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~isPartOf:"Review of derivatives research"
~subject:"Option pricing theory"
~subject:"USA"
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Option pricing theory
USA
Volatility
70
Volatilität
70
Optionspreistheorie
49
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24
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24
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24
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Wang, Xingchun
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Review of derivatives research
The journal of futures markets
193
Working paper / National Bureau of Economic Research, Inc.
178
International journal of theoretical and applied finance
163
Journal of banking & finance
129
Quantitative finance
102
The review of financial studies
81
The North American journal of economics and finance : a journal of financial economics studies
80
Applied mathematical finance
72
Discussion paper / Centre for Economic Policy Research
71
Finance research letters
70
The journal of computational finance
66
The journal of finance : the journal of the American Finance Association
64
Energy economics
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Mathematical finance : an international journal of mathematics, statistics and financial theory
62
Journal of econometrics
61
Applied financial economics
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57
Journal of empirical finance
54
Journal of financial economics
53
The journal of derivatives : the official publication of the International Association of Financial Engineers
53
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52
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
52
International review of financial analysis
51
International review of economics & finance : IREF
50
Working paper
49
International journal of financial engineering
47
Economic modelling
45
European journal of operational research : EJOR
41
Journal of economic dynamics & control
41
Finance and stochastics
40
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
40
Research paper series / Swiss Finance Institute
40
Review of quantitative finance and accounting
39
Computational economics
38
Economics letters
37
Journal of international financial markets, institutions & money
36
Journal of mathematical finance
35
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ECONIS (ZBW)
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1
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
Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes
Liang, Gechun
;
Wang, Xingchun
- In:
Review of derivatives research
24
(
2021
)
1
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012498465
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