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Option pricing and estimation of financial models with R

Iacus, Stefano M. - 2011 - 1. publ.

Persistent link: https://www.econbiz.de/10008936516

Purely discontinuous Lévy processes and power variation : inference for integrated volatility and the scale parameter

Woerner, Jeannette H. C. - 2003

Persistent link: https://www.econbiz.de/10009581651

Non-Gaussian OU based models and some of their uses in financial economics

Barndorff-Nielsen, Ole E.; Shephard, Neil G. - 2000

Persistent link: https://www.econbiz.de/10009581672

On the application of spectral filters in a Fourier option pricing technique

Ruijter, Marjon; Versteegh, M.; Oosterlee, Cornelis … - In: The journal of computational finance 19 (2015) 1, pp. 75-106

Persistent link: https://www.econbiz.de/10011480718

Forward prices as functionals of the spot path in commodity markets modeled by Lévy semistationary processes

Benth, Fred Espen; Blanco, Sara Ana Solanilla - In: International journal of theoretical and applied finance 18 (2015) 2, pp. 1-35

Persistent link: https://www.econbiz.de/10011403202

Stochastic dynamical modelling of spot freight rates

Benth, Fred Espen; Koekebakker, Steen; Taib, Che Mohd … - In: IMA journal of management mathematics 26 (2015) 3, pp. 273-297

Persistent link: https://www.econbiz.de/10011405425

A diffusion approximation for the riskless profit under selling of discrete time call options : non-identically distributed jumps

Nagaev, Alexander V.; Nagaev, Sergei A.; Kunst, Robert M. - 2005

Persistent link: https://www.econbiz.de/10002569872

Quantitative finance for physicists : an introduction

Schmidt, Anatoly B. - 2005

Persistent link: https://www.econbiz.de/10002392605

Continuous time volatility modelling : COGARCH versus Ornstein-Uhlenbeck models

Klüppelberg, Claudia (contributor); … - 2005

We compare the probabilistic properties of the non-Gaussian Ornstein-Uhlenbeck based stochastic volatility model of Barndorff-Nielsen and Shephard (2001) with those of the COGARCH process. The latter is a continuous time GARCH process introduced by the authors (2004). Many features are shown to...

Persistent link: https://www.econbiz.de/10002753427

Kombinierte Aktien-, Optionsstrategien im ein- und mehrperiodigen Fall : eine theoetische und empirische Untersuchung

Adam, Michael; Adam, Michael E. H. - 2001

Persistent link: https://www.econbiz.de/10001629302

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