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~isPartOf:"Journal of econometrics"
~isPartOf:"Journal of economic dynamics & control"
~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~subject:"Currency option"
~subject:"Kapitaleinkommen"
~subject:"Monte Carlo simulation"
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Option Prices with Stochastic...
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Currency option
Kapitaleinkommen
Monte Carlo simulation
Option pricing theory
400
Optionspreistheorie
400
Theorie
160
Theory
160
Volatility
117
Volatilität
117
Option trading
102
Optionsgeschäft
102
Stochastic process
83
Stochastischer Prozess
83
Derivat
54
Derivative
54
Black-Scholes model
53
Black-Scholes-Modell
53
Hedging
42
Estimation
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USA
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United States
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Statistical distribution
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Statistische Verteilung
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Portfolio selection
28
Portfolio-Management
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Yield curve
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Zinsstruktur
28
CAPM
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ARCH model
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ARCH-Modell
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Estimation theory
20
Schätztheorie
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Interest rate derivative
17
Monte-Carlo-Simulation
17
Nichtparametrisches Verfahren
17
Nonparametric statistics
17
Zinsderivat
17
Markov chain
16
Markov-Kette
16
Stochastic volatility
16
Aktienoption
15
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34
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Bollerslev, Tim
2
Joshi, Mark S.
2
Tang, Robert
2
Almeida, Caio
1
Ankirchner, Stefan
1
Aït-Sahalia, Yacine
1
Babsiri, Mohamed el
1
Bennett, Michael N.
1
Bernales, Alejandro
1
Beveridge, Christopher
1
Boogert, Alexander
1
Boyle, Phelim P.
1
Chateauneuf, Alain
1
Chen, Louisa
1
Chen, Qiang
1
Chen, Yi-Hsuan
1
Cheng, Ai-ru Meg
1
Choi, Seung-mook S.
1
Duan, Jin-Chuan
1
Duck, Peter W.
1
Dutt, Samir K.
1
Eastman, Warren
1
Fengler, Matthias
1
Fujiwara, Hajime
1
Gallant, A. Ronald
1
García, Diego
1
Gesser, Vincent
1
Ghamami, Samim
1
Gibson, Michael S.
1
Graveline, Jeremy J.
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Härdle, Wolfgang
1
Ji, Chuanshu
1
Jong, Cyriel de
1
Joslin, Scott
1
Kennedy, Joanne E.
1
Kijima, Masaaki
1
Lee, Beom S.
1
Leung, Yan
1
Lindset, Snorre
1
Liu, Yanchu
1
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Journal of econometrics
Journal of economic dynamics & control
The journal of derivatives : the official publication of the International Association of Financial Engineers
The journal of computational finance
46
International journal of theoretical and applied finance
39
Quantitative finance
34
The journal of futures markets
26
Journal of banking & finance
20
Journal of financial economics
20
Applied mathematical finance
19
Computational economics
19
Finance and stochastics
18
Mathematical finance : an international journal of mathematics, statistics and financial theory
16
European journal of operational research : EJOR
15
Journal of risk and financial management : JRFM
15
Energy economics
14
Finance research letters
14
The North American journal of economics and finance : a journal of financial economics studies
14
Review of derivatives research
12
Working paper series / Centre for Practical Quantitative Finance
12
International journal of financial engineering
11
Management science : journal of the Institute for Operations Research and the Management Sciences
11
Risks : open access journal
11
Insurance / Mathematics & economics
10
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
10
Journal of financial and quantitative analysis : JFQA
9
Research paper series / Swiss Finance Institute
9
Review of quantitative finance and accounting
9
The European journal of finance
9
The journal of finance : the journal of the American Finance Association
9
International review of financial analysis
8
Journal of empirical finance
8
Applied economics
7
Asia-Pacific financial markets
7
Decisions in economics and finance : DEF ; a journal of applied mathematics
7
Journal of mathematical finance
7
The review of financial studies
7
Working paper
7
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
7
International journal of economics and finance
6
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ECONIS (ZBW)
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1
A Monte Carlo approach for the American put under stochastic interest rates
Lindset, Snorre
;
Lund, Arne-Christian
- In:
Journal of economic dynamics & control
31
(
2007
)
4
,
pp. 1081-1105
Persistent link: https://www.econbiz.de/10003443353
Saved in:
2
Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
Bollerslev, Tim
;
Gibson, Michael S.
;
Zhou, Hao
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 235-245
Persistent link: https://www.econbiz.de/10009242522
Saved in:
3
Minimum return guarantees with fund switching rights : an optimal stopping problem
Mahayni, Antje
;
Schoenmakers, John
- In:
Journal of economic dynamics & control
35
(
2011
)
11
,
pp. 1880-1897
Persistent link: https://www.econbiz.de/10009316471
Saved in:
4
A Gaussian approximation scheme for computation of option prices in stochastic volatility models
Cheng, Ai-ru Meg
;
Gallant, A. Ronald
;
Ji, Chuanshu
; …
- In:
Journal of econometrics
146
(
2008
)
1
,
pp. 44-58
Persistent link: https://www.econbiz.de/10003778206
Saved in:
5
Gas storage valuation using a Monte Carlo method
Boogert, Alexander
;
Jong, Cyriel de
- In:
The journal of derivatives : the official publication …
15
(
2008
)
3
,
pp. 81-98
Persistent link: https://www.econbiz.de/10003673367
Saved in:
6
Pricing of path-dependent American options by Monte Carlo simulation
Fujiwara, Hajime
;
Kijima, Masaaki
- In:
Journal of economic dynamics & control
31
(
2007
)
11
,
pp. 3478-3502
Persistent link: https://www.econbiz.de/10003569563
Saved in:
7
Efficient Monte Carlo barrier option pricing when the underlying security price follows a jump-diffusion process
Ross, Sheldon M.
;
Ghamami, Samim
- In:
The journal of derivatives : the official publication …
17
(
2009/10
)
3
,
pp. 45-52
Persistent link: https://www.econbiz.de/10003961017
Saved in:
8
Variance dynamics : joint evidence from options and high-frequency returns
Wu, Liuren
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 280-287
Persistent link: https://www.econbiz.de/10009242518
Saved in:
9
Asymptotically distribution-free tests for the volatility function of a diffusion
Chen, Qiang
;
Zheng, Xu
;
Pan, Zhiyuan
- In:
Journal of econometrics
184
(
2015
)
1
,
pp. 124-144
Persistent link: https://www.econbiz.de/10011326801
Saved in:
10
Practical policy iteration : generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
Beveridge, Christopher
;
Joshi, Mark S.
;
Tang, Robert
- In:
Journal of economic dynamics & control
37
(
2013
)
7
,
pp. 1342-1361
Persistent link: https://www.econbiz.de/10009751160
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