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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 review of financial studies"
~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
319
Optionspreistheorie
319
Theorie
161
Theory
161
Volatility
92
Volatilität
92
Option trading
69
Optionsgeschäft
69
USA
65
United States
65
Stochastic process
53
Stochastischer Prozess
53
Black-Scholes model
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Derivat
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Derivative
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Hedging
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Statistical distribution
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Statistische Verteilung
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Aktienoption
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Interest rate derivative
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Stock option
18
Zinsderivat
18
CAPM
17
Estimation theory
17
Schätztheorie
17
Börsenkurs
16
Share price
16
Nichtparametrisches Verfahren
15
Nonparametric statistics
15
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14
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29
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Bollerslev, Tim
2
Vanden, Joel M.
2
Almeida, Caio
1
Aït-Sahalia, Yacine
1
Babsiri, Mohamed el
1
Baele, Lieven
1
Bakshi, Gurdip S.
1
Bennett, Michael N.
1
Boogert, Alexander
1
Broadie, Marc
1
Chambers, Donald Robert
1
Chateauneuf, Alain
1
Chen, Qiang
1
Cheng, Ai-ru Meg
1
Chernov, Mikhail
1
Choi, Seung-mook S.
1
Christoffersen, Peter F.
1
Driessen, Joost
1
Duan, Jin-Chuan
1
Duck, Peter W.
1
Dutt, Samir K.
1
Ebert, Sebastian
1
Foy, Matthew
1
Gallant, A. Ronald
1
Gesser, Vincent
1
Ghamami, Samim
1
Gibson, Michael S.
1
Graveline, Jeremy J.
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Jacobs, Kris
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Ji, Chuanshu
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Jong, Cyriel de
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Kennedy, Joanne E.
1
Lee, Beom S.
1
Leung, Yan
1
Liebner, Jeffrey
1
Londono, Juan M.
1
Lu, Qin
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Journal of econometrics
The journal of derivatives : the official publication of the International Association of Financial Engineers
The review of financial studies
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
Journal of economic dynamics & control
12
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
Working paper
7
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
7
International journal of economics and finance
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1
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:
2
Index option returns : still puzzling
Chambers, Donald Robert
;
Foy, Matthew
;
Liebner, Jeffrey
; …
- In:
The review of financial studies
27
(
2014
)
6
,
pp. 1915-1928
Persistent link: https://www.econbiz.de/10010371332
Saved in:
3
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:
4
Understanding index option returns
Broadie, Marc
;
Chernov, Mikhail
;
Johannes, Michael
- In:
The review of financial studies
22
(
2009
)
11
,
pp. 4493-4529
Persistent link: https://www.econbiz.de/10003896324
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
Option coskewness and capital asset pricing
Vanden, Joel M.
- In:
The review of financial studies
19
(
2006
)
4
,
pp. 1279-1320
Persistent link: https://www.econbiz.de/10003391759
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
Relative option prices and risk-neutral skew as predictors of index returns
Ratcliff, Ryan
- In:
The journal of derivatives : the official publication …
21
(
2013
)
2
,
pp. 89-105
Persistent link: https://www.econbiz.de/10010358117
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