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~subject:"Option pricing theory"
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Option pricing theory
Edgeworth expansion
124
Estimation theory
25
Schätztheorie
25
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19
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13
Bootstrap-Verfahren
13
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9
Statistischer Test
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Edgeworth Expansion
8
Optionspreistheorie
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maximum likelihood estimator
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Volatilität
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bootstrap
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GARCH model
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Lagrange multiplier test
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Theorie
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edgeworth expansion
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t statistic
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1
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Option pricing with state-dependent pricing kernel
Tong, Chen
;
Hansen, Peter Reinhard
;
Huang, Zhuo
- In:
The journal of futures markets
42
(
2022
)
8
,
pp. 1409-1433
Persistent link: https://www.econbiz.de/10013287978
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2
An analytical approximation of option prices via TGARCH model
Warunya Hongwiengjan
;
Dawud Thongtha
- In:
Economic research
34
(
2021
)
1,1
,
pp. 948-969
Persistent link: https://www.econbiz.de/10013348049
Saved in:
3
Analytical path-integral pricing of deterministic moving-barrier options under non-gaussian distributions
Catalão, André
;
Rosenfeld, Rogério
- In:
International journal of theoretical and applied finance
23
(
2020
)
1
,
pp. 1-52
Persistent link: https://www.econbiz.de/10012270883
Saved in:
4
Testing for jumps based on high-frequency data : a method exploiting microstructure noise
Liu, Guangying
;
Xiang, Jing
;
Cang, Yuquan
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1795-1809
Persistent link: https://www.econbiz.de/10012313515
Saved in:
5
Pricing spread options by generalized bivariate
edgeworth
expansion
Kao, Edward P.
;
Xie, Weiwei
- In:
International journal of financial engineering
4
(
2017
)
2/3
,
pp. 1-30
Persistent link: https://www.econbiz.de/10011777833
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6
Strategic asset valuation and higher stochastic moments : an adjusted black-scholes model
Milanesi, Gastón
;
Pesce, Gabriela
;
El Alabi, Emilio
- In:
Journal of contemporary management : JMC
4
(
2015
)
3
,
pp. 95-106
Persistent link: https://www.econbiz.de/10011392906
Saved in:
7
Pricing swaptions under multifactor Gaussian HJM models
Nunes, Joaõ Pedro Vidal
;
Prazeres, Pedro Miguel Silva
- In:
Mathematical finance : an international journal of …
24
(
2014
)
4
,
pp. 762-789
Persistent link: https://www.econbiz.de/10011308169
Saved in:
8
Asymptotic expansion for term structures of defaultable bonds with non-Gaussian dependent innovations
Miura, Masakazu
;
Tamaki, Kenichiro
;
Shiohama, Takayuki
- In:
Asia-Pacific financial markets
20
(
2013
)
4
,
pp. 311-344
Persistent link: https://www.econbiz.de/10010345916
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