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How do investors' expectations drive asset prices?
Lüders, Erik; Peisl, Bernhard - 2001
Asset price processes are completely described by information processes and investors´ preferences. In this paper we … stylized facts that look at first hand like financial market anomalies may be explained by an information process with …
Persistent link: https://www.econbiz.de/10011445936
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The informed and uninformed agent's price of a contingent claim
Kohlmann, Michael; Zhou, Xun Yu - 1999
Persistent link: https://www.econbiz.de/10001387122
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Testing for jumps based on high-frequency data : a method exploiting microstructure noise
Liu, Guangying; Xiang, Jing; Cang, Yuquan - In: Quantitative finance 20 (2020) 11, pp. 1795-1809
Persistent link: https://www.econbiz.de/10012313515
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A note on Stein's overreaction puzzle
Lin, Yuehao; Lehnert, Thorsten - In: Decisions in economics and finance : a journal of … 43 (2020) 1, pp. 269-276
Persistent link: https://www.econbiz.de/10012285399
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Market expectations and option prices : techniques and applications ; with 13 tables
Mandler, Martin - 2003
Persistent link: https://www.econbiz.de/10001746869
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Stochastic volatility with an Ornstein-Uhlenbeck process : an extension
Schöbel, Rainer; Zhu, Jianwei - 1998 - Rev.
Persistent link: https://www.econbiz.de/10000676009
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Bayesian estimation of the Heston volatility model
Frühwirth-Schnatter, Sylvia; Sögner, Leopold - In: Operations research proceedings 2002 : selected papers …, (pp. 480-485). 2003
Persistent link: https://www.econbiz.de/10001752050
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Optionspreise und implizite Kursprozesse
Wallmeier, Martin - In: Finanzwirtschaft, Kapitalmarkt und Banken : Festschrift …, (pp. 331-346). 2003
Persistent link: https://www.econbiz.de/10001736363
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Stochastic implied volatility : a factor-based model
Hafner, Reinhold - 2004
volatility derivatives. In the first part, the book develops a unifying theory for the analysis of contingent claims under both …
Persistent link: https://www.econbiz.de/10002063039
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Stochastic volatility with an Ornstein-Uhlenbeck process : an extension
Schöbel, Rainer; Zhu, Jianwei - In: European finance review : the official journal of the … 3 (1999) 1, pp. 23-46
Persistent link: https://www.econbiz.de/10001653158