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~institution:"Centre for Analytical Finance <Århus>"
~subject:"Kointegration"
~subject:"Optionspreistheorie"
~subject:"Volatilität"
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Kointegration
Optionspreistheorie
Volatilität
Option pricing theory
24
Theorie
22
Theory
22
Volatility
19
Stochastic process
7
Stochastischer Prozess
7
Cointegration
6
Time series analysis
5
Zeitreihenanalyse
5
ARCH model
4
ARCH-Modell
4
Estimation
4
Monte Carlo simulation
4
Monte-Carlo-Simulation
4
Option trading
4
Optionsgeschäft
4
Schätzung
4
USA
4
United States
4
Statistical test
3
Statistischer Test
3
Yield curve
3
Zinsstruktur
3
Aktienoption
2
Black-Scholes model
2
Black-Scholes-Modell
2
Bond market
2
Currency option
2
Devisenoption
2
Einheitswurzeltest
2
Estimation theory
2
Führungskräfte
2
Heteroscedasticity
2
Heteroskedastizität
2
Interest rate derivative
2
Kleinste-Quadrate-Methode
2
Least squares method
2
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Type of publication
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Book / Working Paper
42
Type of publication (narrower categories)
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Arbeitspapier
37
Graue Literatur
37
Non-commercial literature
37
Working Paper
37
Language
All
English
42
Author
All
Christiansen, Charlotte
4
Christensen, Bent Jesper
3
Stentoft, Lars
3
Barndorff-Nielsen, Ole E.
2
Hansen, Peter Reinhard
2
Lunde, Asger
2
Løchte Jørgensen, Peter
2
Myhre Lildholt, Peter
2
Peskir, Goran
2
Shephard, Neil G.
2
Strunk Hansen, Charlotte
2
Sørensen, Michael
2
Ørregaard Nielsen, Morten
2
Bec, Frédérique
1
Bibby, Bo Martin
1
Bojarčenko, Svetlana I.
1
Brandorff-Nielsen, Ole E.
1
Brunetti, Celso
1
Busch, Thomas
1
Christensen, Claus Vorm
1
Engsted, Tom
1
Grasselli, M.R.
1
Hurd, T.R.
1
Jakubenas, Paulius
1
Kiefer, Nicholas Maximilian
1
Levendorskij, Sergej Z.
1
Mikkelsen, Peter
1
Nicolato, Elisa
1
Nielsen, Morten Ørregaard
1
Poulsen, R.
1
Prabhala, Nagpurnanand R.
1
Raahauge, Peter
1
Rahbek, Anders
1
Shepard, Neil
1
Shin Jensen, Malene
1
Sponholtz, Carina
1
Stegenborg Larsen, Kristian
1
Svenstrup, Mikkel
1
Søndergaard Rasmussen, Nicki
1
Sørensen, Helle
1
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Institution
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Centre for Analytical Finance <Århus>
National Bureau of Economic Research
570
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
81
Institut für Schweizerisches Bankwesen <Zürich>
57
European University Institute / Department of Economics
38
Sonderforschungsbereich Ökonomisches Risiko <Berlin>
37
Ekonomiska forskningsinstitutet <Stockholm>
24
Svenska Handelshögskolan <Helsinki>
24
World Bank
21
International Monetary Fund
18
National Centre of Competence in Research North South <Bern>
18
Chambre de commerce et d'industrie de Paris
16
Federal Reserve Bank of St. Louis
15
Center for Economic Research <Tilburg>
14
Institut für Weltwirtschaft
13
University of Canterbury / Dept. of Economics and Finance
13
Internationaler Währungsfonds / Research Department
12
Nationalekonomiska Institutionen <Lund>
12
William Davidson Institute <Ann Arbor, Mich.>
11
Centre for Growth and Business Cycle Research <Manchester>
10
Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
10
Federal Reserve Bank of New York
10
Københavns Universitet / Økonomisk Institut
10
Swiss National Centre of Competence in Research North South <Bern>
10
Econometrisch Instituut <Rotterdam>
9
Birkbeck College / Department of Economics
8
Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
8
Federal Reserve System / Board of Governors
8
Gottfried Wilhelm Leibniz Universität Hannover
8
Institute of Finance and Accounting <London>
8
Rodney L. White Center for Financial Research
8
Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
8
Verlag Dr. Kovač
8
Centre for Economic Policy Research
7
Centre for International Macroeconomics
7
Instituto Valenciano de Investigaciones Económicas
7
Nuffield College
7
Queen Mary College / Department of Economics
7
School of Finance and Business Economics <Perth, Western Australia>
7
Springer Fachmedien Wiesbaden
7
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Published in...
All
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
42
Source
All
ECONIS (ZBW)
42
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1
Option pricing in stochastic
volatility
models of the Ornstein-Uhlenbeck type
Nicolato, Elisa
(
contributor
); …
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001663272
Saved in:
2
Pricing american options when the underlying stock price exhibits time-vaying
volatility
Stentoft, Lars
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001690047
Saved in:
3
Power and bipower variation with stocjastic
volatility
and jumps
Brandorff-Nielsen, Ole E.
(
contributor
); …
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001763251
Saved in:
4
Efficient control variates and strategies for Bermudean swaptions in a Libor market model
Shin Jensen, Malene
(
contributor
); …
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001748910
Saved in:
5
Barrier options and touch-and-out options under regular Lévy processes of exponential type
Bojarčenko, Svetlana I.
(
contributor
); …
-
2000
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001543244
Saved in:
6
New evidence on the implied-realized
volatility
relation
Christensen, Bent Jesper
(
contributor
); …
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001587518
Saved in:
7
Semiparametric analysis of stationary fractional
cointegration
and the implied-realized
volatility
relation in high-frequency options data
Christensen, Bent Jesper
(
contributor
); …
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001599144
Saved in:
8
Higher-order finite element solutions of options prices
Raahauge, Peter
(
contributor
)
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002227622
Saved in:
9
On Asian options of American type
Peskir, Goran
(
contributor
);
Uys, N.
(
contributor
)
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002167504
Saved in:
10
Testing the martingale restriction for option implied densities
Busch, Thomas
(
contributor
)
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491622
Saved in:
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