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Non-affine option pricing
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Subject
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Option pricing theory
24
Optionspreistheorie
24
Theorie
24
Theory
24
Volatility
19
Volatilität
19
Markov chain
6
Markov-Kette
6
Monte Carlo simulation
6
Monte-Carlo-Simulation
6
Stochastic process
6
Stochastischer Prozess
6
Time series analysis
5
Yield curve
5
Zeitreihenanalyse
5
Zinsstruktur
5
ARCH model
4
ARCH-Modell
4
Option trading
4
Optionsgeschäft
4
USA
4
United States
4
Estimation
3
Estimation theory
3
Schätztheorie
3
Schätzung
3
Aktienoption
2
Black-Scholes model
2
Black-Scholes-Modell
2
Bond market
2
Currency option
2
Devisenoption
2
Führungskräfte
2
Heteroscedasticity
2
Heteroskedastizität
2
Interest rate derivative
2
Kleinste-Quadrate-Methode
2
Least squares method
2
Managers
2
Pfund Sterling
2
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Type of publication
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Book / Working Paper
43
Type of publication (narrower categories)
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Arbeitspapier
38
Graue Literatur
38
Non-commercial literature
38
Working Paper
38
Language
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English
43
Author
All
Christiansen, Charlotte
5
Sørensen, Michael
4
Christensen, Bent Jesper
3
Stentoft, Lars
3
Barndorff-Nielsen, Ole E.
2
Hansen, Peter Reinhard
2
Lunde, Asger
2
Løchte Jørgensen, Peter
2
Mikkelsen, Peter
2
Myhre Lildholt, Peter
2
Peskir, Goran
2
Shephard, Neil G.
2
Strunk Hansen, Charlotte
2
Bibby, Bo Martin
1
Bladt, Mogens
1
Bojarčenko, Svetlana I.
1
Brandorff-Nielsen, Ole E.
1
Brunetti, Celso
1
Busch, Thomas
1
Christensen, Claus Vorm
1
Di Miscia, Orazio
1
Grasselli, M.R.
1
Hansen, Niels Richard
1
Hurd, T.R.
1
Jakubenas, Paulius
1
Kessler, Mathieu
1
Kiefer, Nicholas Maximilian
1
Levendorskij, Sergej Z.
1
Nicolato, Elisa
1
Poulsen, R.
1
Prabhala, Nagpurnanand R.
1
Raahauge, Peter
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
Uys, N.
1
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Institution
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Centre for Analytical Finance <Århus>
National Bureau of Economic Research
573
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
181
C.E.P.R. Discussion Papers
58
Institut für Schweizerisches Bankwesen <Zürich>
58
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
47
HAL
39
Sonderforschungsbereich Ökonomisches Risiko <Berlin>
39
International Monetary Fund (IMF)
38
EconWPA
31
Ekonomiska forskningsinstitutet <Stockholm>
29
Université Paris-Dauphine (Paris IX)
26
Federal Reserve Bank of St. Louis
25
Agricultural and Applied Economics Association - AAEA
23
World Bank
21
Svenska Handelshögskolan <Helsinki>
19
International Monetary Fund
18
National Centre of Competence in Research North South <Bern>
18
Society for Computational Economics - SCE
18
European Association of Agricultural Economists - EAAE
17
Reserve Bank of Australia
17
CESifo
16
Chambre de commerce et d'industrie de Paris
16
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
15
Center for Economic Research <Tilburg>
14
European University Institute / Department of Economics
14
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
13
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
13
School of Economics and Management, University of Aarhus
13
Centre for Growth and Business Cycle Research <Manchester>
12
Department of Economics and Finance, College of Business and Economics
12
Department of Economics, Oxford University
12
Federal Reserve Bank of New York
12
Inter-American Development Bank
12
Tilburg University, Center for Economic Research
12
Cowles Foundation for Research in Economics, Yale University
11
Institute of Economic Research, Kyoto University
11
Internationaler Währungsfonds / Research Department
11
London School of Economics (LSE)
11
Tinbergen Instituut
11
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Published in...
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
43
Source
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ECONIS (ZBW)
43
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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
Estimation of continuous-time interest rate models : a nonparametric approach
Di Miscia, Orazio
(
contributor
)
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002506978
Saved in:
8
Regime switching in the yield curve
Christiansen, Charlotte
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001702287
Saved in:
9
On time-reversibility and estimating functions for Markov processes
Kessler, Mathieu
(
contributor
); …
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001690055
Saved in:
10
MCMC based estimation of term structure models
Mikkelsen, Peter
(
contributor
)
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001607781
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