
Assessing nowcast accuracy of US GDP growth in real time: the role of booms and busts
Siliverstovs, Boriss - 2019
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011990793
Saved in:
Cover Image
Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors
Clark, Todd E. - 2019
We develop uncertainty measures for point forecasts from surveys such as the Survey of Professional Forecasters, Blue Chip, or the Federal Open Market Committee's Summary of Economic Projections. At a given point of time, these surveys provide forecasts for macroeconomic variables at multiple...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013210484
Saved in:
Cover Image
Trend fundamentals and exchange rate dynamics
Huber, Florian; Kaufmann, Daniel - 2019
We estimate a multivariate unobserved components stochastic volatility model to explain the dynamics of a panel of six exchange rates against the US Dollar. The empirical model is based on the assumption that both countries' monetary policy strategies may be well described by Taylor rules with a...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012118184
Saved in:
Cover Image
An analytical approximation formula for barrier option prices under the heston model
He, Xin-Jiang; Lin, Sha - In: Computational economics 60 (2022) 4, pp. 1413-1425
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013447445
Saved in:
Cover Image
Automatic differentiation for diffusion operator integral variance reduction
Auster, Johan - In: The journal of computational finance 25 (2022) 4, pp. 27-53
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014546286
Saved in:
Cover Image
Performance measurement for option portfolios in a stochastic volatility framework
Baule, Rainer; Entrop, Oliver; Wessels, Sebastian - In: Quantitative finance 22 (2022) 3, pp. 519-539
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013167776
Saved in:
Cover Image
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 vanilla options in stochastic volatility and correlation models, in this work, we study the extension of the Heston model by imposing stochastic correlations driven by a stochastic...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011996069
Saved in:
Cover Image
Regime switching rough Heston model
Alfeus, Mesias; Overbeck, Ludger - 2018
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011778197
Saved in:
Cover Image
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 vanilla options in stochastic volatility and correlation models, in this work, we study the extension of the Heston model by imposing stochastic correlations driven by a stochastic...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011848190
Saved in:
Cover Image
Modeling time-varying uncertainty of multiple-horizon forecast errors
Clark, Todd E.; McCracken, Michael W.; Mertens, Elmar - 2018
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011878541
Saved in:
Cover Image
Risk premia in electricity derivatives markets
Algieri, Bernardina; Leccadito, Arturo; Tunaru, Diana - In: Energy economics 100 (2021), pp. 1-15
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012990257
Saved in:
Cover Image
Recent econometric techniques for macroeconomic and financial data
Dufrénot, Gilles (ed.); Matsuki, Takashi (ed.) - 2021
The book provides a comprehensive overview of the latest econometric methods for studying the dynamics of macroeconomic and financial time series. It examines alternative methodological approaches and concepts, including quantile spectra and co-spectra, and explores topics such as non-linear and...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012265811
Saved in:
Cover Image
Recent Econometric Techniques for Macroeconomic and Financial Data
Dufrénot, Gilles (ed.); Matsuki, Takashi (ed.) - 2021 - 1st ed. 2021.
Introduction (Gilles Dufrénot and Takashi Matsuki, eds) -- Part I. Macroeconometrics and international finance -- Chapter 1. Quantile and copula spectrum: a new approach to investigate cyclical dependence in economic time series (Gilles Dufrénot, Takashi Matsuki and Kimiko Sugimoto) -- Chapter...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012399943
Saved in:
Cover Image
Malliavin calculus in finance : theory and practice
Alòs, Elisa; García Lorite, David - 2021 - First edition
"Malliavin Calculus in Finance: Theory and Practice aims to introduce the study of stochastic volatility (SV) models via Malliavin Calculus. Malliavin calculus has had a profound impact on stochastic analysis. Originally motivated by the study of the existence of smooth densities of certain...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012423519
Saved in:
Cover Image
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, ebvufind01.dmz1.zbw.eu/10012543256
Saved in:
Cover Image
The CTMC–Heston model : calibration and exotic option pricing with SWIFT
Leitao, Álvaro; Kirkby, J. Lars; Ortiz-Garcia, Luis - In: The journal of computational finance 24 (2021) 4, pp. 71-114
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012544164
Saved in:
Cover Image
Change of drift in one-dimensional diffusions
Desmettre, Sascha; Leobacher, Gunther; Rogers, Leonard C. G. - In: Finance and stochastics 25 (2021) 2, pp. 359-381
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012499738
Saved in:
Cover Image
Calibration of the Heston stochastic local volatility model : a finite volume scheme
Engelmann, Bernd; Koster, Frank; Oeltz, Daniel - In: International journal of financial engineering 8 (2021) 1, pp. 1-22
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012654678
Saved in:
Cover Image
Algorithmic optimization and its application in finance
Avdiu, Kujtim - 2021
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013337406
Saved in:
Cover Image
Model risk and model choice in the case of barrier options and bonus certificates
Baule, Rainer; Shkel, David Sebastian - In: Journal of banking & finance 133 (2021), pp. 1-13
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013256692
Saved in:
Cover Image
Realized stochastic volatility models with generalized Gegenbauer long memory
Asai, Manabu; McAleer, Michael; Peiris, Shelton - 2017
In recent years fractionally differenced processes have received a great deal of attention due to their flexibility in fi nancial applications with long memory. In this paper, we develop a new realized stochastic volatility (RSV) model with general Gegenbauer long memory (GGLM), which...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011772999
Saved in:
  • 1
  • 2
  • 3
  • 4
  • 5
  • 6
  • Next
  • Last
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...