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~isPartOf:"Review of derivatives research"
~subject:"Option pricing theory"
~subject:"Stochastischer Prozess"
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Option pricing theory
Stochastischer Prozess
Volatility
70
Volatilität
70
Optionspreistheorie
49
Option trading
24
Optionsgeschäft
24
Stochastic process
24
Theorie
24
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24
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Wang, Xingchun
3
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Review of derivatives research
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
83
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
60
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
59
Journal of economic dynamics & control
54
Finance research letters
53
Computational economics
52
International journal of financial engineering
51
European journal of operational research : EJOR
46
Econometric reviews
45
Journal of mathematical finance
45
Journal of empirical finance
43
The North American journal of economics and finance : a journal of financial economics studies
43
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42
Research paper series / Swiss Finance Institute
41
Insurance / Mathematics & economics
39
Risks : open access journal
39
Annals of finance
37
Energy economics
37
The journal of derivatives : the official publication of the International Association of Financial Engineers
37
Journal of financial econometrics : official journal of the Society for Financial Econometrics
36
Economics letters
34
Applied economics
33
Journal of financial economics
33
CREATES research paper
31
The European journal of finance
31
Journal of risk and financial management : JRFM
29
Economic modelling
28
International review of economics & finance : IREF
28
NBER working paper series
27
Review of quantitative finance and accounting
27
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Implied volatility surfaces : a comprehensive analysis using half a billion option prices
Ulrich, Maxim
;
Zimmer, Lukas
;
Merbecks, Constantin
- In:
Review of derivatives research
26
(
2023
)
2/3
,
pp. 135-169
Persistent link: https://www.econbiz.de/10014423871
Saved in:
2
Hedging cryptocurrency options
Matic, Jovanka Lili
;
Packham, Natalie
;
Härdle, Wolfgang
- In:
Review of derivatives research
26
(
2023
)
1
,
pp. 91-133
Persistent link: https://www.econbiz.de/10014266383
Saved in:
3
Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities
Muck, Matthias
- In:
Review of derivatives research
25
(
2022
)
3
,
pp. 293-314
Persistent link: https://www.econbiz.de/10013457626
Saved in:
4
Asymptotic extrapolation of model-free implied variance : exploring structural underestimation in the VIX Index
Stahl, Philip
- In:
Review of derivatives research
25
(
2022
)
3
,
pp. 315-339
Persistent link: https://www.econbiz.de/10013457627
Saved in:
5
The impact of the leverage effect on the implied volatility smile : evidence for the German option market
Rathgeber, A. W.
;
Stadler, Johannes
;
Stöckl, S.
- In:
Review of derivatives research
24
(
2021
)
2
,
pp. 95-133
Persistent link: https://www.econbiz.de/10012549093
Saved in:
6
Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model
Godin, Frédéric
;
Eghbalzadeh, Ramin
;
Gaillardetz, Patrice
- In:
Review of derivatives research
26
(
2023
)
2/3
,
pp. 171-206
Persistent link: https://www.econbiz.de/10014423872
Saved in:
7
Oil futures volatility smiles in 2020 : why the Bachelier smile is flatter
Galeeva, Roza
;
Ronn, Ehud I.
- In:
Review of derivatives research
25
(
2022
)
2
,
pp. 173-187
Persistent link: https://www.econbiz.de/10013457610
Saved in:
8
Valuing fade-in options with default risk in Heston-Nandi GARCH models
Wang, Xingchun
- In:
Review of derivatives research
25
(
2022
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10013191374
Saved in:
9
Pricing vulnerable options with jump risk and liquidity risk
Wang, Xingchun
- In:
Review of derivatives research
24
(
2021
)
3
,
pp. 243-260
Persistent link: https://www.econbiz.de/10012659671
Saved in:
10
Bayesian estimation of the stochastic volatility model with double exponential jumps
Li, Jinzhi
- In:
Review of derivatives research
24
(
2021
)
2
,
pp. 157-172
Persistent link: https://www.econbiz.de/10012549106
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