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How do investors' expectations drive asset prices?
Lüders, Erik; Peisl, Bernhard - 2001
stochastic volatility of asset prices and to give theoretical arguments for empirically well documented facts. We show that … stochastic volatility. …
Persistent link: https://www.econbiz.de/10013428399
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A mean variance king? : creation and resolution of uncertainty under the employment report's reign
Hautsch, Nikolaus - 2001
differences of opinion is left, and hence volatility is decreased. …
Persistent link: https://www.econbiz.de/10013428452
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Variance optimal cap pricing models
Laurent, Jean-Paul; Scaillet, Olivier - 1999
Persistent link: https://www.econbiz.de/10001379916
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Investor fears and risk premia for rare events
Schwarz, Claudia - 2014 - This version: January 13, 2014
from options data. In a second step, jump tail distributions are approximated using the extreme value theory. Applying the …
Persistent link: https://www.econbiz.de/10010249730
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Put-call-futures parity pricing in Australia
English, John W. - 1993 - 2. draft
Persistent link: https://www.econbiz.de/10000889533
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Some questions on the pricing of SPI futures contracts
Heaney, Richard A. - 1993
Persistent link: https://www.econbiz.de/10000889675
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The price of convenience
Cameron, T. A.; White, K. J. - 1983
Persistent link: https://www.econbiz.de/10003508672
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Option pricing with discrete rebalancing
Prigent, Jean-Luc; Renault, Olivier; Scaillet, Olivier - 1999
Persistent link: https://www.econbiz.de/10001430979
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Convergence of discrete time option pricing models under stochastic interest rates
Lesne, J. P.; Prigent, J. L.; Scaillet, O. - 1998
Persistent link: https://www.econbiz.de/10001363446
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Improving the pricing of options : a neural network approach
Anders, Ulrich; Korn, Olaf; Schmitt, Christian - 1996
In this paper we apply statistical inference techniques to build neural network models which are able to explain the prices of call options written on the German stock index DAX. By testing for the explanatory power of several input variables serving as network inputs, some insight into the...
Persistent link: https://www.econbiz.de/10011622006