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Estimating Behavioural Heterogeneity Under Regime Switching
Chiarella, Carl - 2012
Financial markets are typically characterized by high (low) price level and low (high) volatility during boom (bust …) periods, suggesting that price and volatility tend to move together with different market conditions/states. By proposing a …
Persistent link: https://www.econbiz.de/10013098977
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Heterogeneous Expectations in Asset Pricing : Empirical Evidence from the S&P 500
Chiarella, Carl - 2016
reported that the model can explain the stylized facts of financial market such as heavy tails and volatility clustering …
Persistent link: https://www.econbiz.de/10013009017
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Exchange Options under Jump-Diffusion Dynamics
Cheang, Gerald H. L.; Chiarella, Carl - 2009
Margrabe provides a pricing formula for an exchange option where the distributions of both stock prices are log-normal with correlated Wiener components. Merton has provided a formula for the price of a European call option on a single stock where the stock price process contains a continuous...
Persistent link: https://www.econbiz.de/10014210168
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The evaluation of barrier option prices under stochastic volatility
Chiarella, Carl; Kang, Boda; Meyer, Gunter H. - 2010
Persistent link: https://www.econbiz.de/10008662205
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Modelling and estimating the forward price curve in the energy market
Chiarella, Carl; Chewlow, Les; King, Boda - 2009
Persistent link: https://www.econbiz.de/10008662359
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Markovian defaultable HJM term structure models with unspanned stochastic volatility
Chiarella, Carl; Chege Maina, Samuel; Nikitopoulos, … - 2010
Persistent link: https://www.econbiz.de/10008663092
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Investigating time-efficient methods to price compound options in the Heston Model
Chiarella, Carl; Griebsch, Susanne; Kang, Boda - 2013
Persistent link: https://www.econbiz.de/10009744645
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A evolutionary CAPM under heterogeneous beliefs
Chiarella, Carl; Dieci, Roberto; He, Xue-zhong; Li, Kai - 2012
Persistent link: https://www.econbiz.de/10009626025
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Heterogeneous expectations in asset pricing : empirical evidence from the S&P500
Chiarella, Carl; He, Xue-zhong; Zwinkels, Remco C. J. - 2014
Persistent link: https://www.econbiz.de/10010349280
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The evaluation of multiple year gas sales agreement with regime switching
Chiarella, Carl; Clewlow, Les; Kang, Boda - In: International journal of theoretical and applied finance 19 (2016) 1, pp. 1-25
Persistent link: https://www.econbiz.de/10011453874