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fractional Brownian motion
Stochastischer Prozess
19,392
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18,946
Optionspreistheorie
15,524
Theorie
15,351
Option pricing theory
15,064
Theory
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3,032
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3,020
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2,257
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2,080
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2,066
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1,972
Estimation theory
1,948
Zeitreihenanalyse
1,916
CAPM
1,902
Time series analysis
1,861
Hedging
1,605
Markov chain
1,544
Markov-Kette
1,544
Börsenkurs
1,477
Black-Scholes-Modell
1,461
Zinsstruktur
1,457
Yield curve
1,440
Share price
1,438
Black-Scholes model
1,401
Monte-Carlo-Simulation
1,337
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1,331
Analysis
1,259
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Mišura, Julija S.
5
Phillips, Peter C.B.
5
Härdle, Wolfgang
4
Breton, A. Le
3
Hall, Peter
3
Kleinow, Torsten
3
Kleptsyna, M.L.
3
Schmidt, Peter
3
Bassler, Kevin E.
2
Davidson, James
2
Fabozzi, Frank J.
2
Gunaratne, Gemunu H.
2
Hashimzade, Nigar
2
Irle, Albrecht
2
Leiton, Karen
2
León, Carlos
2
León, José
2
Los, Cornelis A.
2
Marinucci, D
2
McCauley, Joseph L.
2
Necula, Cipian
2
Necula, Ciprian
2
Prelle, Claas
2
Ralchenko, Kostiantyn
2
Račev, Svetlozar T.
2
Reveiz, Alejandro
2
Robinson, Peter M.
2
Rosenbaum, Mathieu
2
Shimotsu, Katsumi
2
Shklyar, S. V.
2
Stoyanov, Stoyan V.
2
Woerner, Jeannette H. C.
2
Alòs, Elisa
1
Asai, Manabu
1
Ayache, Antoine
1
Bennedsen, Mikkel
1
Berzin, Corinne
1
Björk, Tomas
1
Boutahar, Mohamed
1
Burnecki, Krzysztof
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Cowles Foundation for Research in Economics, Yale University
5
Center for Advanced Research in Finance and Banking (CARFIB), Academia de Studii Economice din Bucureşti
4
EconWPA
2
London School of Economics (LSE)
2
School of Economics and Management, University of Aarhus
2
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
2
BANCO DE LA REPÚBLICA
1
Banco de la Republica de Colombia
1
Business School, University of Exeter
1
Department of Economics and Business, Universitat Pompeu Fabra
1
Départment des sciences administratives, Université du Québec en Outaouais (UQO)
1
Ehrvervøkonomisk Institut, Institut for Økonomi
1
HAL
1
Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska
1
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1
Society for Computational Economics - SCE
1
Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
1
Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
1
Zakład Ekonometrii Stosowanej, Szkoła Główna Handlowa w Warszawie
1
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Statistical Inference for Stochastic Processes
12
Cowles Foundation Discussion Papers
5
International journal of theoretical and applied finance
5
Advances in Economic and Financial Research - DOFIN Working Paper Series
4
Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
3
CREATES Research Papers
2
Econometric reviews
2
Finance
2
LSE Research Online Documents on Economics
2
MPRA Paper
2
Mathematical finance
2
Mathematics of operations research
2
Risk and decision analysis
2
Risks : open access journal
2
BORRADORES DE ECONOMIA
1
Borradores de Economia
1
Computing in Economics and Finance 2006
1
Cowles Foundation discussion paper
1
Discussion Papers / Business School, University of Exeter
1
Econometric Reviews
1
Economics Working Papers / Department of Economics and Business, Universitat Pompeu Fabra
1
Essays in honor of Joon Y. Park : econometric theory
1
Finance Research Group Working Papers
1
Finance and Stochastics
1
HSC Research Reports
1
International journal of financial engineering
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of financial engineering
1
Kiel Working Paper
1
Kiel Working Papers
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Michael J. Brennan Irish finance working paper series research paper
1
Multinational Finance Journal
1
New Mathematics and Natural Computation (NMNC)
1
RePAd Working Paper Series
1
Risks
1
SFB 373 Discussion Paper
1
SFB 373 Discussion Papers
1
STICERD - Econometrics Paper Series
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RePEc
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ECONIS (ZBW)
30
EconStor
3
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1
E-strong simulation of fractional brownian motion and related stochastic differential equations
Chen, Yi
;
Dong, Jing
;
Ni, Hao
- In:
Mathematics of operations research
46
(
2021
)
2
,
pp. 559-594
Persistent link: https://www.econbiz.de/10012582184
Saved in:
2
Multifractional stochastic volatility models
Corlay, Sylvain
;
Lebovits, Joachim
;
Lévy Véhel, Jacques
- In:
Mathematical finance : an international journal of …
24
(
2014
)
2
,
pp. 364-402
Persistent link: https://www.econbiz.de/10010357370
Saved in:
3
Volatility and variance swaps and options in the fractional SABR model
Kim, See-Woo
;
Kim, Jeong-Hoon
- In:
The European journal of finance
26
(
2020
)
17
,
pp. 1725-1745
Persistent link: https://www.econbiz.de/10012314649
Saved in:
4
The valuation of European option under subdiffusive fractional Brownian motion of the short rate
Shokrollahi, Foad
- In:
International journal of theoretical and applied finance
23
(
2020
)
4
,
pp. 1-16
Persistent link: https://www.econbiz.de/10012284597
Saved in:
5
Pricing derivatives in hermite markets
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
;
Mittnik, Stefan
- In:
International journal of theoretical and applied finance
22
(
2019
)
6
,
pp. 1-27
Persistent link: https://www.econbiz.de/10012153100
Saved in:
6
Approximating expected value of an option with non-Lipschitz payoff in fractional Heston-type model
Mišura, Julija S.
;
Yurchenko-Tytarenko, Anton
- In:
International journal of theoretical and applied finance
23
(
2020
)
5
,
pp. 1-36
Persistent link: https://www.econbiz.de/10012496732
Saved in:
7
Carbon bond pricing and model selection
Feng, Jianfen
;
Huang, Xiaowei
;
Hou, Juyue
;
Wang, Chunxia
; …
- In:
The Singapore economic review : journal of the Economic …
63
(
2018
)
2
,
pp. 465-481
Persistent link: https://www.econbiz.de/10011856933
Saved in:
8
Financial markets with no riskless (safe) asset
Račev, Svetlozar T.
;
Stoyanov, Stoyan V.
;
Fabozzi, Frank J.
- In:
International journal of theoretical and applied finance
20
(
2017
)
8
,
pp. 1-24
Persistent link: https://www.econbiz.de/10011787424
Saved in:
9
Comment on: limit of random measures associated with the increments of a Brownian Semimartingale : asymptotic behavior of local times related statistics for fractional Brownian mot...
Podolskij, Mark
;
Rosenbaum, Mathieu
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
4
,
pp. 588-598
Persistent link: https://www.econbiz.de/10011987969
Saved in:
10
An empirical study on using Hurst exponent estimation methods for pricing Call options by fractional Black-Scholes model
Kilianová, Soňa
;
Letko, Boris
- In:
Risk and decision analysis
7
(
2018
)
1/2
,
pp. 51-62
Persistent link: https://www.econbiz.de/10011945645
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