Narrow search
Showing 1 - 10 of 12,406
Cover Image
Applications of Fourier transform to smile modeling : theory and implementation
Zhu, Jianwei - 2010 - 2., ed.
Persistent link: https://www.econbiz.de/10003834547
Cover Image
Conditional Gauss-Hermite filtering with application to volatility estimation
Singer, Hermann - 2008
Persistent link: https://www.econbiz.de/10003795449
Cover Image
Valuing options in Heston's stochastic volatility model : another analytical approach
Frontczak, Robert - 2009 - Version [2]
We are concerned with the valuation of European options in Heston's stochastic volatility model with correlation. Based on Mellin transforms we present new closed-form solutions for the price of European options and hedging parameters. In contrast to Fourier-based approaches where the...
Persistent link: https://www.econbiz.de/10003921631
Cover Image
Profitability of time series momentum
He, Xue-zhong; Li, Kai - In: Journal of banking & finance 53 (2015), pp. 140-157
Persistent link: https://www.econbiz.de/10011377714
Cover Image
Herding, trend chasing and market volatility
Di Guilmi, Corrado; He, Xue-zhong; Li, Kai - In: Journal of economic dynamics & control 48 (2014), pp. 349-373
Persistent link: https://www.econbiz.de/10010486646
Cover Image
Representation of American option prices under Heston stochastic volatility dynamics using integral transforms
Chiarella, Carl; Ziogas, Andrew; Ziveyi, Jonathan - In: Contemporary quantitative finance : essays in honour of …, (pp. 281-315). 2010
Persistent link: https://www.econbiz.de/10008749199
Cover Image
An analysis of American options under heston stochastic volatility and jump-diffusion dynamics
Cheang, Gerald; Chiarella, Carl; Ziogas, Andrew - 2009
Persistent link: https://www.econbiz.de/10009233319
Cover Image
Pricing options in incomplete equity markets via the instantaneous Sharpe ratio
Bayraktar, Erhan; Young, Virginia R. - In: Annals of finance 4 (2008) 4, pp. 399-429
Persistent link: https://www.econbiz.de/10003737188
Cover Image
Asymptotic equivalence of discretely observed geometric Brownian motion to a Gaussian shift
Butucea, Cristina; Nussbaum, Michael - 1999
Persistent link: https://www.econbiz.de/10001425816