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検索結果 10 件

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

A time series approach to option pricing : models, methods and empirical performances
紙図書
Christophe Chorro, Dominique Guégan, Florian IelpoSpringerc2015
全国の図書館
  • 件名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
紙規格・テクニカルリポート類
Takahashi, Akihiko, Yamada, Toshihiro日本経済国際共同センター2013-12Discussion paper series. CIRJE-FCIRJE-F-909
全国の図書館
  • 件名...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
デジタル図書
Asai, Manabu, McAleer, MichaelInstitute of Economic Research, Kyoto University2013-01KIER Discussion Paper840
インターネットで読める全国の図書館
  • 件名...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
紙規格・テクニカルリポート類
Takahashi, Akihiko, Yamada, Toshihiro日本経済国際共同センター2013-07Discussion paper series. CIRJE-FCIRJE-F-897
全国の図書館

Pricing Nikkei 225 Options Using Realized Volatility

Pricing Nikkei 225 Options Using Realized Volatility
デジタル規格・テクニカルリポート類
Ubukata, Masato, Watanabe, ToshiakiInstitute of Economic Research, Hitotsubashi University2013-01
インターネットで読める全国の図書館
  • 要約等This article examines option pricing performance using realized vo...
  • 件名microstructure 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
デジタル規格・テクニカルリポート類
Andersen, Torben G., Fusari, Nicola, Todorov, ViktorInstitute of Economic Research, Hitotsubashi University2012-12
インターネットで読める全国の図書館
  • 件名Option 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
デジタル規格・テクニカルリポート類
竹内, 明香Institute of Economic Research, Hitotsubashi University2012-09
インターネットで読める全国の図書館
  • 要約等...performance of option pricing by comparing t......n terms of put option pricing. Moreover, the realized GARCH...
  • 件名put 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
紙規格・テクニカルリポート類
Takahashi, Akihiko, Tsuzuki, Yukihiro日本経済国際共同センター2014-02Discussion paper series. CIRJE-FCIRJE-F-917
全国の図書館
  • 件名...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
デジタル規格・テクニカルリポート類
Fulop, Andras, Li, Junye, Yu, JunInstitute of Economic Research, Hitotsubashi University2012-12
インターネットで読める全国の図書館
  • 要約等...sk management, option pricing and volatility forecasting.
  • 件名...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
紙規格・テクニカルリポート類
Takahashi, Akihiko, Tsuzuki, Yukihiro日本経済国際共同センター2013-01Discussion paper series. CIRJE-FCIRJE-F-874
全国の図書館
  • 件名...ra's algorithm Option pricing SABR model

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