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Kombinierte Aktien-, Optionsstrategien im ein- und mehrperiodigen Fall : eine theoetische und empirische Untersuchung
Adam, Michael; Adam, Michael E. H. - 2001
Persistent link: https://www.econbiz.de/10001629302
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Tools for computational finance
Seydel, Rüdiger - 2004 - 2. ed.
Persistent link: https://www.econbiz.de/10001786474
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Tools for computational finance
Seydel, Rüdiger - 2017 - Sixth edition
Persistent link: https://www.econbiz.de/10011665746
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Common factors governing VDAX movements and the maximum loss
Härdle, Wolfgang; Schmidt, Peter - 2000
Based on daily VDAX data this paper analyzes the factors governing the movements of implied volatilities of options on the German stock index DAX. Using Principal Components Analysis over the sample period from 1996 to 1997, we derive common factors representing "shift" and "curvature" of the...
Persistent link: https://www.econbiz.de/10009612026
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Common factors governing VDAX movements and the maximum loss
Härdle, Wolfgang; Schmidt, Peter - 2000
Persistent link: https://www.econbiz.de/10001555314
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Dynamics of foreign exchange implied volatility and implied correlation surfaces
Beer, Simone; Fink, Holger Maria - In: Quantitative finance 19 (2019) 8, pp. 1293-1320
Persistent link: https://www.econbiz.de/10012194789
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Market risk modeling with option-implied covariances and score-driven dynamics
Herrera, Rodrigo; Piña, Marco - In: The North American journal of economics and finance : a … 72 (2024), pp. 1-27
Persistent link: https://www.econbiz.de/10014534822
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Asymmetric dependence patterns in financial returns : an empirical investigation using local Gaussian correlation
Støve, Bård; Tjostheim, Dag - In: Essays in nonlinear time series econometrics, (pp. 307-329). 2014
Persistent link: https://www.econbiz.de/10010385834
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Can trading volume explain option prices?
Nagel, Hartmut; Schöbel, Rainer - 1998
Persistent link: https://www.econbiz.de/10000660587
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Optionsbewertung unter Lévy-Prozessen : eine Analyse für den deutschen Aktienindex
Rathgeber, Andreas - In: Kredit und Kapital 40 (2007) 3, pp. 451-484
Persistent link: https://www.econbiz.de/10003564452