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~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~subject:"GARCH"
~subject:"Volatilität"
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Search: "Option pricing theory"
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GARCH
Volatilität
Option pricing theory
83
Optionspreistheorie
83
Volatility
38
Option trading
36
Optionsgeschäft
36
Stochastic process
32
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32
Derivat
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Labuschagne, Coenraad C. A.
3
Huang, Hung-Hsi
2
Li, Shaoyu
2
Lin, Shih-kuei
2
Lin, Shin-Hung
2
Ma, Jingtang
2
McAleer, Michael
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Wang, Xingchun
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Bao, Ying
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Bian, Zhicun
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Bianconi, Marcelo
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Chen, Carl R.
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1
Chen, Naiwei
1
Chen, Ting-Fu
1
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1
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1
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Cummins, Mark
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1
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1
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The North American journal of economics and finance : a journal of financial economics studies
International journal of theoretical and applied finance
156
Quantitative finance
100
Journal of banking & finance
75
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
44
European journal of operational research : EJOR
40
Finance and stochastics
40
Journal of econometrics
39
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
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Journal of financial economics
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Review of quantitative finance and accounting
26
Annals of finance
24
International review of economics & finance : IREF
23
The European journal of finance
22
Applied economics
21
Energy economics
20
Decisions in economics and finance : DEF ; a journal of applied mathematics
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
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Asia-Pacific financial markets
16
Economic modelling
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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
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Mathematics and financial economics
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1
Analytically pricing variance and volatility swaps under a Markov-modulated model with liquidity risks
He, Xin-Jiang
;
Lin, Sha
- In:
The North American journal of economics and finance : a …
67
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014483995
Saved in:
2
Robust optimal reinsurance-investment for αmaxmin mean-variance utility under Heston's SV model
Chen, Dengsheng
;
He, Yong
;
Li, Ziqiang
- In:
The North American journal of economics and finance : a …
67
(
2023
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014484002
Saved in:
3
Psychological barriers and option pricing in a local volatility model
Li, Dan
;
Liu, Lixin
;
Xu, Guangli
- In:
The North American journal of economics and finance : a …
64
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014246900
Saved in:
4
Jump dynamics, spillover effect and option valuation
Pan, Zhiyuan
;
Shuai, Jiangyu
;
Liang, Zhilei
;
Sun, Xianchao
- In:
The North American journal of economics and finance : a …
62
(
2022
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013534098
Saved in:
5
Arbitrage-free conditions for implied volatility surface by Delta
Wang, Ximei
;
Zhao, Yanlong
;
Bao, Ying
- In:
The North American journal of economics and finance : a …
48
(
2019
),
pp. 819-834
Persistent link: https://www.econbiz.de/10012120342
Saved in:
6
Carbon option price forecasting based on modified fractional Brownian motion optimized by GARCH model in carbon emission trading
Liu, Zhibin
;
Huang, Shang-Ho
- In:
The North American journal of economics and finance : a …
55
(
2021
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012667720
Saved in:
7
Consistent pricing of VIX options with the Hawkes jump-diffusion model
Jing, Bo
;
Li, Shenghong
;
Ma, Yong
- In:
The North American journal of economics and finance : a …
56
(
2021
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012821987
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8
Valuation of options on the maximum of two prices with default risk under GARCH models
Wang, Xingchun
- In:
The North American journal of economics and finance : a …
57
(
2021
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012822187
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9
A closed-form exact solution for pricing fixed-income variance swaps with affine-jump model
Li, Shaoyu
;
Zhang, Yuanyuan
;
Zhu, Chunhui
- In:
The North American journal of economics and finance : a …
58
(
2021
),
pp. 1-19
Persistent link: https://www.econbiz.de/10013188207
Saved in:
10
Impact of volatility jumps in a mean-reverting model : derivative pricing and empirical evidence
Chiu, Hsin-Yu
;
Chen, Ting-Fu
- In:
The North American journal of economics and finance : a …
52
(
2020
),
pp. 1-22
Persistent link: https://www.econbiz.de/10012656907
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