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~isPartOf:"Review of derivatives research"
~subject:"Option pricing theory"
~subject:"Volatilität"
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Option pricing theory
Volatilität
Volatility
70
Optionspreistheorie
49
Option trading
24
Optionsgeschäft
24
Stochastic process
24
Stochastischer Prozess
24
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24
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Wang, Xingchun
3
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2
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2
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2
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Review of derivatives research
Energy economics
598
Finance research letters
514
NBER working paper series
483
Working paper / National Bureau of Economic Research, Inc.
467
NBER Working Paper
416
International review of financial analysis
398
Applied economics
376
Journal of banking & finance
374
The journal of futures markets
350
International review of economics & finance : IREF
338
Economic modelling
336
The North American journal of economics and finance : a journal of financial economics studies
324
Journal of econometrics
321
Applied financial economics
265
Journal of empirical finance
260
Applied economics letters
257
Research in international business and finance
253
Working paper
248
Economics letters
246
International journal of theoretical and applied finance
245
Discussion paper / Centre for Economic Policy Research
240
Journal of international financial markets, institutions & money
235
Journal of international money and finance
221
Journal of risk and financial management : JRFM
197
Discussion paper / Tinbergen Institute
195
Journal of financial economics
184
Quantitative finance
183
CESifo working papers
170
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
169
Pacific-Basin finance journal
165
International Journal of Energy Economics and Policy : IJEEP
160
The European journal of finance
152
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
150
IMF working papers
147
Journal of economic dynamics & control
146
International journal of forecasting
140
International journal of finance & economics : IJFE
139
Journal of forecasting
131
The review of financial studies
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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
Idiosyncratic volatility, option-based measures of informed trading, and investor attention
Mohrschladt, Hannes
;
Schneider, Judith C.
- In:
Review of derivatives research
24
(
2021
)
3
,
pp. 197-220
Persistent link: https://www.econbiz.de/10012659668
Saved in:
6
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:
7
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:
8
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:
9
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:
10
Economic policy uncertainty and volatility of treasury futures
Zhang, Maojun
;
Zhao, Yang
- In:
Review of derivatives research
25
(
2022
)
1
,
pp. 93-107
Persistent link: https://www.econbiz.de/10013191386
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