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~subject:"Volatilität"
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Volatilität
Theorie
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50
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49
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Elliott, Robert J.
18
Siu, Tak Kuen
7
Ortega, Juan-Pablo
4
Lian, Guanghua
3
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2
Badescu, Alexandru
2
Chan, Leunglung
2
Elliott, Robert
2
Kalev, Petko S.
2
Yang, Zhaojun
2
Bradrania, Reza
1
Chesney, Marc
1
Cui, Zhenyu
1
Guo, Junyi
1
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1
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1
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1
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1
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1
Osakwe, Carlton
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1
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Institut für Schweizerisches Bankwesen <Zürich>
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2
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2
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1
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1
European journal of operational research : EJOR
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Institut für Schweizerisches Bankwesen Zürich - Working Paper Series
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International journal of theoretical and applied finance
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ECONIS (ZBW)
20
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1
Pricing volatility swaps under Heston's stochastic volatility model with regime switching
Elliott, Robert J.
;
Siu, Tak Kuen
;
Chan, Leunglung
- In:
Applied mathematical finance
14
(
2007
)
1
,
pp. 41-62
Persistent link: https://www.econbiz.de/10003542938
Saved in:
2
Markovian regime-switching market completion using additional Markov jump assets
Zhang, Xin
;
Elliott, Robert J.
;
Siu, Tak Kuen
;
Guo, Junyi
- In:
IMA journal of management mathematics
23
(
2012
)
3
,
pp. 283-305
Persistent link: https://www.econbiz.de/10009572468
Saved in:
3
Quadratic hedging schemes for non-Gaussian GARCH models
Badescu, Alexandru
;
Elliott, Robert J.
;
Ortega, Juan-Pablo
- In:
Journal of economic dynamics & control
42
(
2014
),
pp. 13-32
Persistent link: https://www.econbiz.de/10010426624
Saved in:
4
A Dupire equation for a regime-switching model
Elliott, Robert J.
;
Chan, Leunglung
;
Siu, Tak Kuen
- In:
International journal of theoretical and applied finance
18
(
2015
)
4
,
pp. 1-13
Persistent link: https://www.econbiz.de/10011403770
Saved in:
5
Non-Gaussian GARCH option pricing models and their diffusion limits
Badescu, Alexandru
;
Elliott, Robert J.
;
Ortega, Juan-Pablo
- In:
European journal of operational research : EJOR
247
(
2015
)
3
,
pp. 820-830
Persistent link: https://www.econbiz.de/10011386309
Saved in:
6
Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models
Elliott, Robert J.
;
Krishnamurthy, Vikram
;
Sass, Jörn
- In:
The econometrics journal
11
(
2008
)
2
,
pp. 244-270
Persistent link: https://www.econbiz.de/10003750782
Saved in:
7
Diffusion coefficient estimation and asset pricing when risk premia and sensitivities are time varying
Chesney, Marc
;
Elliott, Robert J.
;
Madan, Dilip B.
; …
- In:
Mathematical finance : an international journal of …
3
(
1993
)
2
,
pp. 85-99
Persistent link: https://www.econbiz.de/10001333352
Saved in:
8
Drift and volatility estimation in discrete time
Elliott, Robert J.
- In:
Journal of economic dynamics & control
22
(
1998
)
2
,
pp. 209-218
Persistent link: https://www.econbiz.de/10001232395
Saved in:
9
Approximate pricing of American exchange options with jumps
Lian, Guanghua
;
Elliott, Robert J.
;
Kalev, Petko S.
; …
- In:
The journal of futures markets
42
(
2022
)
6
,
pp. 983-1001
Persistent link: https://www.econbiz.de/10013287907
Saved in:
10
American option pricing and filtering with a hidden regime-switching jump diffusion
Siu, Tak Kuen
;
Elliott, Robert J.
- In:
The journal of derivatives : JOD
29
(
2022
)
3
,
pp. 106-123
Persistent link: https://www.econbiz.de/10013174827
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