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A multivariate stochastic unit root model with an application to derivative pricing
Lieberman, Offer; Phillips, Peter C. B. - In: Journal of econometrics 196 (2017) 1, pp. 99-110
Persistent link: https://www.econbiz.de/10011743783
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A time series approach to option pricing : models, methods and empirical performances
Chorro, Christophe; Guégan, Dominique; Ielpo, Florian - 2015
Persistent link: https://www.econbiz.de/10010458461
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On the historical exchange rates Euro/US Dollar
Vadillo, Fernando - In: Computational economics 48 (2016) 3, pp. 463-472
Persistent link: https://www.econbiz.de/10011712513
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An application of Padé approximation to volatility modeling
Gil Fari~na, María Candelaria; Lorenzo Alegría, Rosa … - In: International advances in economic research : IAER ; an … 5 (1999) 4, pp. 446-465
Persistent link: https://www.econbiz.de/10001490640
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Prognosemodelle und Handelsansätze für Implizite Volatilitäten
Sachtler, Michael - 2004
Persistent link: https://www.econbiz.de/10002392690
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Solving replication problems in a complete market by orthogonal series expansion
Dong, Chaohua; Gao, Jiti - In: The North American journal of economics and finance : a … 25 (2013), pp. 306-317
Persistent link: https://www.econbiz.de/10009779212
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Robust risk management : accounting for nonstationarity and heavy tails
Chen, Ying (contributor); Spokojnyj, Vladimir G. (contributor) - 2007
process is considered. A complete theory addresses both issues. In our study, we demonstrate the implementation of the …
Persistent link: https://www.econbiz.de/10003402841
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A Time Series Approach to Option Pricing : Models, Methods and Empirical Performances
Chorro, Christophe - 2015
The current world financial scene indicates at an intertwined and interdependent relationship between financial market activity and economic health. This book explains how the economic messages delivered by the dynamic evolution of financial asset returns are strongly related to option prices....
Persistent link: https://www.econbiz.de/10012401993
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Detection of mispricing in the Black-Scholes PDE using the derivative-free nonlinear Kalman Filter
Rigatos, G.; Zervos, N. - In: Computational economics 50 (2017) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10011762181
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Solving replication problems in complete market by orthogonal series expansion
Dong, Chaohua; Gao, Jiti - 2012
Persistent link: https://www.econbiz.de/10009565425