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~isPartOf:"Journal of financial economics"
~subject:"Option pricing theory"
~subject:"Stochastic process"
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Option pricing theory
Stochastic process
Volatility
184
Volatilität
184
Capital income
82
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82
Börsenkurs
74
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74
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Christoffersen, Peter F.
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Journal of financial economics
International journal of theoretical and applied finance
178
Journal of econometrics
122
Quantitative finance
119
Journal of banking & finance
90
Applied mathematical finance
87
The journal of futures markets
77
Mathematical finance : an international journal of mathematics, statistics and financial theory
73
The journal of computational finance
70
Discussion paper / Tinbergen Institute
65
Finance and stochastics
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of economic dynamics & control
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Finance research letters
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Computational economics
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Review of derivatives research
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International journal of financial engineering
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European journal of operational research : EJOR
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CREATES research paper
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The European journal of finance
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International review of economics & finance : IREF
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
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1
The jump leverage risk premium
Bollerslev, Tim
;
Todorov, Viktor
- In:
Journal of financial economics
150
(
2023
)
3
,
pp. 1-20
Persistent link: https://www.econbiz.de/10014462640
Saved in:
2
Volatility and the cross-section of returns on FX options
Fullwood, Jonathan
;
James, Jessica
;
Marsh, Ian
- In:
Journal of financial economics
141
(
2021
)
3
,
pp. 1262-1284
Persistent link: https://www.econbiz.de/10012873205
Saved in:
3
Why do option returns change sign from day to night?
Muravyev, Dmitriy
;
Ni, Xuechuan Charles
- In:
Journal of financial economics
136
(
2020
)
1
,
pp. 219-238
Persistent link: https://www.econbiz.de/10012545424
Saved in:
4
Liquidity regimes and optimal dynamic asset allocation
Collin-Dufresne, Pierre
;
Daniel, Kent
;
Sağlam, Mehmet
- In:
Journal of financial economics
136
(
2020
)
2
,
pp. 379-406
Persistent link: https://www.econbiz.de/10012545569
Saved in:
5
The leverage effect and the basket-index put spread
Bai, Jennie
;
Goldstein, Robert S.
;
Yang, Fan
- In:
Journal of financial economics
131
(
2019
)
1
,
pp. 186-205
Persistent link: https://www.econbiz.de/10012130889
Saved in:
6
Do idiosyncratic jumps matter?
Kapadia, Nishad
;
Zekhnini, Morad
- In:
Journal of financial economics
131
(
2019
)
3
,
pp. 666-692
Persistent link: https://www.econbiz.de/10012133035
Saved in:
7
An intertemporal CAPM with stochastic volatility
Campbell, John Y.
;
Giglio, Stefano
;
Polk, Christopher
; …
- In:
Journal of financial economics
128
(
2018
)
2
,
pp. 207-233
Persistent link: https://www.econbiz.de/10011971041
Saved in:
8
Quadratic variance swap models
Filipović, Damir
;
Gourier, Elise
;
Mancini, Loriano
- In:
Journal of financial economics
119
(
2016
)
1
,
pp. 44-68
Persistent link: https://www.econbiz.de/10011589703
Saved in:
9
Price and volatility co-jumps
Bandi, F. M.
;
Renò, Roberto
- In:
Journal of financial economics
119
(
2016
)
1
,
pp. 107-146
Persistent link: https://www.econbiz.de/10011589735
Saved in:
10
Analyzing volatility risk and risk premium in option contracts : a new theory
Carr, Peter
;
Wu, Liuren
- In:
Journal of financial economics
120
(
2016
)
1
,
pp. 1-20
Persistent link: https://www.econbiz.de/10011590060
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