Dokumente Fakultät für Mathematik und Informatik (inkl. GAUSS) nach Gutachter "Woerner, Jeannette Prof. Dr."
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Bipower-variation bei Finanzmarktdaten mit unregelmaessigen Beobachtungsabstaenden
(2008-01-25)This project considers an estimation concept for integreted volatility and variance. We finde an application in volatlity derivatives. We consider continuous stochastic volatility processes ... -
Generalized Multinomial CRR Option Pricing Model and its Black-Scholes type limit
(2006-01-20)We construct the generalized discrete-time model of the underlying stock price process which serves as a better approximation to the stock price process than classical random walk. The ...