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Search: subject:"Continuous Time"
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Volatility
Theorie
215
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195
continuous time
114
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93
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86
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66
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54
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Cui, Zhenyu
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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
Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
1
Physica A: Statistical Mechanics and its Applications
1
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
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ECONIS (ZBW)
32
RePEc
2
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21
Partially anticipated monetary policy shocks : are they stabilizing or destabilizing?
Offick, Sven
;
Wohltmann, Hans-Werner
- In:
Jahrbücher für Nationalökonomie und Statistik
236
(
2016
)
1
,
pp. 95-127
Persistent link: https://www.econbiz.de/10011486776
Saved in:
22
Insider trading, stochastic liquidity, and equilibrium prices
Collin-Dufresne, Pierre
;
Fos, Vyacheslav
- In:
Econometrica : journal of the Econometric Society, an …
84
(
2016
)
4
,
pp. 1441-1475
Persistent link: https://www.econbiz.de/10011611102
Saved in:
23
A novel Fourier transform B-spline method for option pricing
Haslip, Gareth G.
;
Kaishev, Vladimir K.
- In:
The journal of computational finance
19
(
2015
)
1
,
pp. 41-74
Persistent link: https://www.econbiz.de/10011480709
Saved in:
24
Strategic asset valuation and higher stochastic moments : an adjusted black-scholes model
Milanesi, Gastón
;
Pesce, Gabriela
;
El Alabi, Emilio
- In:
Journal of contemporary management : JMC
4
(
2015
)
3
,
pp. 95-106
Persistent link: https://www.econbiz.de/10011392906
Saved in:
25
ABC of SV: limited information likelihood inference in stochastic volatility jump-diffusion models
Creel, Michael D.
;
Kristensen, Dennis
- In:
Journal of empirical finance
31
(
2015
),
pp. 85-108
Persistent link: https://www.econbiz.de/10011489408
Saved in:
26
Continuous and discrete time modelling of spillovers in equity and bond markets
Dontis-Charitos, Panagiotis
;
Gough, Orla
;
Nowman, Kalid Ben
- In:
International journal of bonds and derivatives
1
(
2013
)
1
,
pp. 54-87
Persistent link: https://www.econbiz.de/10010338909
Saved in:
27
An examination of the
continuous-time
dynamics of international volatility indices amid the recent market turmoil
Li, Minqiang
- In:
Journal of empirical finance
22
(
2013
),
pp. 128-139
Persistent link: https://www.econbiz.de/10009768415
Saved in:
28
Continuous equilibrium in affine and information-based capital asset pricing models
Horst, Ulrich
;
Kupper, Michael
;
Macrina, Andrea
; …
- In:
Annals of finance
9
(
2013
)
4
,
pp. 725-755
Persistent link: https://www.econbiz.de/10010196576
Saved in:
29
Estimating the leverage parameter of
continuous-time
stochastic volatility models using high frequency S&P 500 and VIX
Ishida, Isao
;
McAleer, Michael
;
Oya, Kosuke
- In:
Managerial Finance
37
(
2011
)
October
,
pp. 1048-1067
Purpose – The purpose of this paper is to propose a new method for estimating
continuous-time
stochastic volatility (SV …
Persistent link: https://www.econbiz.de/10010675798
Saved in:
30
The risk-return tradeoff : a COGARCH analysis of Merton's hypothesis
Müller, Gernot
;
Durand, Robert B.
;
Maller, Ross A.
- In:
Journal of empirical finance
18
(
2011
)
2
,
pp. 306-320
Persistent link: https://www.econbiz.de/10009301116
Saved in:
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