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Martingal
Lévy process
201
Stochastischer Prozess
101
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99
Option pricing theory
84
Optionspreistheorie
84
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51
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46
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23
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22
stable convergence
22
stochastic volatility
18
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17
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power variation
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14
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option pricing
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13
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10
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central limit theorem
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Woerner, Jeannette H. C.
3
Menoukeu-Pamen, Olivier
1
Momeya, Romuald
1
Mykland, Per A.
1
Ménassé, Clément
1
Papantonis, Ioannis
1
Perera, Ryle S.
1
Polimenis, Vassilis
1
Salhi, Khaled
1
Sato, Kimitoshi
1
Shen, Yang
1
Siu, Tak Kuen
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1
Zhang, Lan
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Mathematical finance
3
International journal of financial engineering
2
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1
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ECONIS (ZBW)
10
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1
Purely discontinuous Lévy processes and power variation : inference for integrated volatility and the scale parameter
Woerner, Jeannette H. C.
-
2003
Persistent link: https://www.econbiz.de/10009581651
Saved in:
2
Estimation of integrated volatility in stochastic volatility models
Woerner, Jeannette H. C.
-
2003
Persistent link: https://www.econbiz.de/10009581654
Saved in:
3
Variational sums and power variation : a unifying approach to model selection and estimation in semimartingale models
Woerner, Jeannette H. C.
-
2002
Persistent link: https://www.econbiz.de/10009581659
Saved in:
4
Between data cleaning and inference : pre-averaging and robust estimators of the efficient price
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 242-262
Persistent link: https://www.econbiz.de/10011705124
Saved in:
5
Approximate indifference pricing in exponential Lévy models
Ménassé, Clément
;
Tankov, Peter
- In:
Applied mathematical finance
23
(
2016
)
3/4
,
pp. 197-235
Persistent link: https://www.econbiz.de/10011704228
Saved in:
6
Pricing European options and risk measurement under exponential Lévy models : a practical guide
Salhi, Khaled
- In:
International journal of financial engineering
4
(
2017
)
2/3
,
pp. 1-36
Persistent link: https://www.econbiz.de/10011777826
Saved in:
7
Optimal asset allocation for a bank under risk control
Perera, Ryle S.
;
Sato, Kimitoshi
- In:
International journal of financial engineering
5
(
2018
)
3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011923030
Saved in:
8
Local risk-minimization under Markov-modulated exponential Lévy model
Menoukeu-Pamen, Olivier
;
Momeya, Romuald
- In:
International journal of theoretical and applied finance
18
(
2015
)
5
,
pp. 1-24
Persistent link: https://www.econbiz.de/10011403879
Saved in:
9
Jointly estimating jump beats
Polimenis, Vassilis
;
Papantonis, Ioannis
- In:
Journal of risk finance : the convergence of financial …
15
(
2014
)
2
,
pp. 131-148
Persistent link: https://www.econbiz.de/10010337468
Saved in:
10
Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model
Shen, Yang
;
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
53
(
2013
)
3
,
pp. 757-768
Persistent link: https://www.econbiz.de/10010227881
Saved in:
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