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~institution:"Centre for Analytical Finance <Århus>"
~subject:"Option pricing theory"
~subject:"Time series analysis"
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Option pricing theory
Time series analysis
Volatility
19
Volatilität
19
Theorie
7
Theory
7
Optionspreistheorie
6
Stochastic process
6
Stochastischer Prozess
6
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4
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4
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Erwartungsbildung
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Europe
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9
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8
Working Paper
8
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English
9
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Bojarčenko, Svetlana I.
1
Brandorff-Nielsen, Ole E.
1
Brunetti, Celso
1
Christensen, Bent Jesper
1
Christiansen, Charlotte
1
Hansen, Peter Reinhard
1
Levendorskij, Sergej Z.
1
Lunde, Asger
1
Myhre Lildholt, Peter
1
Nicolato, Elisa
1
Shepard, Neil
1
Shin Jensen, Malene
1
Stentoft, Lars
1
Strunk Hansen, Charlotte
1
Svenstrup, Mikkel
1
Venardos, Emmanouil
1
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Centre for Analytical Finance <Århus>
National Bureau of Economic Research
21
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
14
Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
5
Ekonomiska forskningsinstitutet <Stockholm>
5
Centre for Growth and Business Cycle Research <Manchester>
4
Chambre de commerce et d'industrie de Paris
4
Econometrisch Instituut <Rotterdam>
3
Gottfried Wilhelm Leibniz Universität Hannover
3
Svenska Handelshögskolan <Helsinki>
3
Centre of Financial Studies
2
Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
2
Christian-Albrechts-Universität zu Kiel
2
Institut for Finansiering <Frederiksberg>
2
Institute of Finance and Accounting <London>
2
Springer Fachmedien Wiesbaden
2
Université de Montréal / Département de sciences économiques
2
Aarhus Universitet / Afdeling for Nationaløkonomi
1
Banque de France / Direction des Etudes Economiques et de la Recherche
1
Berliner Wissenschafts-Verlag
1
Bundesanstalt für Geowissenschaften und Rohstoffe
1
Business Information Centre <Toronto>
1
Center for Economic Research <Tilburg>
1
Centre for Quantitative Economics & Computing
1
Danmarks Nationalbank
1
Federal Reserve Bank of Cleveland
1
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1
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1
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1
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1
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1
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1
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1
Leibniz-Institut für Agrarentwicklung in Transformationsökonomien
1
Melbourne Business School
1
Rodney L. White Center for Financial Research
1
Sonderforschungsbereich Komplexitätsreduktion in Multivariaten Datenstrukturen <Dortmund>
1
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
9
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ECONIS (ZBW)
9
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1
Time series modelling of daily log-price ranges for SF/USD and USD/GBP
Brunetti, Celso
(
contributor
); …
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001719176
Saved in:
2
Multivariate term structure models with level and heteroskedasticity effects
Christiansen, Charlotte
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001724263
Saved in:
3
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:
4
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:
5
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:
6
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
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7
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:
8
A comparison of volatility models : does anything beat a GARCH(1,1)?
Hansen, Peter Reinhard
(
contributor
); …
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001563856
Saved in:
9
New evidence on the implied-realized volatility relation
Christensen, Bent Jesper
(
contributor
); …
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001587518
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