//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Pricing VIX Derivatives with I...
Similar by subject
Narrow search
Narrow search
Year of publication
From:
To:
Subject
All
Volatility
40,740
Volatilität
40,471
Theorie
22,335
Theory
21,791
Optionspreistheorie
14,765
Option pricing theory
14,307
Derivat
13,920
Derivative
13,886
Börsenkurs
13,642
Share price
13,392
Schätzung
11,060
Kapitaleinkommen
10,966
Capital income
10,916
Estimation
10,768
Aktienmarkt
7,612
Stock market
7,514
Welt
6,947
USA
6,845
World
6,815
ARCH-Modell
6,672
ARCH model
6,588
United States
6,566
Portfolio-Management
5,995
Portfolio selection
5,927
Stochastischer Prozess
5,666
Stochastic process
5,552
CAPM
5,368
Prognoseverfahren
5,086
Forecasting model
5,002
Wechselkurs
4,990
Exchange rate
4,887
Risk
4,714
Risiko
4,643
Hedging
3,970
Optionsgeschäft
3,795
Risikoprämie
3,731
Option trading
3,705
Risk premium
3,674
Finanzmarkt
3,668
Zeitreihenanalyse
3,651
more ...
less ...
Online availability
All
Free
58,567
Undetermined
17,305
Type of publication
All
Book / Working Paper
71,450
Article
38,957
Journal
71
Other
52
Type of publication (narrower categories)
All
Article in journal
31,807
Aufsatz in Zeitschrift
31,807
Working Paper
14,676
Graue Literatur
12,194
Non-commercial literature
12,194
Arbeitspapier
11,492
Aufsatz im Buch
2,303
Book section
2,303
Hochschulschrift
1,631
Thesis
1,314
Article
717
Collection of articles of several authors
485
Sammelwerk
485
Lehrbuch
364
Textbook
337
Collection of articles written by one author
286
Sammlung
286
Bibliografie enthalten
238
Bibliography included
238
Aufsatzsammlung
225
Dissertation u.a. Prüfungsschriften
212
Conference paper
178
Konferenzbeitrag
178
Konferenzschrift
168
Glossar enthalten
118
Glossary included
118
Amtsdruckschrift
114
Government document
114
Conference proceedings
102
Handbook
100
Handbuch
100
research-article
86
Systematic review
81
Übersichtsarbeit
81
Forschungsbericht
71
Conference Paper
64
Ratgeber
62
Case study
50
Fallstudie
50
Guidebook
46
more ...
less ...
Language
All
English
86,530
Undetermined
19,952
German
2,828
Spanish
538
French
305
Italian
85
Portuguese
83
Polish
44
Russian
38
Korean
32
Czech
26
Turkish
26
Dutch
25
Swedish
15
Chinese
14
Norwegian
11
Romanian
10
Hungarian
9
Danish
5
Croatian
4
Japanese
4
Slovak
4
Arabic
3
Finnish
3
Modern Greek (1453-)
2
Indonesian
2
Serbian
2
Afrikaans
1
Azerbaijani
1
Armenian
1
Ukrainian
1
Vietnamese
1
more ...
less ...
Author
All
McAleer, Michael
454
Fernandez, Pablo
398
Caporale, Guglielmo Maria
342
Gupta, Rangan
273
Madan, Dilip B.
220
Bollerslev, Tim
197
Härdle, Wolfgang
196
Fabozzi, Frank J.
178
Chang, Chia-Lin
168
Bekaert, Geert
160
Platen, Eckhard
160
Chiarella, Carl
156
Diebold, Francis X.
143
Jacobs, Kris
143
Schlag, Christian
137
Zaremba, Adam
135
Ghysels, Eric
131
Lux, Thomas
127
Pierdzioch, Christian
126
Prokopczuk, Marcel
126
McMillan, David G.
125
Subrahmanyam, Marti G.
123
Lucey, Brian M.
122
Carr, Peter
119
Jarrow, Robert A.
119
Engle, Robert F.
118
Harvey, Campbell R.
118
Schrimpf, Andreas
117
Branger, Nicole
116
Ang, Andrew
115
Bali, Turan G.
115
Bouri, Elie
113
Magni, Carlo Alberto
113
Yu, Jun
110
Pelizzon, Loriana
109
Todorov, Viktor
107
Spagnolo, Nicola
106
Velez-Pareja, Ignacio
106
Aizenman, Joshua
104
Zhou, Guofu
104
more ...
less ...
Institution
All
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
849
National Bureau of Economic Research (NBER)
788
National Bureau of Economic Research
704
C.E.P.R. Discussion Papers
413
Université Paris-Dauphine (Paris IX)
288
EconWPA
287
International Monetary Fund (IMF)
237
Society for Computational Economics - SCE
176
Institut für Schweizerisches Bankwesen <Zürich>
136
IESE Business School, Universidad de Navarra
135
School of Economics and Management, University of Aarhus
135
Finance Discipline Group, Business School
125
International Monetary Fund
99
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
86
University of Bonn, Germany
85
Bank of Canada
76
Université Paris-Dauphine
73
London School of Economics (LSE)
69
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
67
Tinbergen Instituut
65
Henley Business School, University of Reading
64
MASTER CONSULTORES
64
Tilburg University, Center for Economic Research
64
CESifo
62
Econometric Society
62
Cowles Foundation for Research in Economics, Yale University
60
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
56
Banque de France
54
Society for Economic Dynamics - SED
54
Department of Economics and Business, Universitat Pompeu Fabra
52
Economics Institute for Research (SIR), Handelshögskolan i Stockholm
52
National Centre of Competence in Research North South <Bern>
51
Sonderforschungsbereich Ökonomisches Risiko <Berlin>
50
Swiss Finance Institute
49
Institut für Finanzmarktforschung, Wirtschafts- und Sozialwissenschaftliche Fakultät
48
Deutsche Bundesbank
45
Institut für Weltwirtschaft (IfW)
43
School of Management, Yale University
43
Center for Financial Studies
42
Banca d'Italia
40
more ...
less ...
Published in...
All
The journal of futures markets
872
MPRA Paper
828
NBER Working Papers
777
Energy economics
756
Finance research letters
692
NBER working paper series
688
Journal of banking & finance
640
International journal of theoretical and applied finance
615
Working paper / National Bureau of Economic Research, Inc.
561
Working Paper
541
NBER Working Paper
493
International review of financial analysis
487
Applied economics
432
International review of economics & finance : IREF
430
Research paper series / Swiss Finance Institute
421
CEPR Discussion Papers
414
ECB Working Paper
393
Economic modelling
393
The North American journal of economics and finance : a journal of financial economics studies
390
Working paper
363
Journal of econometrics
355
Applied financial economics
336
CESifo working papers
318
Mathematical finance : an international journal of mathematics, statistics and financial theory
315
CESifo Working Paper
313
Journal of empirical finance
313
Applied economics letters
305
Swiss Finance Institute Research Paper
304
Quantitative finance
301
Journal of financial economics
299
Economics letters
297
Applied mathematical finance
296
The journal of derivatives : the official publication of the International Association of Financial Engineers
291
Journal of risk and financial management : JRFM
287
Discussion paper / Centre for Economic Policy Research
286
Discussion paper / Tinbergen Institute
282
Research in international business and finance
280
The journal of computational finance
278
Economics Papers from University Paris Dauphine
276
Finance and stochastics
275
more ...
less ...
Source
All
ECONIS (ZBW)
91,702
RePEc
13,150
EconStor
4,022
USB Cologne (EcoSocSci)
757
USB Cologne (business full texts)
581
BASE
120
Other ZBW resources
101
OLC EcoSci
66
ArchiDok
31
more ...
less ...
Showing
1
-
10
of
110,530
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
Jumps in option prices and their determinants : real-time evidence from the E-mini S&P 500 option market
Kapetanios, George
;
Neumann, Michael
;
Skiadopoulos, George
-
2014
We study the real-time characteristics and drivers of jumps in option prices. To this end, we employ high frequency data from the 24-hour E-mini S&P 500 options market. We find that option prices do not jump simultaneously across strikes and maturities and are uncorrelated with jumps in the...
Persistent link: https://www.econbiz.de/10010472845
Saved in:
2
GPU Pricing of Exotic Cross-Currency Interest Rate Derivatives with a Foreign Exchange
Volatility
Skew Model
Dang, Duy-Minh
-
2011
Bermudan cancelable features. We consider a three-factor pricing model with FX
volatility
skew which results in a time …
Persistent link: https://www.econbiz.de/10013133913
Saved in:
3
Hedging
Volatility
Risk of Exotic Structures Using Variance Derivatives
Zarov, Iliyan Radev
-
2012
volatility
jump diffusion model …
Persistent link: https://www.econbiz.de/10013113731
Saved in:
4
Average Option Pricing in Volatile Market
Joseph, Angelo
-
2011
Financial markets exhibit high levels of
volatility
. Volatile markets are usually associated with high risks and … high
volatility
using a suitable hedging structure. One particular
volatility
hedge, involves taking a position in an …
Persistent link: https://www.econbiz.de/10013120482
Saved in:
5
Consistent Pricing and Hedging
Volatility
Derivatives with Two
Volatility
Surfaces
Chen, Ke
-
2013
Abstract Using the joint characteristic function of equity price and state variables, we can price contingent claims on both equity and VIX consistently. Based on linear approximation of jump size, we show that one factor models implies all VIX future contract of different maturities are...
Persistent link: https://www.econbiz.de/10013088143
Saved in:
6
Pricing Forward Skew Dependent Derivatives : Multifactor Versus Single-Factor Stochastic
Volatility
Models
Marabel Romo, Jacinto
-
2014
volatility
level. Single-factor stochastic
volatility
models are not flexible enough to account for the stochastic behavior of … the skew. On the other hand, multifactor stochastic
volatility
models are able to account for the existence of stochastic … that the consideration of additional
volatility
factors in the context of stochastic
volatility
models allows us to …
Persistent link: https://www.econbiz.de/10013064470
Saved in:
7
The Affine Heston Model with Correlated Gaussian Interest Rates for Pricing Hybrid Derivatives
Grzelak, Lech A.
-
2014
In this article we define a multi-factor equity-interest rate hybrid model with non-zero correlation between the stock and interest rate. The equity part is modeled by the Heston model [Heston-1993] and we use a Gaussian multi-factor short rate process [Brigo,Mercurio-2007; Hull-2006]. By...
Persistent link: https://www.econbiz.de/10013070982
Saved in:
8
The Effects of Asymmetric
Volatility
and Jumps on the Pricing of VIX Derivatives
Park, Yang-Ho
-
2015
volatility
to accommodate asymmetric
volatility
. Second, upward and downward jumps in the VIX are separately modeled to … from July 2006 through January 2013, we find conclusive evidence for the benefits of including both asymmetric
volatility
…
Persistent link: https://www.econbiz.de/10013015182
Saved in:
9
A Consistent Pricing Model for Index Options and
Volatility
Derivatives
Cont, Rama
-
2010
jumps in
volatility
and returns.An affine specification using Lévy processes as building blocks leads to analytically … on the underlying asset. The model has the convenient feature of decoupling the vanilla skews from spot/
volatility
… correlations and allowing for different conditional correlations in large and small spot/
volatility
moves.We show that our model …
Persistent link: https://www.econbiz.de/10013150926
Saved in:
10
Efficient Pricing of CMS Spread Options in a Stochastic
Volatility
LMM
Lutz, Matthias
-
2010
models with stochastic
volatility
. This formula makes it feasible to include quoted CMS spread option prices in the general …
Persistent link: https://www.econbiz.de/10013152512
Saved in:
1
2
3
4
5
6
7
8
9
10
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->