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~person:"Alòs, Elisa"
~person:"Chiarella, Carl"
~subject:"Estimation"
~subject:"Volatilität"
~type_genre:"Arbeitspapier"
~type_genre:"Aufsatz im Buch"
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Estimation
Volatilität
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Alòs, Elisa
Chiarella, Carl
McAleer, Michael
35
Koopman, Siem Jan
24
Clark, Todd E.
15
Mumtaz, Haroon
15
Bos, Charles S.
14
Martin, Gael M.
14
Asai, Manabu
13
Härdle, Wolfgang
13
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13
Shephard, Neil G.
13
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12
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12
Gil-Alaña, Luis A.
12
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11
Yu, Jun
11
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10
Chan, Joshua
10
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10
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10
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10
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9
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8
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8
Leon-Gonzalez, Roberto
8
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8
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8
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8
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8
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7
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7
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6
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6
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6
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6
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9
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The Oxford handbook of computational economics and finance
2
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Contemporary quantitative finance : essays in honour of Eckhard Platen
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ECONIS (ZBW)
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Forward start volatility swaps in rough volatility models
Alòs, Elisa
;
Rolloos, Frido
;
Shiraya, Kenichiro
-
2022
Persistent link: https://www.econbiz.de/10014266236
Saved in:
2
The implied volatility of forward starting options : ATM short-time level, skew and curvature
Alòs, Elisa
;
Jacquier, Antoine
;
León, Jorge A.
-
2017
Persistent link: https://www.econbiz.de/10011686975
Saved in:
3
The implied volatility of forward starting options : ATM short-time level, skew and curvature
Alòs, Elisa
;
Jacquier, Antoine
;
León, Jorge A.
-
2017
Persistent link: https://www.econbiz.de/10011778056
Saved in:
4
On Margrabe options written on stochastic volatility models
Alòs, Elisa
;
Rheinländer, Thorsten
-
2015
Persistent link: https://www.econbiz.de/10011442222
Saved in:
5
On the second derivative of the at-the-money implied volatility in stochastic volatility models
Alòs, Elisa
;
León, Jorge A.
-
2015
-
Revised: October 2015
Persistent link: https://www.econbiz.de/10011427674
Saved in:
6
A closed-form option pricing approximation formula for a fractional Heston model
Alòs, Elisa
;
Yang, Yan
-
2014
Persistent link: https://www.econbiz.de/10010425642
Saved in:
7
Particle filters for Markov switching stochastic volatility models
Yun, Bao
;
Chiarella, Carl
;
Kang, Boda
- In:
The Oxford handbook of computational economics and finance
,
(pp. 249-266)
.
2018
Persistent link: https://www.econbiz.de/10011952212
Saved in:
8
Particle Filters for Markov Switching Stochastic Volatility Models
Bao, Yun
;
Chiarella, Carl
;
Kang, Boda
- In:
The Oxford handbook of computational economics and finance
.
2018
Persistent link: https://www.econbiz.de/10013475840
Saved in:
9
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:
10
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
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