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Pricing Claims Under GARCH-Lev...
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Optionspreistheorie
Theorie
29
Theory
29
Option pricing theory
15
Yield curve
15
Zinsstruktur
15
USA
14
United States
14
CAPM
8
Interest rate derivative
8
Zinsderivat
8
Derivat
7
Derivative
7
Volatility
7
Volatilität
7
Estimation
5
Schätzung
5
Credit
4
Credit risk
4
Kredit
4
Kreditrisiko
4
Risikoprämie
4
Risk premium
4
ARCH model
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ARCH-Modell
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Capital structure
3
Indexation
3
Indexbindung
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Inflation expectations
3
Inflationserwartung
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Kapitalstruktur
3
Lieferkette
3
Optionsgeschäft
3
Portfolio selection
3
Portfolio-Management
3
Supply chain
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Swap
3
1998-2000
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Aktienoption
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Ritchken, Peter H.
15
Sankarasubramanian, L.
3
Duan, Jin-Chuan
2
Sun, Zhiqiang
2
Backwell, Alex
1
Boenawan, Kiekie
1
Burnetas, Apostolos N.
1
Chuang, Iyuan
1
Fan, Rong
1
Gupta, Anurag
1
Hsieh, K.C.
1
Kamrad, Bardia
1
Lin, Junze
1
McWalter, Thomas A.
1
Pennacchi, George G.
1
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Review of derivatives research
4
The journal of derivatives : the official publication of the International Association of Financial Engineers
4
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
CMBF papers
1
Federal Reserve Bank of Cleveland working paper series
1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
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ECONIS (ZBW)
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Approximating GARCH-Jump models, jump-diffusion processes, and option pricing
Duan, Jin-Chuan
;
Ritchken, Peter H.
;
Sun, Zhiqiang
- In:
Mathematical finance : an international journal of …
16
(
2006
)
1
,
pp. 21-52
Persistent link: https://www.econbiz.de/10003336780
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2
Jump starting GARCH : pricing and hedging options with jumps in returns and volatilities
Duan, Jin-Chuan
(
contributor
); …
-
2006
Persistent link: https://www.econbiz.de/10003419274
Saved in:
3
An empirical comparison of GARCH option pricing models
Hsieh, K.C.
;
Ritchken, Peter H.
- In:
Review of derivatives research
8
(
2005
)
3
,
pp. 129-150
Persistent link: https://www.econbiz.de/10003408018
Saved in:
4
On pricing and hedging in the swaption market : how many factors, really?
Fan, Rong
;
Gupta, Anurag
;
Ritchken, Peter H.
- In:
The journal of derivatives : the official publication …
15
(
2007
)
1
,
pp. 9-33
Persistent link: https://www.econbiz.de/10003611410
Saved in:
5
On pricing derivatives in the presence of auxiliary state variables
Lin, Junze
;
Ritchken, Peter H.
- In:
The journal of derivatives : the official publication …
14
(
2006
)
2
,
pp. 29-46
Persistent link: https://www.econbiz.de/10003400049
Saved in:
6
Pricing options under generalised GARCH and stochastic volatility processes
Ritchken, Peter H.
;
Trevor, Robert G.
-
1997
Persistent link: https://www.econbiz.de/10000978436
Saved in:
7
On pricing kernels and finite-state variable health Jarrow Morton models
Pennacchi, George G.
- In:
Review of derivatives research
1
(
1996
)
1
,
pp. 87-99
Persistent link: https://www.econbiz.de/10001205609
Saved in:
8
Interest rate option pricing with volatility humps
Ritchken, Peter H.
;
Chuang, Iyuan
- In:
Review of derivatives research
3
(
1999
)
3
,
pp. 237-262
Persistent link: https://www.econbiz.de/10001493259
Saved in:
9
The importance of forward rate volatility structures in pricing interest rate-sensitive claims
Ritchken, Peter H.
- In:
The journal of derivatives : the official publication …
3
(
1995
)
1
,
pp. 25-41
Persistent link: https://www.econbiz.de/10001219431
Saved in:
10
On rational jump diffusion models : an approach using potentials
Burnetas, Apostolos N.
- In:
Review of derivatives research
1
(
1997
)
4
,
pp. 325-349
Persistent link: https://www.econbiz.de/10001238756
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