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~isPartOf:"Journal of econometrics"
~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~isPartOf:"The journal of finance : the journal of the American Finance Association"
~subject:"Currency option"
~subject:"Kapitaleinkommen"
~subject:"Monte Carlo simulation"
~subject:"Schätzung"
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Option Prices with Stochastic...
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Currency option
Kapitaleinkommen
Monte Carlo simulation
Schätzung
Option pricing theory
324
Optionspreistheorie
324
Theorie
161
Theory
161
Volatility
97
Volatilität
97
Option trading
69
Optionsgeschäft
69
USA
59
United States
59
Stochastic process
51
Stochastischer Prozess
51
Estimation
48
Black-Scholes model
47
Black-Scholes-Modell
47
Derivat
42
Derivative
42
Hedging
30
Statistical distribution
30
Statistische Verteilung
30
Yield curve
30
Zinsstruktur
30
CAPM
23
Index futures
21
Index-Futures
21
Interest rate derivative
19
Zinsderivat
19
Aktienoption
18
Börsenkurs
18
Share price
18
Stock option
18
ARCH model
17
ARCH-Modell
17
Estimation theory
17
Schätztheorie
17
Nichtparametrisches Verfahren
15
Nonparametric statistics
15
Swap
15
Capital income
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72
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Todorov, Viktor
5
Aït-Sahalia, Yacine
3
Bollerslev, Tim
3
Rosenberg, Joshua V.
3
Andersen, Torben
2
Bakshi, Gurdip S.
2
Chen, Zhiwu
2
Engle, Robert F.
2
Fleming, Jeff
2
Gibson, Michael S.
2
Tauchen, George Eugene
2
Wang, Bin
2
Zheng, Xu
2
Almeida, Caio
1
Ammann, Manuel
1
Babsiri, Mohamed el
1
Baldovin, Fulvio
1
Barone-Adesi, Giovanni
1
Bates, David S.
1
Bennett, Michael N.
1
Benzoni, Luca
1
Bondarenko, Oleg
1
Boogert, Alexander
1
Boyer, Brian H.
1
Brenner, Menachem
1
Bühler, Wolfgang
1
Calvet, Laurent E.
1
Cao, Charles Q.
1
Caporin, Massimiliano
1
Caraglio, Michele
1
Chambers, Donald Robert
1
Chang, Charles
1
Chateauneuf, Alain
1
Chen, Qiang
1
Chen, Song Xi
1
Cheng, Ai-ru Meg
1
Cheng, Hung-Wen
1
Choi, Seung-mook S.
1
Coval, Joshua
1
Dalderop, Jeroen
1
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American Finance Association
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Journal of econometrics
The journal of derivatives : the official publication of the International Association of Financial Engineers
The journal of finance : the journal of the American Finance Association
The journal of futures markets
57
The journal of computational finance
50
International journal of theoretical and applied finance
49
Quantitative finance
39
Journal of banking & finance
33
Journal of financial economics
25
Applied mathematical finance
22
Computational economics
21
Finance research letters
20
Mathematical finance : an international journal of mathematics, statistics and financial theory
20
Finance and stochastics
19
European journal of operational research : EJOR
18
Journal of risk and financial management : JRFM
17
Review of derivatives research
17
Energy economics
16
International review of financial analysis
16
Journal of empirical finance
16
The North American journal of economics and finance : a journal of financial economics studies
16
Journal of economic dynamics & control
15
International journal of financial engineering
14
Management science : journal of the Institute for Operations Research and the Management Sciences
14
Risks : open access journal
14
Research paper series / Swiss Finance Institute
13
Review of quantitative finance and accounting
13
The European journal of finance
13
Insurance / Mathematics & economics
12
Working paper / National Bureau of Economic Research, Inc.
12
Working paper series / Centre for Practical Quantitative Finance
12
Applied economics
11
International review of economics & finance : IREF
11
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of financial and quantitative analysis : JFQA
11
Working paper
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Applied financial economics
10
Decisions in economics and finance : DEF ; a journal of applied mathematics
10
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
10
The review of financial studies
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1
On implied volatility for options : some reasons to smile and more to correct
Chen, Song Xi
;
Xu, Zheng
- In:
Journal of econometrics
179
(
2014
)
1
,
pp. 1-15
Persistent link: https://www.econbiz.de/10010258291
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
Forward versus spot interest rate models of the term structure
Moraleda Novo, Juan Manuel
;
Pelsser, Antoon André Jean
- In:
The journal of derivatives : the official publication …
7
(
2000
)
3
,
pp. 9-21
Persistent link: https://www.econbiz.de/10001497753
Saved in:
4
Derivative pricing 60 years before black-scholes : evidence from the Johannesburg Stock Exchange
Moore, Lyndon
;
Juh, Steve
- In:
The journal of finance : the journal of the American …
61
(
2006
)
6
,
pp. 3069-3098
Persistent link: https://www.econbiz.de/10003398551
Saved in:
5
An empirical investigation of continuous-time equity return models
Andersen, Torben
;
Benzoni, Luca
;
Lund, Jesper
- In:
The journal of finance : the journal of the American …
57
(
2002
)
3
,
pp. 1239-1284
Persistent link: https://www.econbiz.de/10001684993
Saved in:
6
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:
7
Pricing and hedging mandatory convertible bonds
Ammann, Manuel
;
Seiz, Ralf
- In:
The journal of derivatives : the official publication …
13
(
2006
)
3
,
pp. 30-46
Persistent link: https://www.econbiz.de/10003321080
Saved in:
8
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:
9
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:
10
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
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