Zobrazeno 1 - 4
of 4
pro vyhledávání: '"Christoph Gschnaidtner"'
Publikováno v:
Quantitative Finance. 22:1193-1216
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6bc8c02fb14935553b6a0cd994a5b6e5
https://doi.org/10.1080/14697688.2021.2019820
https://doi.org/10.1080/14697688.2021.2019820
Autor:
Christoph Gschnaidtner, Marcos Escobar
Publikováno v:
Review of Derivatives Research. 21:1-43
The main objective of this paper is to study the behavior of a daily calibration of a multivariate stochastic volatility model, namely the principal component stochastic volatility (PCSV) model, to market data of plain vanilla options on foreign exch
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::07c05840bb5b40d36608bf57dd0d5be2
https://doi.org/10.1007/s11147-017-9132-8
https://doi.org/10.1007/s11147-017-9132-8
Autor:
Philipp Maume, Lena Maute, Mathias Fromberger, Max Foerster, Christoph Gschnaidtner, Lars Haffke, Björn Handke, Veronica Hoch, Mario Keiling, Jasmin Kollmann, Anika Patz, Stephan Romeike, Christian Rückert, Daniel Schmid, Björn Steinrötter, Martin Strauch, Jan Max Wettlaufer, Peter Zickgraf, Patrick Zimmermann
Die Blockchain-Technologie ermöglicht die Tokenisierung von Vermögenswerten. Damit eröffnet sie in Form von Kryptowährungen und Initial Coin Offerings (ICOs) neue Möglichkeiten der Bezahlung, der Kapitalbeschaffung und des Investments. Dieses Ha
Autor:
Christoph Gschnaidtner, Marcos Escobar
Publikováno v:
Wilmott. 2016:60-81
Numerous publications take a perfect recovery of the actual parameters during a calibration of stochastic volatility models, such as the Heston model and other continuous option pricing models, for granted. However, we show that this is a misleading
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2a43b761a604954cd7908a25de5d2b0c
https://doi.org/10.1002/wilm.10551
https://doi.org/10.1002/wilm.10551