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Unobserved components with stochastic volatility in U.S. inflation : estimation and signal extraction
Li, Mengheng; Koopman, Siem Jan - 2018
We consider unobserved components time series models where the components are stochastically evolving over time and are subject to stochastic volatility. It enables the disentanglement of dynamic structures in both the mean and the variance of the observed time series. We develop a simulated...
Persistent link: https://www.econbiz.de/10011809984
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Valuation of contingent Guarantees using least-squares Monte Carlo
Bienek, T.; Scherer, Matthias - In: Astin bulletin : the journal of the International … 49 (2019) 1, pp. 31-56
Persistent link: https://www.econbiz.de/10012105338
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A new approach to modeling the dynamics of implied distributions : theory and evidence from the S&P 500 options
Panigirtzoglou, Nikolaos; Skiadopoulos, George - In: Journal of banking & finance 28 (2004) 7, pp. 1499-1520
Persistent link: https://www.econbiz.de/10002100451
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On the robustness of Least-Squares Monte Carlo (LSM) for pricing American derivatives
Moreno, Manuel (contributor); Navas, Javier F. (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001578818
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On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives
Moreno, Manuel; Navas, Javier F. - In: Review of derivatives research 6 (2003) 2, pp. 107-128
Persistent link: https://www.econbiz.de/10001857659
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Liquidity and employee options : an empirical examination of the Microsoft experience
Chance, Don M. - In: The journal of corporate finance : contracting, … 15 (2009) 4, pp. 469-487
Persistent link: https://www.econbiz.de/10003871942
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Monte-Carlo valuation of American options : facts and new algorithms to improve existing methods
Bouchard, Bruno; Warin, Xavier - In: Numerical methods in finance : Bordeaux, June 2010, (pp. 215-255). 2012
Persistent link: https://www.econbiz.de/10009577193
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Optimal martingales and American option pricing
Cerrato, Mario (contributor); Abbasyan, Abdollah (contributor) - 2008
Persistent link: https://www.econbiz.de/10003806133
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Stock price dynamics of listed growth companies : evidence from the options market
Baule, Rainer; Tallau, Christian - In: The IUP journal of applied finance : IJAF 19 (2013) 1, pp. 5-26
Persistent link: https://www.econbiz.de/10009696959
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Pricing high-dimensional Bermudan options using variance-reduced Monte Carlo methods
Hepperger, Peter - In: The journal of computational finance 16 (2012/13) 3, pp. 99-126
Persistent link: https://www.econbiz.de/10009740106