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isPartOf:"Journal of econometrics"
~isPartOf:"International journal of finance & economics : IJFE"
~isPartOf:"NBER working paper series"
~isPartOf:"Quantitative finance"
~subject:"Optionspreistheorie"
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Search: subject_exact:"Volatility"
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Optionspreistheorie
Volatility
1,127
Volatilität
1,125
Theorie
375
Theory
375
Börsenkurs
261
Share price
261
Estimation
257
Schätzung
256
Stochastic process
213
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213
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196
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154
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Todorov, Viktor
5
Xiu, Dacheng
4
Bates, David S.
3
Bondarenko, Oleg
3
Felpel, Mike
3
Gatheral, Jim
3
Horvath, Blanka Nora
3
Jacquier, Antoine
3
Kienitz, Jörg
3
McWalter, Thomas A.
3
Radoičić, Radoš
3
Tauchen, George Eugene
3
Aguilar, Jean-Philippe
2
Alòs, Elisa
2
Aït-Sahalia, Yacine
2
Bayer, Christian
2
Bollerslev, Tim
2
Bégin, Jean-François
2
Chatterjee, Rupak
2
Cheang, Gerald H. L.
2
De Marco, Stefano
2
Friz, Peter K.
2
Gallant, A. Ronald
2
Garces, Len Patrick Dominic M.
2
Gudkov, Nikolay
2
Gulisashvili, Archil
2
Guyon, Julien
2
Hainaut, Donatien
2
Kim, Jeong-Hoon
2
Kim, Young Shin
2
Martini, Claude
2
Muguruza, Aitor
2
Park, Yang-Ho
2
Pirjol, Dan
2
Rosenbaum, Mathieu
2
Schoutens, Wim
2
Tudor, Sebastian F.
2
Wang, Bin
2
Yang, Nian
2
Zheng, Xu
2
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National Bureau of Economic Research
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Journal of econometrics
International journal of finance & economics : IJFE
NBER working paper series
Quantitative finance
International journal of theoretical and applied finance
156
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
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36
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35
Journal of economic dynamics & control
35
Journal of mathematical finance
35
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28
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27
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26
Journal of financial economics
26
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26
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24
International review of economics & finance : IREF
22
The European journal of finance
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21
Decisions in economics and finance : DEF ; a journal of applied mathematics
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18
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International review of financial analysis
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Asia-Pacific journal of financial studies
14
Discussion paper / Tinbergen Institute
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ECONIS (ZBW)
154
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1
Principled pasting : attaching tails to risk-neutral probability density functions recovered from option prices
Bollinger, Thomas R.
;
Melick, William Robert
;
Thomas, …
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1751-1768
Persistent link: https://www.econbiz.de/10014452468
Saved in:
2
Functional quantization of rough volatility and applications to volatility derivatives
Bonesini, O.
;
Callegaro, Giulia
;
Jacquier, Antoine
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1769-1792
Persistent link: https://www.econbiz.de/10014452470
Saved in:
3
VIX pricing in the rBergomi model under a regime switching change of measure
Guerreiro, Henrique
;
Guerra, João
- In:
Quantitative finance
23
(
2023
)
5
,
pp. 721-738
Persistent link: https://www.econbiz.de/10014304326
Saved in:
4
Delta hedging bitcoin options with a smile
Alexander, Carol
;
Imeraj, Arben
- In:
Quantitative finance
23
(
2023
)
5
,
pp. 799-817
Persistent link: https://www.econbiz.de/10014304354
Saved in:
5
Empirical deep hedging
Mikkilä, Oskari
;
Kanniainen, Juho
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 111-122
Persistent link: https://www.econbiz.de/10013490958
Saved in:
6
Short-dated smile under rough volatility : asymptotics and numerics
Friz, Peter K.
;
Gassiat, Paul
;
Pigato, Paolo
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 463-480
Persistent link: https://www.econbiz.de/10013167770
Saved in:
7
Pricing electricity day-ahead cap futures with multifactor skew-t densities
Matsumoto, Takuji
;
Bunn, Derek W.
;
Yamada, Yuji
- In:
Quantitative finance
22
(
2022
)
5
,
pp. 835-860
Persistent link: https://www.econbiz.de/10013367864
Saved in:
8
Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets
Rømer, Sigurd Emil
- In:
Quantitative finance
22
(
2022
)
10
,
pp. 1805-1838
Persistent link: https://www.econbiz.de/10013367949
Saved in:
9
Bitcoin : jumps, convenience yields, and option prices
Hilliard, Jimmy E.
;
Ngo, Julie T. D.
- In:
Quantitative finance
22
(
2022
)
11
,
pp. 2079-2091
Persistent link: https://www.econbiz.de/10013490923
Saved in:
10
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
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