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the implementation of the spectral estimation procedures for Lévy models of finite jump activity as well as for self …

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Analyse deutscher Aktien und Optionsscheine mittels ARCH-Modellen unter besonderer Berücksichtigung von Verteilungen der robusten Statistik

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Noise trading, central bank interventions, and the informational content of foreign currency options

Pierdzioch, Christian - 2001

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Noise traders' trigger rates, FX options, and smiles

Pierdzioch, Christian - 2000

Persistent link: https://www.econbiz.de/10013261076

Noise traders' trigger rates, FX options, and smiles

Pierdzioch, Christian - 2000

A contingent claims valuation model which allows to highlight the implications of program trading in spot markets for the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts is devoloped. The curvature of the volatility strike...

Persistent link: https://www.econbiz.de/10011476532