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Stochastic Volatility : Option...
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Theorie
26
Theory
26
Option pricing theory
24
Optionspreistheorie
24
Volatility
19
Volatilität
19
Stochastic process
17
Stochastischer Prozess
17
Time series analysis
7
Zeitreihenanalyse
7
ARCH model
4
ARCH-Modell
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Option trading
4
Optionsgeschäft
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USA
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United States
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3
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2
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2
Bond market
2
Cointegration
2
Currency option
2
Devisenoption
2
Estimation theory
2
Führungskräfte
2
Heteroscedasticity
2
Heteroskedastizität
2
Interest rate derivative
2
Kleinste-Quadrate-Methode
2
Kointegration
2
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Book / Working Paper
48
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Arbeitspapier
40
Graue Literatur
40
Non-commercial literature
40
Working Paper
40
Language
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English
48
Author
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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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Institution
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Centre for Analytical Finance <Århus>
National Bureau of Economic Research
595
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
264
EconWPA
231
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
88
C.E.P.R. Discussion Papers
69
International Monetary Fund (IMF)
63
Institut für Schweizerisches Bankwesen <Zürich>
57
Sonderforschungsbereich Ökonomisches Risiko <Berlin>
37
Université Paris-Dauphine (Paris IX)
33
HAL
30
Institute for the Study of Labor (IZA)
24
School of Economics and Management, University of Aarhus
24
Ekonomiska forskningsinstitutet <Stockholm>
23
Agricultural and Applied Economics Association - AAEA
22
World Bank
21
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
20
International Monetary Fund
20
National Bureau of Economic Research (NBER)
19
Society for Computational Economics - SCE
19
Svenska Handelshögskolan <Helsinki>
19
National Centre of Competence in Research North South <Bern>
18
Chambre de commerce et d'industrie de Paris
17
Reserve Bank of Australia
17
Springer Fachmedien Wiesbaden
17
CESifo
16
Federal Reserve Bank of St. Louis
16
Tinbergen Instituut
16
Center for Economic Research <Tilburg>
15
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
15
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
15
Cowles Foundation for Research in Economics, Yale University
15
Department of Economics and Finance, College of Business and Economics
15
Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
15
European Association of Agricultural Economists - EAAE
14
European University Institute / Department of Economics
14
Inter-American Development Bank
13
London School of Economics (LSE)
13
Tilburg University, Center for Economic Research
13
Department of Economics, Oxford University
12
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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)
48
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1
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:
2
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:
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
Higher-order finite element solutions of options prices
Raahauge, Peter
(
contributor
)
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002227622
Saved in:
5
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:
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
Saved in:
7
New evidence on the implied-realized
volatility
relation
Christensen, Bent Jesper
(
contributor
); …
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001587518
Saved in:
8
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
Saved in:
9
Hyperbolic processes in finance
Bibby, Bo Martin
(
contributor
); …
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001599143
Saved in:
10
Simulated likelihood approximations for stochastic
volatility
models
Sørensen, Helle
(
contributor
)
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001563848
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