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~isPartOf:"Computational economics"
~subject:"Stochastischer Prozess"
~type_genre:"Article in journal"
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Stochastischer Prozess
Volatility
177
Volatilität
177
Theorie
99
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99
Stochastic process
80
Stock market
74
Aktienmarkt
71
Option pricing theory
63
Optionspreistheorie
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Viens, Frederi G.
5
Li, Yong
3
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Annals of finance
Computational economics
International journal of theoretical and applied finance
137
Journal of econometrics
104
Quantitative finance
90
Applied mathematical finance
63
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
55
Mathematical finance : an international journal of mathematics, statistics and financial theory
49
The journal of computational finance
49
Finance and stochastics
47
Journal of economic dynamics & control
47
Econometric reviews
44
European journal of operational research : EJOR
39
Journal of mathematical finance
39
Finance research letters
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Insurance / Mathematics & economics
35
International journal of financial engineering
35
Journal of banking & finance
35
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32
Journal of financial econometrics : official journal of the Society for Financial Econometrics
32
The journal of futures markets
31
Energy economics
30
Risks : open access journal
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Economics letters
26
The North American journal of economics and finance : a journal of financial economics studies
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Journal of risk and financial management : JRFM
24
Review of derivatives research
24
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Applied economics
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Journal of financial economics
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The European journal of finance
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Journal of financial econometrics
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Asia-Pacific financial markets
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International review of economics & finance : IREF
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Applied economics letters
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International journal of forecasting
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Decisions in economics and finance : DEF ; a journal of applied mathematics
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61
Variance swaps with deterministic and stochastic correlations
Han, Ah-Reum
;
Kim, Jeong-Hoon
;
Kim, See-Woo
- In:
Computational economics
57
(
2021
)
4
,
pp. 1059-1092
Persistent link: https://www.econbiz.de/10012543256
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62
Option pricing model biases : Bayesian and Markov Chain Monte Carlo regression analysis
Mozumder, Sharif
;
Choudhry, Taufiq
;
Dempsey, Michael
- In:
Computational economics
57
(
2021
)
4
,
pp. 1287-1305
Persistent link: https://www.econbiz.de/10012543312
Saved in:
63
An approximation scheme for option pricing under two-state continuous CAPM
Safdari-Vaighani, Ali
;
Ahmadian, Davood
;
Javid-Jahromi, Roja
- In:
Computational economics
57
(
2021
)
4
,
pp. 1373-1385
Persistent link: https://www.econbiz.de/10012543380
Saved in:
64
Volatility
analysis of financial agent-based market dynamics from stochastic contact system
Xiao, Di
;
Wang, Jun
;
Niu, Hongli
- In:
Computational economics
48
(
2016
)
4
,
pp. 607-625
Persistent link: https://www.econbiz.de/10011712544
Saved in:
65
Affine Heston model style with self-exciting jumps and long memory
Leunga, Charles Guy Njike
;
Hainaut, Donatien
- In:
Annals of finance
20
(
2024
)
1
,
pp. 1-43
Persistent link: https://www.econbiz.de/10014566365
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66
A practical Monte Carlo method for pricing equity‑linked securities with time‑dependent
volatility
and interest rate
Kim, Sangkwon
;
Lyu, Jisang
;
Lee, Wonjin
;
Park, Eunchae
; …
- In:
Computational economics
63
(
2024
)
5
,
pp. 2069-2086
Persistent link: https://www.econbiz.de/10014550869
Saved in:
67
Fractional Barndorff-Nielsen and Shephard model : applications in variance and
volatility
swaps, and hedging
Salmon, Nicholas
;
SenGupta, Indranil
- In:
Annals of finance
17
(
2021
)
4
,
pp. 529-558
Persistent link: https://www.econbiz.de/10012664151
Saved in:
68
Pricing a specific equity index annuity in a regime-switching Lévy model with jump
Wang, Yayun
- In:
Computational economics
61
(
2023
)
3
,
pp. 1115-1135
Persistent link: https://www.econbiz.de/10014252150
Saved in:
69
Delta-hedging in fractional
volatility
models
Zhao, Qi
;
Chronopoulou, Alexandra
- In:
Annals of finance
19
(
2023
)
1
,
pp. 119-140
Persistent link: https://www.econbiz.de/10014253877
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70
An analytical approximation formula for barrier option prices under the heston model
He, Xin-Jiang
;
Lin, Sha
- In:
Computational economics
60
(
2022
)
4
,
pp. 1413-1425
Persistent link: https://www.econbiz.de/10013447445
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