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Árazási hiba a határidős indexpiacokon

Radnai, Márton - In: Közgazdasági szemle : a magyar Tudományos Akadémia … 49 (2002) 11, pp. 905-927

Persistent link: https://www.econbiz.de/10001715552

Why is the index smile so steep?

Schlag, Christian; Branger, Nicole - Money Macro and Finance Research Group - 2004

Persistent link: https://www.econbiz.de/10004977128

Tözsdei határidós ügyletek a deviza és hitelpiacokon : (pénzügyi futures és opciós müveletek)

Hoznek, György - In: Pénz- és tökepiaci újdonságok, (pp. 3-103). 1985

Persistent link: https://www.econbiz.de/10001308843

A bankok származékos piacokon végzett tevékenységének mikrokockázatai

Vígh-Mikle, Szabolcs - In: Bankszemle : a bankok és a pénzintézetek szakfolyóirata 41 (1997) 9/10, pp. 19-29

Persistent link: https://www.econbiz.de/10001248057

A határidős értékpapírpiac Franciaországban

Csiky, Mihály - In: Bankszemle : a bankok és a pénzintézetek szakfolyóirata 33 (1989) 8, pp. 39-45

Persistent link: https://www.econbiz.de/10001080497

Option Pricing with Discrete Rebalancing

Prigent, J.-L.; Renault, O.; Scaillet, O. - Institut de Recherche Économique et Sociale (IRES), … - 1999

We consider option pricing when dynamic portfolios are discretely rebalanced. The portfolio adjustments only occur after fixed relative variation of the stock price. The stock price follows a marked point process and the market is incomplete. We first characterize the equivalent martingale...

Persistent link: https://www.econbiz.de/10004985285

Forecasting Volatility Using A Continuous Time Model

Veiga, Maria Helena Lopes Moreira da - Departament d'Economia i Història Econòmica, … - 2003

This paper evaluates the forecasting performance of a continuous stochastic volatility model with two factors of … volatility (SV2F) and compares it to those of GARCH and ARFIMA models. The empirical results show that the volatility forecasting … ability of the SV2F model is better than that of the GARCH and ARFIMA models, especially when volatility seems to change …

Persistent link: https://www.econbiz.de/10005582598

Volatilitás-kereskedés az opciós piacon

Zsembery, Levente - In: Bankszemle : a bankok és a pénzintézetek szakfolyóirata 43 (1999) 2, pp. 30-44

Persistent link: https://www.econbiz.de/10001515104

Switching Equilibria: The Present Value Model for Stock Prices Revisited

Vázquez Pérez, Jesús; Huerta, Gutiérrez; José, María - Departamento de Economía Aplicada III (Econometría y … - 2002

Also published as DFAE-II Working Paper 2002-26 and as an article in: Journal of Economic Dynamics and Control, 2004, vol. 28, issue 11, pages 2297-2325

Persistent link: https://www.econbiz.de/10005121336