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person:"McAleer, Michael"
~language:"eng"
~person:"Chiarella, Carl"
~person:"Grasselli, Martino"
~subject:"Option pricing theory"
~type_genre:"Arbeitspapier"
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Option pricing theory
Volatility
203
Volatilität
200
ARCH model
75
ARCH-Modell
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Estimation
55
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55
Stochastic process
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Stochastischer Prozess
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McAleer, Michael
Chiarella, Carl
Grasselli, Martino
Härdle, Wolfgang
15
Fengler, Matthias R.
9
Alòs, Elisa
8
Christoffersen, Peter F.
8
Jacobs, Kris
7
Martin, Gael M.
6
Wijnbergen, Sweder van
6
Farkas, Walter
5
Filipović, Damir
5
Forbes, Catherine Scipione
5
Hafner, Christian M.
5
Howison, Sam
5
Kang, Boda
5
Schlag, Christian
5
Wystup, Uwe
5
Zühlsdorff, Christian
5
Christensen, Bent Jesper
4
Craig, Ben R.
4
Feunou, Bruno
4
Jiang, George J.
4
Keller, Joachim G.
4
Leippold, Markus
4
Leisen, Dietmar
4
León, Jorge A.
4
Nagaev, Sergei A.
4
Pierdzioch, Christian
4
Scaillet, Olivier
4
Schmidt, Peter
4
Sluis, Pieter J. van der
4
Andersen, Torben
3
Benzoni, Luca
3
Chourdakis, Kyriakos M.
3
Collin-Dufresne, Pierre
3
Dufresne, Daniel
3
Dumas, Bernard
3
Engle, Robert F.
3
Ewald, Christian-Oliver
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3
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
9
School of Accounting, Finance and Economics & FEMARC working paper series
1
Working paper / School of Finance and Economics, UTS: Business, University of Technology of Sydney
1
Working paper series
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ECONIS (ZBW)
12
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1
Calibration to FX triangles of the 4/2 model under the benchmark approach
Gnoatto, Alessandro
;
Grasselli, Martino
;
Platen, Eckhard
-
2021
Persistent link: https://www.econbiz.de/10013347384
Saved in:
2
Lie symmetry methods for local volatility models
Craddock, Mark
;
Grasselli, Martino
-
2016
Persistent link: https://www.econbiz.de/10011778123
Saved in:
3
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
Saved in:
4
Representation and numerical approximation of American option prices under Heston stochastic volatility dynamics
Adolfsson, Thomas
;
Chiarella, Carl
;
Ziogas, Andrew
; …
-
2013
Persistent link: https://www.econbiz.de/10009725619
Saved in:
5
Pricing interest rate derivatives in a multifactor HJM model with time dependent volatility
Beyna, Ingo
;
Chiarella, Carl
;
Kang, Boda
-
2012
Persistent link: https://www.econbiz.de/10009632002
Saved in:
6
Two stochastic volatility processes : American option pricing
Chiarella, Carl
;
Ziveyi, Jonathan
-
2011
Persistent link: https://www.econbiz.de/10009564619
Saved in:
7
The evaluation of barrier option prices under stochastic volatility
Chiarella, Carl
;
Kang, Boda
;
Meyer, Gunter H.
-
2010
Persistent link: https://www.econbiz.de/10008662205
Saved in:
8
Optimal investment strategies under stochastic volatility : estimation and applications
Chiarella, Carl
;
Hsiao, Chih-ying
-
2010
Persistent link: https://www.econbiz.de/10008663099
Saved in:
9
Pricing options by simulation using realized volatility
Allen, David E.
;
McAleer, Michael
;
Scharth, Marcel
-
2009
Persistent link: https://www.econbiz.de/10003869596
Saved in:
10
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
Saved in:
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