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~institution:"Centre for Analytical Finance <Århus>"
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Option pricing theory
24
Optionspreistheorie
24
Theorie
24
Theory
24
Volatility
19
Volatilität
19
Monte Carlo simulation
12
Monte-Carlo-Simulation
12
Estimation theory
6
Schätztheorie
6
Stochastic process
6
Stochastischer Prozess
6
Time series analysis
5
Zeitreihenanalyse
5
ARCH model
4
ARCH-Modell
4
Estimation
4
Kleinste-Quadrate-Methode
4
Least squares method
4
Option trading
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Optionsgeschäft
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Schätzung
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USA
4
United States
4
Yield curve
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Zinsstruktur
4
Nichtparametrisches Verfahren
3
Nonparametric statistics
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
2
Interest rate derivative
2
Managers
2
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Type of publication
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Book / Working Paper
45
Type of publication (narrower categories)
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Arbeitspapier
39
Graue Literatur
39
Non-commercial literature
39
Working Paper
39
Language
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English
45
Author
All
Christensen, Bent Jesper
4
Christiansen, Charlotte
4
Stentoft, Lars
3
Søndergaard Rasmussen, Nicki
3
Sørensen, Michael
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
Hurd, T.R.
1
Jakubenas, Paulius
1
Kiefer, Nicholas Maximilian
1
Levendorskij, Sergej Z.
1
Nicolato, Elisa
1
Nielsen, Morten Ørregaard
1
Poulsen, R.
1
Poulsen, Rolf
1
Prabhala, Nagpurnanand R.
1
Raahauge, Peter
1
Schmid, Wolfgang
1
Shepard, Neil
1
Shin Jensen, Malene
1
Sponholtz, Carina
1
Stegenborg Larsen, Kristian
1
Svenstrup, Mikkel
1
Sørensen, Helle
1
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Institution
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Centre for Analytical Finance <Århus>
National Bureau of Economic Research
590
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
192
Institut für Schweizerisches Bankwesen <Zürich>
63
International Monetary Fund (IMF)
60
C.E.P.R. Discussion Papers
59
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
45
Sonderforschungsbereich Ökonomisches Risiko <Berlin>
40
International Monetary Fund
38
EconWPA
36
HAL
36
Agricultural and Applied Economics Association - AAEA
30
Ekonomiska forskningsinstitutet <Stockholm>
30
Université Paris-Dauphine (Paris IX)
29
World Bank
22
National Centre of Competence in Research North South <Bern>
21
European Association of Agricultural Economists - EAAE
20
Svenska Handelshögskolan <Helsinki>
19
CESifo
17
Nationalekonomiska Institutionen, Ekonomihögskolan
17
Reserve Bank of Australia
17
Tinbergen Instituut
17
Chambre de commerce et d'industrie de Paris
16
Federal Reserve Bank of St. Louis
16
Center for Economic Research <Tilburg>
15
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
15
Society for Computational Economics - SCE
15
University of Canterbury / Dept. of Economics and Finance
15
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
14
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
13
Economics Institute for Research (SIR), Handelshögskolan i Stockholm
13
Finance Discipline Group, Business School
13
Petroleum Economist Ltd. <London>
13
Cowles Foundation for Research in Economics, Yale University
12
Department of Economics and Finance, College of Business and Economics
12
European University Institute / Department of Economics
12
Institute for the Study of Labor (IZA)
12
Inter-American Development Bank
12
School of Economics and Management, University of Aarhus
12
Tilburg University, Center for Economic Research
12
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Published in...
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
45
Source
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ECONIS (ZBW)
45
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1
Assessing the least squares Monte-Carlo approach to American option valuation
Stentoft, Lars
(
contributor
)
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001599148
Saved in:
2
A Monte Carlo method for exponential hedging of contingent claims
Grasselli, M.R.
(
contributor
);
Hurd, T.R.
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001724279
Saved in:
3
Convergence of the least squares Monte-Carlo approach to American option valuation
Stentoft, Lars
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001690050
Saved in:
4
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:
5
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:
6
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:
7
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:
8
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:
9
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:
10
New evidence on the implied-realized
volatility
relation
Christensen, Bent Jesper
(
contributor
); …
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001587518
Saved in:
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