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~isPartOf:"Annals of financial economics"
~isPartOf:"Finance and stochastics"
~isPartOf:"International journal of theoretical and applied finance : IJTAF"
~subject:"Volatility"
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Search: subject_exact:"Black-Scholes-Modell"
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Volatility
Black-Scholes model
40
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Option pricing theory
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Optionspreistheorie
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Theorie
21
Theory
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Markov-Kette
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Pirjol, Dan
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1
Hobson, David G.
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Lee, Roger
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Nutz, Marcel
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Annals of financial economics
Finance and stochastics
International journal of theoretical and applied finance : IJTAF
International journal of theoretical and applied finance
38
Applied mathematical finance
18
The journal of computational finance
15
International journal of financial engineering
14
Quantitative finance
12
Mathematical finance : an international journal of mathematics, statistics and financial theory
11
Review of derivatives research
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Journal of banking & finance
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The journal of futures markets
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Asia-Pacific financial markets
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European journal of operational research : EJOR
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Journal of econometrics
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The European journal of finance
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Applied financial economics
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Decisions in economics and finance : DEF ; a journal of applied mathematics
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Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
4
Research paper series / Swiss Finance Institute
4
Review of quantitative finance and accounting
4
The North American journal of economics and finance : a journal of financial economics studies
4
Finanzmarkt und Portfolio-Management
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International review of financial analysis
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Journal of derivatives & hedge funds
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Journal of economic dynamics & control
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Journal of emerging market finance
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Journal of empirical finance
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Journal of financial economics
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Journal of risk and financial management : JRFM
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Mathematics and financial economics
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Risks : open access journal
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The review of financial studies
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1
Subleading correction to the Asian options volatility in the black-scholes model
Pirjol, Dan
- In:
International journal of theoretical and applied …
26
(
2023
)
2/3
,
pp. 1-19
Persistent link: https://www.econbiz.de/10014365668
Saved in:
2
Short-maturity asymptotics for option prices with interest rate effects
Pirjol, Dan
;
Zhu, Lingjiong
- In:
International journal of theoretical and applied …
26
(
2023
)
6/7
,
pp. 1-28
Persistent link: https://www.econbiz.de/10014500189
Saved in:
3
Approximate option pricing formula for Barndorff-Nielsen and Shephard model
Arai, Takuji
- In:
International journal of theoretical and applied …
25
(
2022
)
2
,
pp. 1-26
Persistent link: https://www.econbiz.de/10013189954
Saved in:
4
A novel method for arbitrage-free option surface construction
Orosi, Greg
- In:
Annals of financial economics
14
(
2019
)
4
,
pp. 1-14
Persistent link: https://www.econbiz.de/10012226655
Saved in:
5
Extreme at-the-money skew in a local volatility model
Pigato, Paolo
- In:
Finance and stochastics
23
(
2019
)
4
,
pp. 827-859
Persistent link: https://www.econbiz.de/10012114660
Saved in:
6
A risk-neutral equilibrium leading to uncertain volatility pricing
Muhle-Karbe, Johannes
;
Nutz, Marcel
- In:
Finance and stochastics
22
(
2018
)
2
,
pp. 281-295
Persistent link: https://www.econbiz.de/10011945712
Saved in:
7
Forward equations for option prices in semimartingale models
Bentata, Amel
;
Cont, Rama
- In:
Finance and stochastics
19
(
2015
)
3
,
pp. 617-651
Persistent link: https://www.econbiz.de/10011418317
Saved in:
8
Asymptotics of implied volatility to arbitrary order
Gao, Kun
;
Lee, Roger
- In:
Finance and stochastics
18
(
2014
)
2
,
pp. 349-392
Persistent link: https://www.econbiz.de/10010340727
Saved in:
9
Are real options "real"? : isolating uncertainty from risk in real options analysis
So, Leh-Chyan
- In:
Annals of financial economics
9
(
2014
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10010489151
Saved in:
10
Comparison results for stochastic volatility models via coupling
Hobson, David G.
- In:
Finance and stochastics
14
(
2010
)
1
,
pp. 129-152
Persistent link: https://www.econbiz.de/10003924831
Saved in:
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