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A time series approach to option pricing : models, methods and empirical performances

A time series approach to option pricing : models, methods and empirical performances
Paper図書
Christophe Chorro, Dominique Guégan, Florian IelpoSpringerc2015
Other Libraries in Japan
  • Subject HeadingOption Pricing Time Series Black Scholes Inv...
  • Subject Heading (ID)Option Pricing Time Series Black Scholes Inv...

A Weak Approximation with Asymptotic Expansion and Multidimensional Malliavin Weights

A Weak Approximation with Asymptotic Expansion and Multidimensional Malliavin Weights
Paper文書・図像類
Takahashi, Akihiko, Yamada, Toshihiro日本経済国際共同センター2013-12Discussion paper series. CIRJE-FCIRJE-F-909
Other Libraries in Japan
  • Subject Heading...Kusuoka Scheme Option pricing

Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing

Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing
Digital文書・図像類
Asai, Manabu, McAleer, MichaelInstitute of Economic Research, Kyoto University2013-01KIER Discussion Paper840
Available onlineOther Libraries in Japan
  • Subject Heading...tifactor Model Option Pricing

On Error Estimates for Asymptotic Expansions with Malliavin Weights : Application to Stochastic Volatility Model

On Error Estimates for Asymptotic Expansions with Malliavin Weights : Application to Stochastic Volatility Model
Paper文書・図像類
Takahashi, Akihiko, Yamada, Toshihiro日本経済国際共同センター2013-07Discussion paper series. CIRJE-FCIRJE-F-897
Other Libraries in Japan

Pricing Nikkei 225 Options Using Realized Volatility

Pricing Nikkei 225 Options Using Realized Volatility
Digital文書・図像類
Ubukata, Masato, Watanabe, ToshiakiInstitute of Economic Research, Hitotsubashi University2013-01
Available onlineOther Libraries in Japan
  • Summary, etc.This article examines option pricing performance using realized vo...
  • Subject Headingmicrostructure noise Nikkei 225 stock index non-trading hours option pricing realized volatility

Parametric Inference and Dynamic State Recovery from Option Panels

Parametric Inference and Dynamic State Recovery from Option Panels
Digital文書・図像類
Andersen, Torben G., Fusari, Nicola, Todorov, ViktorInstitute of Economic Research, Hitotsubashi University2012-12
Available onlineOther Libraries in Japan
  • Subject HeadingOption Pricing Inference Risk Premia Jumps L...

An empirical analysis of the Nikkei 225 put options using realized GARCH models

An empirical analysis of the Nikkei 225 put options using realized GARCH models
Digital文書・図像類
竹内, 明香Institute of Economic Research, Hitotsubashi University2012-09
Available onlineOther Libraries in Japan
  • Summary, etc....performance of option pricing by comparing t......n terms of put option pricing. Moreover, the realized GARCH...
  • Subject Headingput option pricing realized GARCH non-trading ho...

A New Improvement Scheme for Approximation Methods of Probability Density Functions

A New Improvement Scheme for Approximation Methods of Probability Density Functions
Paper文書・図像類
Takahashi, Akihiko, Tsuzuki, Yukihiro日本経済国際共同センター2014-02Discussion paper series. CIRJE-FCIRJE-F-917
Other Libraries in Japan
  • Subject Heading...ra’s algorithm Option pricing SABR model

Investigating Impacts of Self-Exciting Jumps in Returns and Volatility: A Bayesian Learning Approach

Investigating Impacts of Self-Exciting Jumps in Returns and Volatility: A Bayesian Learning Approach
Digital文書・図像類
Fulop, Andras, Li, Junye, Yu, JunInstitute of Economic Research, Hitotsubashi University2012-12
Available onlineOther Libraries in Japan
  • Summary, etc....sk management, option pricing and volatility forecasting.
  • Subject Heading...isk Management Option Pricing Volatility Forecasting

A New Improvement Scheme for Approximation Methods of Probability Density Functions

A New Improvement Scheme for Approximation Methods of Probability Density Functions
Paper文書・図像類
Takahashi, Akihiko, Tsuzuki, Yukihiro日本経済国際共同センター2013-01Discussion paper series. CIRJE-FCIRJE-F-874
Other Libraries in Japan
  • Subject Heading...ra's algorithm Option pricing SABR model

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