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Search: "The journal of derivatives : the official publication of the International Association of Financial Engineers."
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Volatility
Option pricing theory
203
Optionspreistheorie
203
Theorie
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United States
92
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86
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86
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Simon, David P.
3
Carr, Peter
2
Costabile, Massimo
2
Engle, Robert F.
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Figlewski, Stephen
2
Liu, Tianxiang
2
Rebonato, Riccardo
2
Ritchken, Peter H.
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Rosenberg, Joshua V.
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Russo, Emilio
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Wu, Desheng Dash
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Wu, Liuren
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Agca, Senay
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Agrawal, Deepak
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The journal of derivatives : the official publication of the International Association of Financial Engineers
80
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ECONIS (ZBW)
80
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1
Pricing Bermudan variance swaptions using multinomial trees
Zhao, Honglei
;
Chatterjee, Rupak
;
Lonon, Thomas
; …
- In:
The journal of derivatives : the official publication …
26
(
2019
)
3
,
pp. 22-34
Persistent link: https://www.econbiz.de/10012306151
Saved in:
2
Volatility surface calibration to illiquid options
Nagy, László
;
Ormos, Mihály
- In:
The journal of derivatives : the official publication …
26
(
2019
)
3
,
pp. 87-96
Persistent link: https://www.econbiz.de/10012306175
Saved in:
3
A stochastic-volatility model for pricing power variants of exchange options
Xia, Weixuan
- In:
The journal of derivatives : the official publication …
26
(
2019
)
4
,
pp. 113-127
Persistent link: https://www.econbiz.de/10012306204
Saved in:
4
An empirical examination of the relation between the option-implied volatility smile and heterogeneous beliefs
Feng, Shu
;
Pu, Xiaoling
;
Zhang, Yi
- In:
The journal of derivatives : the official publication …
25
(
2018
)
4
,
pp. 36-47
Persistent link: https://www.econbiz.de/10011965383
Saved in:
5
A financially motivated extension of the Heston model for a joint P- and Q-dynamics analysis of variance
Rebonato, Riccardo
;
Ng, Chu Ming
- In:
The journal of derivatives : the official publication …
25
(
2018
)
3
,
pp. 55-80
Persistent link: https://www.econbiz.de/10011941367
Saved in:
6
Volatility aversion in the options market based on news sentiment
Uhl, Matthias
- In:
The journal of derivatives : the official publication …
25
(
2018
)
4
,
pp. 24-35
Persistent link: https://www.econbiz.de/10011965368
Saved in:
7
Implied volatility across geographical markets and asset classes
Velev, Julian P.
;
Payne, Brian C.
;
Trešl, Jiří
; …
- In:
The journal of derivatives : the official publication …
25
(
2018
)
4
,
pp. 7-23
Persistent link: https://www.econbiz.de/10011965366
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8
New approach to estimating VIX truncation errors using corridor variance swaps
Wu, Desheng Dash
;
Liu, Tianxiang
- In:
The journal of derivatives : the official publication …
25
(
2018
)
4
,
pp. 54-70
Persistent link: https://www.econbiz.de/10011968667
Saved in:
9
Implied volatility estimation via l1 trend filtering
Crespo, Pablo
;
Huang, Ta-Cheng
- In:
The journal of derivatives : the official publication …
26
(
2018
)
1
,
pp. 45-66
Persistent link: https://www.econbiz.de/10011968672
Saved in:
10
Curve-fitting method for implied volatility
Wu, Desheng Dash
;
Liu, Tianxiang
- In:
The journal of derivatives : the official publication …
26
(
2018
)
2
,
pp. 19-37
Persistent link: https://www.econbiz.de/10011968684
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