Narrow search
Showing 1 - 10 of 1,861
Cover Image
Der Informationsgehalt von Derivaten für die Geldpolitik: Implizite Volatilitäten und Wahrscheinlichkeiten
Neuhaus, Holger - 1995
growing use of derivative instruments on the stability of the financial markets and the effectiveness ofmonetary policy …
Persistent link: https://www.econbiz.de/10010478816
Cover Image
The information content of derivatives for monetary policy: Implied volatilities and probabilities
Neuhaus, Holger - 1995
Persistent link: https://www.econbiz.de/10010478817
Cover Image
A diffusion approximation for the riskless profit under selling of discrete time call options: Non-identically distributed jumps
Nagaev, Alexander V.; Nagaev, Sergei A.; Kunst, Robert M. - 2005
A discrete time model of financial markets is considered. It is assumed that the relative jumps of the risky security price are independent non-identically distributed random variables. In the focus of attention is the expected non-risky profit of the investor that arises when the jumps of the...
Persistent link: https://www.econbiz.de/10010293743
Cover Image
A Data-Reconstructed Fractional Volatility Model
Mendes, Rui Vilela; Oliveira, Maria J. - 2008
Based on criteria of mathematical simplicity and consistency with empirical market data, a stochastic volatility model … is constructed, the volatility process being driven by fractional noise. Price return statistics and asymptotic behavior …
Persistent link: https://www.econbiz.de/10010295279
Cover Image
Stochastic volatility with an Ornstein-Uhlenbeck process: An extension
Schöbel, Rainer; Zhu, Jianwei - 1998
In this paper, we reexamine and extend the stochastic volatility model of Stein and Stein (1991) where volatility …
Persistent link: https://www.econbiz.de/10010435470
Cover Image
Financial markets with volatility uncertainty
Vorbrink, Jörg - 2010
financial market that features volatility uncertainty. To have a mathematical consistent framework we use the notion of G … this more complex situation and consider stock price dynamics which exclude arbitrage opportunities. Due to volatility …
Persistent link: https://www.econbiz.de/10010285421
Cover Image
Modeling electricity spot prices - Combining mean-reversion, spikes and stochastic volatility
Mayer, Klaus; Schmid, Thomas; Weber, Florian - 2011
an approach to model spot prices that combines mean-reversion, spikes and stochastic volatility. Thereby we use different …
Persistent link: https://www.econbiz.de/10010305714
Cover Image
Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing
Asai, Manabu; McAleer, Michael - 2013
The paper proposes a general asymmetric multifactor Wishart stochastic volatility (AMWSV) diffusion process which …
Persistent link: https://www.econbiz.de/10010326219
Cover Image
Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility
Bos, Charles S. - 2008
When analysing the volatility related to high frequency financial data, mostly non-parametric approaches based on … stochastic volatility. Estimation of the model delivers measures of daily variation outperforming their non …
Persistent link: https://www.econbiz.de/10010326060
Cover Image
The Empirical Performance of Option Based Densities of Foreign Exchange
Keller, Joachim G.; Craig, Ben R. - 2002
vorherzusagen, oder aber nur um den Wert anderer Derivative, die sich auf den gleichen Basiswert beziehen, zu berechnen. Die in …
Persistent link: https://www.econbiz.de/10010295724