Similar Search Results - EconBiz

Devisenoptionen zur Kurssicherung : Bewertung und Strategien

Linkwitz, Christoph - 1992

Persistent link: https://www.econbiz.de/10000851654

General Equilibrium Pricing of Currency and Currency Options with Variable Disasters and Recursive Utility

Du, Du - 2010

This paper proposes a preference-based general equilibrium model that explains various pricing features of currency and currency options. The central ingredients are i) a variable disaster component that is highly but imperfectly shared across countries, and ii) the separation of EIS from risk...

Persistent link: https://www.econbiz.de/10013146818

General Equilibrium Pricing of Currency and Currency Options with Variable Disasters and Recursive Utility

Du, Du - 2010

This paper proposes a preference-based general equilibrium model that explains various pricing features of currency and currency options. The central ingredients are i) a variable disaster component that is highly but imperfectly shared across countries; and ii) the separation of EIS from risk...

Persistent link: https://www.econbiz.de/10013149206

At least-squares approach for estimating the volatility implied by option premia : overcoming smiles and frowns

Kensinger, John W. - In: Research in finance 31 (2015), pp. 173-185

Persistent link: https://www.econbiz.de/10011347423

Option smiling when investors' estimates of asset volatility disagree

Lin, Chien-chih - In: Applied economics 46 (2014) 31/33, pp. 3812-3827

Persistent link: https://www.econbiz.de/10010419898

Computational finance

Stentoft, Lars - In: Journal of risk and financial management : JRFM 13 (2020) 7/145, pp. 1-4

use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use …

Persistent link: https://www.econbiz.de/10012309311

Default risk and option returns

Vasquez, Aurelio; Xiao, Xiao - In: Management science : journal of the Institute for … 70 (2024) 4, pp. 2144-2167

Persistent link: https://www.econbiz.de/10014519915

Volatility and the pricing kernel

Schreindorfer, David; Sichert, Tobias - 2022 - This draft: January 31, 2022

Persistent link: https://www.econbiz.de/10012816005

Portfolio insurance and volatility : on the robustness of the Black-Scholes option pricing model

Frey, Rüdiger; Stremme, Alexander - 1993

Persistent link: https://www.econbiz.de/10000412479

Pricing CDOs with a smile : the local correlation model

Turc, Julien; Very, Philippe - In: Frontiers in quantitative finance : volatility and …, (pp. 235-250). 2009

Persistent link: https://www.econbiz.de/10003787606

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