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~isPartOf:"Journal of econometrics"
~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~isPartOf:"Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne"
~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
299
Optionspreistheorie
299
Theorie
131
Theory
131
Volatility
85
Volatilität
85
Option trading
71
Optionsgeschäft
71
Stochastic process
51
Stochastischer Prozess
51
Black-Scholes model
42
Black-Scholes-Modell
42
USA
40
United States
40
Derivat
35
Derivative
35
Estimation
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Schätzung
35
Statistical distribution
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Statistische Verteilung
29
Hedging
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Yield curve
27
Zinsstruktur
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Interest rate derivative
18
Zinsderivat
18
ARCH model
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ARCH-Modell
16
Estimation theory
16
Monte-Carlo-Simulation
16
Schätztheorie
16
Nichtparametrisches Verfahren
15
Nonparametric statistics
15
Swap
15
Aktienoption
13
Stock option
13
Börsenkurs
12
CAPM
12
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12
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11
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Joshi, Mark S.
7
Bollerslev, Tim
2
Almeida, Caio
1
Aït-Sahalia, Yacine
1
Babsiri, Mohamed el
1
Bennett, Michael N.
1
Beveridge, Christopher
1
Boogert, Alexander
1
Chateauneuf, Alain
1
Chen, Qiang
1
Chen, Ting
1
Cheng, Ai-ru Meg
1
Choi, Seung-mook S.
1
Duan, Jin-Chuan
1
Duck, Peter W.
1
Dutt, Samir K.
1
Gallant, A. Ronald
1
Gesser, Vincent
1
Ghamami, Samim
1
Gibson, Michael S.
1
Graveline, Jeremy J.
1
Ji, Chuanshu
1
Jong, Cyriel de
1
Joslin, Scott
1
Kennedy, Joanne E.
1
Lee, Beom S.
1
Leung, Yan
1
López, José A.
1
Marcozzi, Michael D.
1
Mostoufi, Mina
1
Navas, Javier F.
1
Newton, David P.
1
Noel, Gerald
1
Pan, Zhiyuan
1
Paolella, Marc S.
1
Pitt, David C.
1
Polak, Pawel
1
Poncet, Patrice
1
Ratcliff, Ryan
1
Reiswich, Dimitri
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Journal of econometrics
The journal of derivatives : the official publication of the International Association of Financial Engineers
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
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
The review of financial studies
7
Working paper
7
International journal of economics and finance
6
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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
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:
3
Truncation and accerleration of the Tian tree for the pricing of American put options
Chen, Ting
;
Joshi, Mark S.
-
2010
Persistent link: https://www.econbiz.de/10008806595
Saved in:
4
Monte Carlo bounds for game options including convertible bonds
Beveridge, Christopher
;
Joshi, Mark S.
-
2010
Persistent link: https://www.econbiz.de/10008806621
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
Fast sensitivity computations for Monte Carlo valuation of pension funds
Joshi, Mark S.
;
Pitt, David C.
-
2009
Persistent link: https://www.econbiz.de/10003924234
Saved in:
7
Pricing and deltas of discretely-monitored barrier options using stratified sampling on the hitting-times to the barrier
Joshi, Mark S.
;
Tang, Robert
-
2009
Persistent link: https://www.econbiz.de/10003924345
Saved in:
8
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:
9
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:
10
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
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