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~isPartOf:"Quantitative finance"
~subject:"Optionspreistheorie"
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Optionspreistheorie
Volatility
183
Volatilität
183
Option pricing theory
100
Stochastic process
84
Stochastischer Prozess
84
Theorie
46
Theory
46
Estimation
34
Schätzung
33
Börsenkurs
32
Share price
32
Forecasting model
29
Prognoseverfahren
29
Stochastic volatility
28
Time series analysis
24
Zeitreihenanalyse
24
ARCH model
23
ARCH-Modell
23
Capital income
22
Kapitaleinkommen
22
Option trading
21
Optionsgeschäft
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Implied volatility
20
Derivat
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Derivative
19
Option pricing
19
Estimation theory
15
Portfolio selection
15
Portfolio-Management
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Rough volatility
15
Schätztheorie
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Monte Carlo simulation
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Monte-Carlo-Simulation
12
Statistical distribution
12
Statistische Verteilung
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Black-Scholes model
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Felpel, Mike
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Gatheral, Jim
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Horvath, Blanka Nora
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Jacquier, Antoine
3
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McWalter, Thomas A.
3
Radoičić, Radoš
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2
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2
Garces, Len Patrick Dominic M.
2
Gudkov, Nikolay
2
Gulisashvili, Archil
2
Guyon, Julien
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Hainaut, Donatien
2
Kim, Jeong-Hoon
2
Martini, Claude
2
Muguruza, Aitor
2
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Rosenbaum, Mathieu
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2
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1
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1
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1
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1
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Quantitative finance
International journal of theoretical and applied finance
156
Journal of banking & finance
74
Applied mathematical finance
72
The journal of futures markets
71
The journal of computational finance
64
Mathematical finance : an international journal of mathematics, statistics and financial theory
60
Review of derivatives research
49
International journal of financial engineering
47
Finance research letters
43
European journal of operational research : EJOR
40
Finance and stochastics
40
Journal of econometrics
39
The North American journal of economics and finance : a journal of financial economics studies
38
The journal of derivatives : the official publication of the International Association of Financial Engineers
36
Computational economics
35
Journal of economic dynamics & control
35
Journal of mathematical finance
35
Risks : open access journal
28
Research paper series / Swiss Finance Institute
27
Insurance / Mathematics & economics
26
Journal of financial economics
26
Review of quantitative finance and accounting
26
Annals of finance
24
International review of economics & finance : IREF
22
The European journal of finance
22
Applied economics
21
Decisions in economics and finance : DEF ; a journal of applied mathematics
19
Energy economics
19
Management science : journal of the Institute for Operations Research and the Management Sciences
19
Journal of empirical finance
18
Journal of risk and financial management : JRFM
18
Asia-Pacific financial markets
16
Economic modelling
16
International review of financial analysis
16
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
16
Journal of financial and quantitative analysis : JFQA
15
Asia-Pacific journal of financial studies
14
Discussion paper / Tinbergen Institute
14
Mathematics and financial economics
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Principled pasting : attaching tails to risk-neutral probability density functions recovered from option prices
Bollinger, Thomas R.
;
Melick, William Robert
;
Thomas, …
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1751-1768
Persistent link: https://www.econbiz.de/10014452468
Saved in:
2
Functional quantization of rough volatility and applications to volatility derivatives
Bonesini, O.
;
Callegaro, Giulia
;
Jacquier, Antoine
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1769-1792
Persistent link: https://www.econbiz.de/10014452470
Saved in:
3
VIX pricing in the rBergomi model under a regime switching change of measure
Guerreiro, Henrique
;
Guerra, João
- In:
Quantitative finance
23
(
2023
)
5
,
pp. 721-738
Persistent link: https://www.econbiz.de/10014304326
Saved in:
4
Delta hedging bitcoin options with a smile
Alexander, Carol
;
Imeraj, Arben
- In:
Quantitative finance
23
(
2023
)
5
,
pp. 799-817
Persistent link: https://www.econbiz.de/10014304354
Saved in:
5
Empirical deep hedging
Mikkilä, Oskari
;
Kanniainen, Juho
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 111-122
Persistent link: https://www.econbiz.de/10013490958
Saved in:
6
Short-dated smile under rough volatility : asymptotics and numerics
Friz, Peter K.
;
Gassiat, Paul
;
Pigato, Paolo
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 463-480
Persistent link: https://www.econbiz.de/10013167770
Saved in:
7
Pricing electricity day-ahead cap futures with multifactor skew-t densities
Matsumoto, Takuji
;
Bunn, Derek W.
;
Yamada, Yuji
- In:
Quantitative finance
22
(
2022
)
5
,
pp. 835-860
Persistent link: https://www.econbiz.de/10013367864
Saved in:
8
Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets
Rømer, Sigurd Emil
- In:
Quantitative finance
22
(
2022
)
10
,
pp. 1805-1838
Persistent link: https://www.econbiz.de/10013367949
Saved in:
9
Bitcoin : jumps, convenience yields, and option prices
Hilliard, Jimmy E.
;
Ngo, Julie T. D.
- In:
Quantitative finance
22
(
2022
)
11
,
pp. 2079-2091
Persistent link: https://www.econbiz.de/10013490923
Saved in:
10
Smiles in delta
Mingone, Arianna
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1713-1728
Persistent link: https://www.econbiz.de/10014452438
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