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~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~subject:"Hedging"
~subject:"Volatilität"
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Search: "Option pricing theory"
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Hedging
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Option pricing theory
83
Optionspreistheorie
83
Volatility
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Option trading
36
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36
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Labuschagne, Coenraad C. A.
3
Li, Shaoyu
2
Lin, Shih-kuei
2
Ma, Jingtang
2
McAleer, Michael
2
Wang, Xingchun
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Bao, Ying
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Barbi, Massimiliano
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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
207
Quantitative finance
120
Applied mathematical finance
91
The journal of futures markets
91
Journal of banking & finance
90
Mathematical finance : an international journal of mathematics, statistics and financial theory
90
The journal of computational finance
73
Finance and stochastics
66
Review of derivatives research
59
The journal of derivatives : the official publication of the International Association of Financial Engineers
52
International journal of financial engineering
51
European journal of operational research : EJOR
47
Finance research letters
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Journal of economic dynamics & control
45
Insurance / Mathematics & economics
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Journal of econometrics
40
Computational economics
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Journal of mathematical finance
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Risks : open access journal
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Research paper series / Swiss Finance Institute
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The European journal of finance
30
Journal of financial economics
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Annals of finance
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Energy economics
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Review of quantitative finance and accounting
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
25
International review of economics & finance : IREF
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Applied economics
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Journal of risk and financial management : JRFM
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Decisions in economics and finance : DEF ; a journal of applied mathematics
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Swiss Finance Institute Research Paper
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Asia-Pacific financial markets
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Economic modelling
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International review of financial analysis
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Journal of empirical finance
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Discussion paper / Tinbergen Institute
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Mathematics and financial economics
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Mathematical finance : an international journal of mathematics, statistics and financial economics
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ECONIS (ZBW)
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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
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6
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
Saved in:
7
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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8
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
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9
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
Saved in:
10
Valuing spread options with counterparty risk and jump risk
Li, Zelei
;
Wang, Xingchun
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012665103
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