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~subject:"Stochastischer Prozess"
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Stochastischer Prozess
Perturbation method
13
perturbation method
13
Perturbation Method
8
Stochastic process
7
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7
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7
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5
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Allgemeines Gleichgewicht
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Optionsgeschäft
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Projection Method
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Second Order Approximation
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Solving Dynamic General Equilibrium Models
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Stochastic volatility
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commodities
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futures price
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habit model
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options on futures
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perpetual American put options
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second order approximation
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term structure of interest rates
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Andreasen, Martin Møller
1
Chen, Congcong
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Chen, Haitong
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Chen, Nan
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Dixon, Peter B.
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Fouque, Jean-Pierre
1
He, Xin-Jiang
1
Hu, Chenpei
1
Liu, Yanchu
1
Liu, Yaoxin
1
Parra-Alvarez, Juan Carlos
1
Rimmer, Maureen R.
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Saporito, Yuri F.
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Wan, Xiangwei
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Xu, Longbin
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Yang, Nian
1
Yang, Yinan
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Zabczyk, Pawel
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Journal of economic dynamics & control
2
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Economic research
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International journal of theoretical and applied finance
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Macroeconomic dynamics
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
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Developing a DSGE consumption function for a CGE model
Dixon, Peter B.
;
Rimmer, Maureen R.
-
2020
Persistent link: https://www.econbiz.de/10012429239
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2
The level effect and volatility effect of uncertainty shocks in China
Zhang, Shangfeng
;
Liu, Yaoxin
;
Chen, Haitong
;
Zhu, Chun
; …
- In:
Economic research
34
(
2021
)
1,1
,
pp. 172-193
Persistent link: https://www.econbiz.de/10013341482
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3
A comparison of numerical methods for the solution of continuous-time DSGE models
Parra-Alvarez, Juan Carlos
- In:
Macroeconomic dynamics
22
(
2018
)
6
,
pp. 1555-1583
Persistent link: https://www.econbiz.de/10011916989
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4
Approximate arbitrage-free option pricing under the SABR model
Yang, Nian
;
Chen, Nan
;
Liu, Yanchu
;
Wan, Xiangwei
- In:
Journal of economic dynamics & control
83
(
2017
),
pp. 198-214
Persistent link: https://www.econbiz.de/10011915586
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5
An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching
He, Xin-Jiang
;
Zhu, Song-Ping
- In:
Journal of economic dynamics & control
71
(
2016
),
pp. 77-85
Persistent link: https://www.econbiz.de/10011708772
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6
Efficient bond price approximations in nonlinear equilibrium-based term structure models
Andreasen, Martin Møller
;
Zabczyk, Pawel
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
19
(
2015
)
1
,
pp. 1-33
Persistent link: https://www.econbiz.de/10011311205
Saved in:
7
Multiscale stochastic volatility model for derivatives on futures
Fouque, Jean-Pierre
;
Saporito, Yuri F.
;
Zubelli, Jorge P.
- In:
International journal of theoretical and applied finance
17
(
2014
)
7
,
pp. 1-31
Persistent link: https://www.econbiz.de/10010498865
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