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Option pricing theory
Optionspreistheorie
47
Stochastic process
45
Stochastischer Prozess
45
Volatility
33
Volatilität
33
jump-diffusion model
26
Jump-diffusion model
19
Theorie
17
Theory
17
CAPM
13
Jump diffusion model
13
Option trading
13
Optionsgeschäft
13
Portfolio selection
12
Portfolio-Management
12
jump diffusion model
12
Börsenkurs
11
Share price
11
Capital income
10
Kapitaleinkommen
10
Statistische Verteilung
10
Statistical distribution
9
Black-Scholes model
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Black-Scholes-Modell
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Derivat
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Derivative
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Markov chain
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Markov-Kette
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Risk
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Schätztheorie
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Zeitreihenanalyse
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Bayes-Statistik
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Bayesian inference
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Estimation theory
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Article
42
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English
46
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Forbes, Catherine Scipione
4
Maneesoonthorn, Worapree
4
Martin, Gael M.
4
Kostrzewski, Maciej
3
Vasiljević, Nikola
3
Chen, Jun-Home
2
Fabozzi, Frank J.
2
Ku, Hyejin
2
Leippold, Markus
2
Lian, Yu-Min
2
Muroi, Yoshifumi
2
Suda, Shintaro
2
Xu, Weijun
2
Ahlip, Rehez
1
Akyildirim, Erdinc
1
Bhuruth, Muddun
1
Burnetas, Apostolos N.
1
Chakrabarty, Anindya
1
Chen, Son-nan
1
Chen, Yingzi
1
Chesney, Marc
1
Chin, Seong Tah
1
Choi, Seung-mook S.
1
Coonjobeharry, Radha Krishn
1
Dinarzehi, Khadijeh
1
Dubey, Rameshwar
1
Dumas, Bernard
1
Fadugba, Sunday Emmanuel
1
Ghysels, Eric
1
Goncu, Ahmet
1
Hainaut, Donatien
1
Hess, Markus
1
Hofmann, Karl Friedrich
1
Jennergren, Lars Peter
1
Jiang, Shan
1
Juma, Mussa
1
Jun, Doobae
1
Kwok, Yue-Kuen
1
Kyriakou, Ioannis
1
Lee, Min Cherng
1
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Central European journal of economic modelling and econometrics
3
Finance research letters
3
International journal of theoretical and applied finance
3
Working paper / Department of Econometrics and Business Statistics, Monash University
3
Applied economics letters
2
Applied mathematical finance
2
Computational economics
2
International journal of financial engineering
2
Journal of economic dynamics & control
2
Journal of mathematical finance
2
Business process management journal
1
Cogent economics & finance
1
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1
Energy economics
1
European journal of operational research : EJOR
1
Insurance / Mathematics & economics
1
Iranian economic review : journal of University of Tehran
1
Journal of banking & finance
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of econometrics
1
Journal of international money and finance
1
Journal of risk and financial management : JRFM
1
Quantitative finance
1
Quantitative finance and economics
1
Research paper series / Swiss Finance Institute
1
Review of derivatives research
1
Review of economics & finance
1
Risk management decisions and value under uncertainty
1
Swiss Finance Institute Research Paper
1
The European journal of finance
1
The journal of computational finance
1
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
1
Transportation research / E : an international journal
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ECONIS (ZBW)
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1
Price jump diffusion in Iranian housing market (Merton model and NGARCH approach)
Dinarzehi, Khadijeh
;
Shahiki Tash, Mohammad Nabi
- In:
Iranian economic review : journal of University of Tehran
26
(
2022
)
2
,
pp. 369-388
Persistent link: https://www.econbiz.de/10013365654
Saved in:
2
Valuation of chooser options with state-dependent risks
Lian, Yu-Min
;
Chen, Jun-Home
- In:
Finance research letters
52
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014471998
Saved in:
3
Pricing extreme mortality risk in the wake of the COVID-19 pandemic
Li, Han
;
Liu, Haibo
;
Tang, Qihe
;
Yuan, Zhongyi
- In:
Insurance / Mathematics & economics
108
(
2023
),
pp. 84-106
Persistent link: https://www.econbiz.de/10013534513
Saved in:
4
High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2020
-
(Revised working paper 17/18)
Persistent link: https://www.econbiz.de/10012606872
Saved in:
5
Asymptotic analysis of the mixed-exponential
jump
diffusion
model
and its financial applications
Shi, Chao
- In:
Journal of economic dynamics & control
143
(
2022
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013542969
Saved in:
6
A comparative analysis of housing prices in different cities using the Black-Scholes and Jump Diffusion models
Oh, Sebeom
;
Ku, Hyejin
;
Jun, Doobae
- In:
Finance research letters
46
(
2022
)
1
,
pp. 1-6
Persistent link: https://www.econbiz.de/10013339274
Saved in:
7
Statistical arbitrage in jump-diffusion models with compound Poisson processes
Akyildirim, Erdinc
;
Fabozzi, Frank J.
;
Goncu, Ahmet
; …
- In:
Risk management decisions and value under uncertainty
,
(pp. 1357-1371)
.
2022
Persistent link: https://www.econbiz.de/10013342121
Saved in:
8
Statistical arbitrage with mean-reverting overnight price gaps on high-frequency data of the S&P 500
Stübinger, Johannes
;
Schneider, Lucas
- In:
Journal of risk and financial management : JRFM
12
(
2019
)
2/51
,
pp. 1-19
This paper develops a fully-fledged statistical arbitrage strategy based on a mean-reverting
jump-diffusion
model
and …
Persistent link: https://www.econbiz.de/10012022240
Saved in:
9
The Bayesian methods of jump detection : the example of gas and EUA contract prices
Kostrzewski, Maciej
- In:
Central European journal of economic modelling and …
11
(
2019
)
2
,
pp. 107-131
Persistent link: https://www.econbiz.de/10012294576
Saved in:
10
Dynamic price jumps : the performance of high frequency tests and measures, and the robustness of inference
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2018
Persistent link: https://www.econbiz.de/10012583570
Saved in:
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