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isPartOf:"Journal of econometrics"
~isPartOf:"IMF working papers"
~isPartOf:"International journal of finance & economics : IJFE"
~subject:"Option pricing theory"
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Search: subject_exact:"Volatility"
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Option pricing theory
Volatility
608
Volatilität
607
Theorie
184
Theory
184
Estimation
160
Schätzung
160
Estimation theory
120
Schätztheorie
120
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113
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113
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Todorov, Viktor
5
Xiu, Dacheng
4
Tauchen, George Eugene
3
Aït-Sahalia, Yacine
2
Bollerslev, Tim
2
Bondarenko, Oleg
2
Gallant, A. Ronald
2
Park, Yang-Ho
2
Wang, Bin
2
Zheng, Xu
2
Amengual, Dante
1
Andersen, Torben
1
Augustyniak, Maciej
1
Azhar Mohamad
1
Badescu, Alexandru
1
Bakshi, Gurdip S.
1
Baldovin, Fulvio
1
Bandi, Federico M.
1
Barone-Adesi, Giovanni
1
Bates, David S.
1
Broadie, Mark
1
Bégin, Jean-François
1
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1
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1
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1
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1
Chen, Qiang
1
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1
Chen, Zhiwu
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Cheng, Ai-ru Meg
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1
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1
Fearnley, Marcus
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Fengler, Matthias R.
1
Fisher, Adlai
1
Forbes, Catherine Scipione
1
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1
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Journal of econometrics
IMF working papers
International journal of finance & economics : IJFE
International journal of theoretical and applied finance
156
Quantitative finance
100
Journal of banking & finance
74
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
43
European journal of operational research : EJOR
40
Finance and stochastics
40
The North American journal of economics and finance : a journal of financial economics studies
38
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
26
Journal of financial economics
26
Review of quantitative finance and accounting
26
Annals of finance
24
International review of economics & finance : IREF
22
The European journal of finance
22
Applied economics
21
Decisions in economics and finance : DEF ; a journal of applied mathematics
19
Energy economics
19
Management science : journal of the Institute for Operations Research and the Management Sciences
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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
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Asia-Pacific journal of financial studies
14
Discussion paper / Tinbergen Institute
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Mathematics and financial economics
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ECONIS (ZBW)
44
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1
Joint calibration of S&P 500 and VIX options under local stochastic volatility models
Zhou, Zhiqiang
;
Xu, Wei
;
Rubtsov, Alexey
- In:
International journal of finance & economics : IJFE
29
(
2024
)
1
,
pp. 273-310
Persistent link: https://www.econbiz.de/10014469009
Saved in:
2
Bias reduction in spot volatility estimation from options
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 53-81
Persistent link: https://www.econbiz.de/10014364661
Saved in:
3
A discrete-time hedging framework with multiple factors and fat tails : on what matters
Augustyniak, Maciej
;
Badescu, Alexandru
;
Bégin, …
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 416-444
Persistent link: https://www.econbiz.de/10014339997
Saved in:
4
Predictive power of implied volatility of structured call warrants : evidence from Singapore
Najmi Ismail Murad Samsudin
;
Azhar Mohamad
;
Imtiaz …
- In:
International journal of finance & economics : IJFE
27
(
2022
)
4
,
pp. 4412-4430
Persistent link: https://www.econbiz.de/10013461338
Saved in:
5
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
Saved in:
6
Testing for the presence of jump components in jump diffusion models
Wang, Bin
;
Zheng, Xu
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 483-509
Persistent link: https://www.econbiz.de/10013464085
Saved in:
7
Closed-form implied volatility surfaces for stochastic volatility models with jumps
Aït-Sahalia, Yacine
;
Li, Chenxu
;
Li, Chen Xu
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 364-392
Persistent link: https://www.econbiz.de/10012619431
Saved in:
8
Nonparametric estimation of jump diffusion models
Park, Joon Y.
;
Wang, Bin
- In:
Journal of econometrics
222
(
2021
)
1,3
,
pp. 688-715
Persistent link: https://www.econbiz.de/10012619778
Saved in:
9
Nonparametric filtering of conditional state-price densities
Dalderop, Jeroen
- In:
Journal of econometrics
214
(
2020
)
2
,
pp. 295-325
Persistent link: https://www.econbiz.de/10012438391
Saved in:
10
Variance disparity and market frictions
Park, Yang-Ho
- In:
Journal of econometrics
214
(
2020
)
2
,
pp. 326-348
Persistent link: https://www.econbiz.de/10012438393
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