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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:"Zinsderivat"
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Option Prices with Stochastic...
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Currency option
Kapitaleinkommen
Monte Carlo simulation
Zinsderivat
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
Nonparametric statistics
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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Chen, Son-nan
3
Wu, Ting-pin
3
Bollerslev, Tim
2
Wei, Jason
2
Almeida, Caio
1
Aït-Sahalia, Yacine
1
Babsiri, Mohamed el
1
Beliaeva, Natalia A.
1
Ben-Ameur, Hatem
1
Bennett, Michael N.
1
Boogert, Alexander
1
Chang, Jui-jane
1
Chateauneuf, Alain
1
Chen, Qiang
1
Chen, Ren-Raw
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
Gouriéroux, Christian
1
Graveline, Jeremy J.
1
Jensen, Malene Shin
1
Ji, Chuanshu
1
Jong, Cyriel de
1
Joslin, Scott
1
Karoui, Lotfi
1
Kennedy, Joanne E.
1
Kijima, Masaaki
1
Komoribayashi, Katsuya
1
Lee, Beom S.
1
Leung, Yan
1
López, José A.
1
Marcozzi, Michael D.
1
Mnif, Walid
1
Monfort, Alain
1
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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
61
International journal of theoretical and applied finance
55
Quantitative finance
39
The journal of futures markets
31
Applied mathematical finance
28
Finance and stochastics
26
Journal of banking & finance
26
Mathematical finance : an international journal of mathematics, statistics and financial theory
22
Review of derivatives research
22
Journal of financial economics
21
Computational economics
20
International journal of financial engineering
20
European journal of operational research : EJOR
19
Finance research letters
16
Journal of risk and financial management : JRFM
16
Risks : open access journal
15
The North American journal of economics and finance : a journal of financial economics studies
15
Energy economics
14
Journal of economic dynamics & control
14
Working paper series / Centre for Practical Quantitative Finance
14
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
13
The journal of finance : the journal of the American Finance Association
13
Journal of financial and quantitative analysis : JFQA
11
Journal of mathematical finance
11
Management science : journal of the Institute for Operations Research and the Management Sciences
11
The European journal of finance
11
Applied economics
10
Insurance / Mathematics & economics
10
Research paper series / Swiss Finance Institute
10
Review of quantitative finance and accounting
10
The review of financial studies
10
Working paper
9
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
9
International review of financial analysis
8
Journal of empirical finance
8
Asia-Pacific financial markets
7
Decisions in economics and finance : DEF ; a journal of applied mathematics
7
Global finance journal
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
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:
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
Pricing American interest rate options under the jump-extended Vasicek model
Beliaeva, Natalia A.
;
Nawalkha, Sanjay K.
;
Soto, Gloria M.
- In:
The journal of derivatives : the official publication …
16
(
2008/09
)
1
,
pp. 29-43
Persistent link: https://www.econbiz.de/10003771447
Saved in:
5
Valuation of interest rate spread options in a multifactor LIBOR market model
Wu, Ting-pin
;
Chen, Son-nan
- In:
The journal of derivatives : the official publication …
16
(
2008/09
)
3
,
pp. 38-52
Persistent link: https://www.econbiz.de/10003852622
Saved in:
6
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:
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
Pricing interest-rate derivatives with piecewise multilinear interpolations and transition parameters
Ben-Ameur, Hatem
;
Karoui, Lotfi
;
Mnif, Walid
- In:
The journal of derivatives : the official publication …
22
(
2014
)
2
,
pp. 82-109
Persistent link: https://www.econbiz.de/10011311415
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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