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~person:"Chen, Songnian"
~person:"Stentoft, Lars"
~source:"econis"
~subject:"Optionspreistheorie"
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Optionspreistheorie
ARCH model
4
ARCH-Modell
4
CAPM
4
Estimation theory
4
Option pricing theory
4
Schätztheorie
4
Closed form solutions
3
Correlation
3
GARCH models
3
Korrelation
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Pricing
3
Covariance dependent kernel
2
Maximum likelihood estimation
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Closed-form solution
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Closed-form solutions
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Correlated random effects
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Covariance-dependent pricing kernel
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Derivat
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Derivative
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Estimation
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Markov Chains
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Markov chain
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Markov-Kette
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Multi-asset derivative pricing
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Multi-asset options
1
Multivariate Analyse
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Multivariate GARCH models
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Multivariate analysis
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Nichtparametrisches Verfahren
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Non-normality
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Nonparametric statistics
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Panel data binary response model
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maximum likelihood estimation
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Chen, Songnian
Stentoft, Lars
He, Xin-Jiang
5
Escobar, Marcos
4
Rastegari, Javad
4
Chen, Wenting
2
Itkin, Andrey
2
Li, Chenxu
2
Lin, Sha
2
Alfeus, Mesias
1
Alghalith, Moawia
1
Azevedo-Pereira, José
1
Aït-Sahalia, Yacine
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Boukhetala, Kamal
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Cao, Jiling
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Carr, Peter
1
Collins, James
1
Dastranj, Elham
1
De Groot, Oliver
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Gobet, Emmanuel
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Haslip, Gareth G.
1
Hok, Julien
1
Jeon, Junkee
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Kacef, Mohamed Amine
1
Kaishev, Vladimir K.
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Kim, Geonwoo
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Kim, Jeong-Hoon
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Li, Chen Xu
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Li, Minqiang
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Li, Shaoyu
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Li, Xiaocheng
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Liang, Zhian
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Liu, Wenqiang
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Mao, Zhijuan
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Mercurio, Fabio
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Min, K. Jo
1
Orosi, Greg
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European journal of operational research : EJOR
1
International review of financial analysis
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Journal of banking & finance
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ECONIS (ZBW)
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Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing
Escobar, Marcos
;
Rastegari, Javad
;
Stentoft, Lars
-
2023
Persistent link: https://www.econbiz.de/10014281687
Saved in:
2
Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing
Escobar, Marcos
;
Rastegari, Javad
;
Stentoft, Lars
- In:
International review of financial analysis
87
(
2023
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014460484
Saved in:
3
Option pricing with conditional GARCH models
Escobar, Marcos
;
Rastegari, Javad
;
Stentoft, Lars
- In:
European journal of operational research : EJOR
289
(
2021
)
1
,
pp. 350-363
Persistent link: https://www.econbiz.de/10012416733
Saved in:
4
Affine multivariate GARCH models
Escobar, Marcos
;
Rastegari, Javad
;
Stentoft, Lars
- In:
Journal of banking & finance
118
(
2020
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012521059
Saved in:
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