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~subject:"Optionspreistheorie"
~subject:"Volatility"
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Optionspreistheorie
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International journal of theoretical and applied finance
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1
Stationarity and ergodicity of univariate generalized autoregressive score processes
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, André
-
2012
Persistent link: https://www.econbiz.de/10009722625
Saved in:
2
Quantization-based Bermudan option pricing in the foreign exchange world
Fayolle, Jean-Michel
;
Lemaire, Vincent
;
Montes, Thibaut
; …
- In:
The journal of computational finance
25
(
2021
)
2
,
pp. 87-128
Persistent link: https://www.econbiz.de/10012938894
Saved in:
3
Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate
Goudenège, Ludovic
;
Molent, Andrea
;
Zanette, Antonino
- In:
Decisions in economics and finance : a journal of …
44
(
2021
)
1
,
pp. 57-72
Persistent link: https://www.econbiz.de/10012587815
Saved in:
4
Reduced basis methods for option pricing and calibration
Burkovska, Olena
-
2016
Persistent link: https://www.econbiz.de/10012545679
Saved in:
5
Complexity reduction for calibration to American options
Burkovska, Olena
;
Glau, Kathrin
;
Mahlstedt, Mirco
; …
- In:
The journal of computational finance
23
(
2019
)
1
,
pp. 25-60
Persistent link: https://www.econbiz.de/10012064981
Saved in:
6
Calibration to American options : numerical investigation of the de-Americanization method
Burkovska, O.
;
Gass, M.
;
Glau, Kathrin
;
Mahlstedt, M.
; …
- In:
Quantitative finance
18
(
2018
)
7
,
pp. 1091-1113
Persistent link: https://www.econbiz.de/10011911523
Saved in:
7
Crash Risk in Currency Returns
Chernov, Mikhail
-
2015
% (and can be as high as 40%) of total currency risk, as measured by the
entropy
of exchange rate changes, over horizons of …
Persistent link: https://www.econbiz.de/10013037072
Saved in:
8
Crash risk in currency returns
Chernov, Mikhail
;
Graveline, Jeremy
;
Zviadadze, Irina
- In:
Journal of financial and quantitative analysis : JFQA
53
(
2018
)
1
,
pp. 137-170
Persistent link: https://www.econbiz.de/10011929414
Saved in:
9
Networks of log returns and volatilities of international stock market indexes
Sandoval Junior, Leonidas
- In:
The journal of network theory in finance
3
(
2017
)
3
,
pp. 41-82
Persistent link: https://www.econbiz.de/10011879065
Saved in:
10
Current volatility as a measure of market risk
Kussy, Mikhail
- In:
International journal of risk assessment and management …
20
(
2017
)
4
,
pp. 333-349
Persistent link: https://www.econbiz.de/10011859119
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