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The Zumbach Effect Under Rough...
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Theorie
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Option pricing theory
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Optionspreistheorie
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Volatilität
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48
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40
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English
48
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Barndorff-Nielsen, Ole E.
7
Christiansen, Charlotte
4
Shephard, Neil G.
4
Sørensen, Michael
4
Christensen, Bent Jesper
3
Stentoft, Lars
3
Ørregaard Nielsen, Morten
3
Bibby, Bo Martin
2
Hansen, Peter Reinhard
2
Levendorskij, Sergej Z.
2
Lunde, Asger
2
Løchte Jørgensen, Peter
2
Myhre Lildholt, Peter
2
Peskir, Goran
2
Shepard, Neil
2
Strunk Hansen, Charlotte
2
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
Mikkelsen, Peter
1
Nicolato, Elisa
1
Poulsen, R.
1
Prabhala, Nagpurnanand R.
1
Raahauge, Peter
1
Schmidli, Hanspeter
1
Shin Jensen, Malene
1
Skovgaard, Ib Michael
1
Sponholtz, Carina
1
Stegenborg Larsen, Kristian
1
Stelzer, Robert
1
Svenstrup, Mikkel
1
Søndergaard Rasmussen, Nicki
1
Sørensen, Helle
1
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Centre for Analytical Finance <Århus>
National Bureau of Economic Research
602
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
385
EconWPA
251
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
87
C.E.P.R. Discussion Papers
74
International Monetary Fund (IMF)
63
Institut für Schweizerisches Bankwesen <Zürich>
57
Society for Computational Economics - SCE
43
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40
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39
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37
HAL
30
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23
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23
Federal Planning Bureau, Government of Belgium
23
Agricultural and Applied Economics Association - AAEA
22
Institute for the Study of Labor (IZA)
22
School of Economics and Management, University of Aarhus
22
Department of Economics, Iowa State University
21
Econometric Society
21
Human Development Report Office, United Nations Development Programme (UNDP)
21
International Monetary Fund
21
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19
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19
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18
National Centre of Competence in Research North South <Bern>
18
Chambre de commerce et d'industrie de Paris
17
Cowles Foundation for Research in Economics, Yale University
17
Reserve Bank of Australia
17
CESifo
16
Department of Economics, University of Victoria
16
Federal Reserve Bank of St. Louis
16
Springer Fachmedien Wiesbaden
16
Tinbergen Instituut
16
Banque de France
15
Center for Economic Research <Tilburg>
15
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
15
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
48
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ECONIS (ZBW)
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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
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2
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:
3
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
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4
Pricing american options when the underlying stock price exhibits time-vaying
volatility
Stentoft, Lars
(
contributor
)
-
2002
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[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001690047
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5
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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6
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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7
Impact of jumps on returns and realised variances : econometric analysis of time-deformed Lévy processes
Barndorff-Nielsen, Ole E.
(
contributor
); …
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491746
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8
Hyperbolic processes in finance
Bibby, Bo Martin
(
contributor
); …
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2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001599143
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9
Simulated likelihood approximations for stochastic
volatility
models
Sørensen, Helle
(
contributor
)
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001563848
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10
Higher-order finite element solutions of options prices
Raahauge, Peter
(
contributor
)
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002227622
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