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FFT Based Option Pricing Author info | Abstract | Publisher info | Download info | Related research | Statistics Szymon Borak
Kai Detlefsen
Wolfgang Härdle
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Paper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number
SFB649DP2005-011.
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Length: 20 pages
Date of creation: Mar 2005Date of revision:
Handle: RePEc:hum:wpaper:sfb649dp2005-011Contact details of provider: Postal: Spandauer Str. 1,10178 Berlin Phone: +49-30-2093-5708 Fax: +49-30-2093-5617 Email: Web page: http://sfb649.wiwi.hu-berlin.de More information through EDIRC
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Find related papers by JEL classification: G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
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References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Enzo Giacomini & Wolfgang Härdle, 2005.
"Value-at-Risk Calculations with Time Varying Copulae ,"
SFB 649 Discussion Papers
SFB649DP2005-004, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
[Downloadable!]
Dirk Krueger & Harald Uhlig, 2005.
"Competitive Risk Sharing Contracts with One-Sided Commitment ,"
CFS Working Paper Series
2005/07, Center for Financial Studies.
[Downloadable!]
Other versions:
Dirk Krueger & Harald Uhlig, 2003.
"Competitive Risk Sharing Contracts with One-Sided Commitment ,"
NBER Working Papers
10135, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Dirk Krueger & Harald Uhlig, 2003.
"Competitive Risk Sharing Contracts with One-Sided Commitment ,"
Levine's Bibliography
666156000000000407, UCLA Department of Economics.
[Downloadable!] Dirk Krueger & Harald Uhlig, 2005.
"Competitive Risk Sharing Contracts with One-Sided Commitment ,"
SFB 649 Discussion Papers
SFB649DP2005-003, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
[Downloadable!] Krüger, Dirk & Uhlig, Harald, 2004.
"Competitive Risk Sharing Contracts with One-Sided Commitment ,"
CEPR Discussion Papers
4208, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Krueger, Dirk & Uhlig, Harald, 2006.
"Competitive risk sharing contracts with one-sided commitment ,"
Journal of Monetary Economics ,
Elsevier, vol. 53(7), pages 1661-1691, October.
[Downloadable!] (restricted) Szymon Borak & Wolfgang Härdle & Rafal Weron, 2005.
"Stable Distributions ,"
SFB 649 Discussion Papers
SFB649DP2005-008, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
[Downloadable!]
Full
references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Wolfgang Härdle & Zdenek Hlavka, 2005.
"Dynamics of State Price Densities ,"
SFB 649 Discussion Papers
SFB649DP2005-021, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
[Downloadable!]
Sigbert Klinke & Uwe Ziegenhagen & Yuval Guri, 2005.
"Yxilon – a Modular Open-Source Statistical Programming Language ,"
SFB 649 Discussion Papers
SFB649DP2005-018, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
[Downloadable!]
Markus Fischer & Markus Reiss, 2005.
"Discretisation of Stochastic Control Problems for Continuous Time Dynamics with Delay ,"
SFB 649 Discussion Papers
SFB649DP2005-038, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany, revised Dec 2005.
[Downloadable!]
Ajit Ghose, 2005.
"Employment in China: Recent trends and future challenges ,"
Employment strategy papers
2005-14, International Labour Office.
[Downloadable!]
Michal Benko & Wolfgang Härdle, 2005.
"Common Functional Implied Volatility Analysis ,"
SFB 649 Discussion Papers
SFB649DP2005-012, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
[Downloadable!]
Michal Benko & Alois Kneip, 2005.
"Common functional component modelling ,"
SFB 649 Discussion Papers
SFB649DP2005-016, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
[Downloadable!]
María Echart, 2003.
"Educación universitaria Aportes para el debate acerca de su efectividad y equidad ,"
Working Papers
79, FIEL.
[Downloadable!]
Francesco Daveri & Cecilia Jona-Lasinio, .
"Italy’s Decline: Getting the Facts Right ,"
Working Papers
301, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
[Downloadable!]
Other versions:
F. Daveri & C. Jona-Lasinio, 2006.
"Italy’s decline: getting the facts right ,"
Economics Department Working Papers
2006-EP01, Department of Economics, Parma University (Italy).
[Downloadable!] Francesco Daveri & Cecilia Jona-Lasinio, 2005.
"Italy's Decline: Getting the Facts Right ,"
Giornale degli Economisti ,
GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 64(4), pages 365-410, December.
[Downloadable!] Benjamin Bental & Dominique Demougin, 2005.
"Do Factor Shares Reflect Technology? ,"
SFB 649 Discussion Papers
SFB649DP2005-050, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
[Downloadable!]
Anja Schöttner, 2005.
"Relational Contracts and Job Design ,"
SFB 649 Discussion Papers
SFB649DP2005-052, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
[Downloadable!]
Yasemin Boztug & Lutz Hildebrandt, 2005.
"An empirical test of theories of price valuation using a semiparametric approach, reference prices, and accounting for heterogeneity ,"
SFB 649 Discussion Papers
SFB649DP2005-057, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
[Downloadable!]
Markus Krätzig, 2005.
"A Software Framework for Data Based Analysis ,"
SFB 649 Discussion Papers
SFB649DP2005-044, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
[Downloadable!]
Christian Weiner, 2005.
"The Impact of Industry Classification Schemes on Financial Research ,"
SFB 649 Discussion Papers
SFB649DP2005-062, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
[Downloadable!]
Markus Fischer & Peter Imkeller, 2005.
"A two state model for noise-induced resonance in bistable systems with delay ,"
SFB 649 Discussion Papers
SFB649DP2005-017, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
[Downloadable!]
Andreas Schabert & Christian Stoltenberg, 2005.
"Money Demand and Macroeconomic Stability Revisited ,"
SFB 649 Discussion Papers
SFB649DP2005-027, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany, revised Aug 2005.
[Downloadable!]
Other versions: Wolfgang Härdle & Seok-Oh Jeong, 2005.
"Nonparametric Productivity Analysis ,"
SFB 649 Discussion Papers
SFB649DP2005-013, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
[Downloadable!]
Yasemin Boztug & Lutz Hildebrandt, 2005.
"A Market Basket Analysis Conducted with a Multivariate Logit Model ,"
SFB 649 Discussion Papers
SFB649DP2005-028, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
[Downloadable!]
Astrid Matthey, 2005.
"Getting Used to Risks: Reference Dependence and Risk Inclusion ,"
SFB 649 Discussion Papers
SFB649DP2005-036, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
[Downloadable!]
Wolfgang Härdle & Sigbert Klinke & Uwe Ziegenhagen, 2005.
"Integrable e-lements for Statistics Education ,"
SFB 649 Discussion Papers
SFB649DP2005-058, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
[Downloadable!]
Imen Bentahar & Bruno Bouchard, 2005.
"Explicit characterization of the super-replication strategy in financial markets with partial transaction costs ,"
SFB 649 Discussion Papers
SFB649DP2005-053, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
[Downloadable!]
Ying Chen & Wolfgang Härdle & Vladimir Spokoiny, 2005.
"Portfolio Value at Risk Based on Independent Components Analysis ,"
SFB 649 Discussion Papers
SFB649DP2005-060, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
[Downloadable!]
Anja Schöttner, 2005.
"Fixed-Prize Tournaments versus First-Price Auctions in Innovation Contests ,"
SFB 649 Discussion Papers
SFB649DP2005-041, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
[Downloadable!]
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