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~person:"Bekaert, Geert"
~person:"Kwok, Yue-Kuen"
~person:"Takahashi, Akihiko"
~subject:"USA"
~subject:"Volatilität"
~type_genre:"Article in journal"
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USA
Volatilität
Option pricing theory
64
Optionspreistheorie
64
Theorie
30
Theory
30
Volatility
25
Stochastic process
24
Stochastischer Prozess
24
Option trading
17
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17
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13
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11
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7
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7
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6
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5
Monte Carlo simulation
5
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5
Portfolio selection
5
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5
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4
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4
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4
Currency option
4
Devisenoption
4
Estimation
4
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Kapitaleinkommen
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Malliavin calculus
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Risiko
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4
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27
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Bekaert, Geert
Kwok, Yue-Kuen
Takahashi, Akihiko
Carr, Peter
24
Cui, Zhenyu
20
Zhang, Jin E.
18
Madan, Dilip B.
17
Ferson, Wayne E.
16
Wang, Xingchun
16
Fabozzi, Frank J.
15
Jacobs, Kris
15
Todorov, Viktor
15
Longstaff, Francis A.
14
Bollerslev, Tim
13
Christoffersen, Peter F.
13
Elliott, Robert J.
13
Escobar, Marcos
13
Alòs, Elisa
12
Benth, Fred Espen
12
Chavas, Jean-Paul
12
Harvey, Campbell R.
11
Heston, Steven L.
11
Jacquier, Antoine
11
Jarrow, Robert A.
11
Lee, Cheng F.
11
Lin, Shih-kuei
11
Lorig, Matthew
11
Schoutens, Wim
11
Skiadopoulos, George
11
Wu, Liuren
11
Campbell, John Y.
10
Cochrane, John H.
10
Kim, Jeong-Hoon
10
Kim, Sol
10
Lin, Yueh-neng
10
Nguyen, Duy
10
Račev, Svetlozar T.
10
Singh, Vipul Kumar
10
Wong, Hoi Ying
10
Aït-Sahalia, Yacine
9
Bakshi, Gurdip S.
9
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International journal of theoretical and applied finance
8
Applied mathematical finance
2
Asia-Pacific financial markets
2
European journal of operational research : EJOR
2
Mathematics of operations research
2
International journal of financial engineering
1
Journal of banking & finance
1
Journal of financial engineering
1
Journal of political economy
1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Operations research letters
1
The journal of computational finance
1
The journal of futures markets
1
The review of financial studies
1
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ECONIS (ZBW)
27
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1
The time variation in risk appetite and uncertainty
Bekaert, Geert
;
Engstrom, Eric
;
Xu, Nancy R.
- In:
Management science : journal of the Institute for …
68
(
2022
)
6
,
pp. 3975-4004
Persistent link: https://www.econbiz.de/10013369010
Saved in:
2
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/10014456865
Saved in:
3
Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps
Zeng, Pingping
;
Xu, Ziqing
;
Jiang, Pingping
;
Kwok, Yue-Kuen
- In:
Mathematical finance : an international journal of …
33
(
2023
)
3
,
pp. 842-890
Persistent link: https://www.econbiz.de/10014329916
Saved in:
4
Efficient recursion-quadrature algorithms for
pricing
Asian options and variance derivatives under stochastic volatility and Lévy jumps
Zhang, Weinan
;
Zeng, Pingping
;
Kwok, Yue-Kuen
- In:
Operations research letters
51
(
2023
)
6
,
pp. 687-694
Persistent link: https://www.econbiz.de/10014465892
Saved in:
5
Asset return dynamics under habits and bad environment-good environment fundamentals
Bekaert, Geert
;
Engstrom, Eric
- In:
Journal of political economy
125
(
2017
)
3
,
pp. 713-760
Persistent link: https://www.econbiz.de/10011753819
Saved in:
6
Pricing
average and spread options under local-stochastic volatility jump-diffusion models
Shiraya, Kenichiro
;
Takahashi, Akihiko
- In:
Mathematics of operations research
44
(
2019
)
1
,
pp. 303-333
Persistent link: https://www.econbiz.de/10012001122
Saved in:
7
What do asset prices have to say about risk appetite and uncertainty?
Bekaert, Geert
;
Hoerova, Marie
- In:
Journal of banking & finance
67
(
2016
),
pp. 103-118
Persistent link: https://www.econbiz.de/10011634665
Saved in:
8
Willow tree algorithms for
pricing
VIX derivatives under stochastic volatility models
Ma, Changfu
;
Xu, Wei
;
Kwok, Yue-Kuen
- In:
International journal of financial engineering
7
(
2020
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012602678
Saved in:
9
An asymptotic expansion for forward-backward SDEs : a malliavin calculus approach
Takahashi, Akihiko
;
Yamada, Toshihiro
- In:
Asia-Pacific financial markets
23
(
2016
)
4
,
pp. 337-373
Persistent link: https://www.econbiz.de/10011619975
Saved in:
10
Note on an extension of an asymptotic expansion scheme
Takahashi, Akihiko
;
Toda, Masashi
- In:
International journal of theoretical and applied finance
16
(
2013
)
5
,
pp. 1-23
Persistent link: https://www.econbiz.de/10009783991
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