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~isPartOf:"Journal of econometrics"
~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~subject:"Currency option"
~subject:"Kapitaleinkommen"
~subject:"Monte Carlo simulation"
~subject:"Nonparametric statistics"
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Option Prices with Stochastic...
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Currency option
Kapitaleinkommen
Monte Carlo simulation
Nonparametric statistics
Option pricing theory
269
Optionspreistheorie
269
Theorie
119
Theory
119
Volatility
81
Volatilität
81
Option trading
64
Optionsgeschäft
64
Stochastic process
45
Stochastischer Prozess
45
Black-Scholes model
40
Black-Scholes-Modell
40
USA
36
United States
36
Estimation
35
Schätzung
35
Derivat
33
Derivative
33
Statistical distribution
28
Statistische Verteilung
28
Hedging
27
Yield curve
23
Zinsstruktur
23
ARCH model
16
ARCH-Modell
16
Estimation theory
16
Schätztheorie
16
Interest rate derivative
15
Nichtparametrisches Verfahren
15
Zinsderivat
15
Aktienoption
13
Stock option
13
Börsenkurs
12
CAPM
12
Share price
12
Swap
12
Index futures
10
Index-Futures
10
Markov chain
10
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36
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Aït-Sahalia, Yacine
2
Bollerslev, Tim
2
Todorov, Viktor
2
Almeida, Caio
1
Babsiri, Mohamed el
1
Barone-Adesi, Giovanni
1
Bennett, Michael N.
1
Bondarenko, Oleg
1
Boogert, Alexander
1
Broadie, Mark
1
Chateauneuf, Alain
1
Chen, Qiang
1
Cheng, Ai-ru Meg
1
Choi, Seung-mook S.
1
Dalderop, Jeroen
1
Duan, Jin-Chuan
1
Duarte, Jefferson
1
Duck, Peter W.
1
Dutt, Samir K.
1
Fengler, Matthias R.
1
Forbes, Catherine Scipione
1
Fusari, Nicola
1
Gagliardini, Patrick
1
Gallant, A. Ronald
1
Gesser, Vincent
1
Ghamami, Samim
1
Gibson, Michael S.
1
Graveline, Jeremy J.
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Hin, Lin-Yee
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Härdle, Wolfgang
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Ji, Chuanshu
1
Jong, Cyriel de
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Lee, Beom S.
1
Leung, Yan
1
Ludwig, Markus
1
Luo, Junwen
1
López, José A.
1
Maneesoonthorn, Worapree
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Journal of econometrics
The journal of derivatives : the official publication of the International Association of Financial Engineers
The journal of computational finance
48
International journal of theoretical and applied finance
42
Quantitative finance
35
The journal of futures markets
30
Finance and stochastics
22
Journal of banking & finance
22
Journal of financial economics
21
Applied mathematical finance
20
Computational economics
19
European journal of operational research : EJOR
17
Journal of risk and financial management : JRFM
16
Mathematical finance : an international journal of mathematics, statistics and financial theory
16
Finance research letters
15
The North American journal of economics and finance : a journal of financial economics studies
15
Energy economics
14
Review of derivatives research
14
Journal of economic dynamics & control
13
International journal of financial engineering
12
Management science : journal of the Institute for Operations Research and the Management Sciences
12
Research paper series / Swiss Finance Institute
12
Review of quantitative finance and accounting
12
Risks : open access journal
12
Working paper series / Centre for Practical Quantitative Finance
12
Insurance / Mathematics & economics
10
Journal of empirical finance
10
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
10
SFB 649 discussion paper
10
Journal of financial and quantitative analysis : JFQA
9
Journal of financial econometrics : official journal of the Society for Financial Econometrics
9
Journal of mathematical finance
9
The European journal of finance
9
The journal of finance : the journal of the American Finance Association
9
Decisions in economics and finance : DEF ; a journal of applied mathematics
8
International review of financial analysis
8
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
8
Applied economics
7
Asia-Pacific financial markets
7
The review of financial studies
7
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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
Nonparametric state price density estimation using constrained least squares and the bootstrap
Yatchew, Adonis John
;
Härdle, Wolfgang
- In:
Journal of econometrics
133
(
2006
)
2
,
pp. 579-599
Persistent link: https://www.econbiz.de/10003359592
Saved in:
4
Nonparametric inference of discretely sampled stable Lévy processes
Zhao, Zhibiao
;
Wu, Wei Biao
- In:
Journal of econometrics
153
(
2009
)
1
,
pp. 83-92
Persistent link: https://www.econbiz.de/10003892656
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
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:
7
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:
8
Robust estimation of shape-constrained state price density surfaces
Ludwig, Markus
- In:
The journal of derivatives : the official publication …
22
(
2015
)
3
,
pp. 56-72
Persistent link: https://www.econbiz.de/10011399679
Saved in:
9
Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints
Fengler, Matthias R.
;
Hin, Lin-Yee
- In:
Journal of econometrics
184
(
2015
)
2
,
pp. 242-261
Persistent link: https://www.econbiz.de/10011339347
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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