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~isPartOf:"Applied economics"
~isPartOf:"Applied financial economics"
~subject:"Option pricing theory"
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Option pricing theory
Share
Option trading
40
Optionsgeschäft
40
Optionspreistheorie
22
Volatility
21
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21
Black-Scholes model
7
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Elyasiani, Elyas
2
Gehricke, Sebastian A.
2
Liao, Szu-Lang
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Muzzioli, Silvia
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Zhang, Jin E.
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Allen, David E.
1
Aziz, Saqib
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Applied economics
Applied financial economics
International journal of theoretical and applied finance
83
The journal of futures markets
79
Review of derivatives research
60
The journal of computational finance
59
Applied mathematical finance
51
Quantitative finance
49
The journal of derivatives : the official publication of the International Association of Financial Engineers
48
Journal of banking & finance
43
Finance research letters
40
Mathematical finance : an international journal of mathematics, statistics and financial theory
39
The North American journal of economics and finance : a journal of financial economics studies
38
Journal of economic dynamics & control
37
International journal of financial engineering
31
Finance and stochastics
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Computational economics
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European journal of operational research : EJOR
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International review of economics & finance : IREF
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18
Risks : open access journal
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Review of quantitative finance and accounting
17
The European journal of finance
17
The journal of derivatives : JOD
16
Economic modelling
15
Insurance / Mathematics & economics
15
Swiss Finance Institute Research Paper
14
Journal of risk and financial management : JRFM
13
Annals of finance
12
Decisions in economics and finance : DEF ; a journal of applied mathematics
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Journal of financial markets
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Energy economics
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International review of financial analysis
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Journal of derivatives & hedge funds
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ECONIS (ZBW)
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1
Heterogeneous trading of option implied volatility
Li, Xiaoping
;
Zhou, Chunyang
;
Huang, Wei
- In:
Applied economics
55
(
2023
)
9
,
pp. 990-998
Persistent link: https://www.econbiz.de/10013498968
Saved in:
2
The power of deterministic option-implied trees in pricing European options
Elyasiani, Elyas
;
Muzzioli, Silvia
- In:
Applied economics
54
(
2022
)
22
,
pp. 2596-2609
Persistent link: https://www.econbiz.de/10013171107
Saved in:
3
The Bitcoin options market : a first look at pricing and risk
Jalan, Akanksha
;
Matkovskyy, Roman
;
Aziz, Saqib
- In:
Applied economics
53
(
2021
)
17
,
pp. 2026-2041
Persistent link: https://www.econbiz.de/10012500934
Saved in:
4
The implied volatility smirk in SPY options
Guo, Wei
;
Gehricke, Sebastian A.
;
Ruan, Xinfeng
;
Zhang, …
- In:
Applied economics
53
(
2021
)
23
,
pp. 2671-2692
Persistent link: https://www.econbiz.de/10012501393
Saved in:
5
Analytic formula for option margin with liquidity costs under dynamic delta hedging
Lee, Kyungsub
;
Seo, Byoung Ki
- In:
Applied economics
53
(
2021
)
29
,
pp. 3391-3407
Persistent link: https://www.econbiz.de/10012589463
Saved in:
6
Insurer acquisition in a narrow-synergy structure and policyholder protection under capital regulation
Lin, Jyh-horng
;
Chen, Shi
;
Huang, Fu-Wei
- In:
Applied economics
53
(
2021
)
32
,
pp. 3679-3693
Persistent link: https://www.econbiz.de/10012589532
Saved in:
7
The implied volatility smirk in the VXX options market
Gehricke, Sebastian A.
;
Zhang, Jin E.
- In:
Applied economics
52
(
2020
)
8
,
pp. 769-788
Persistent link: https://www.econbiz.de/10012197465
Saved in:
8
Which volatility model for option valuation in China? : empirical evidence from SSE 50 ETF options
Huang, Zhuo
;
Tong, Chen
;
Wang, Tianyi
- In:
Applied economics
52
(
2020
)
17
,
pp. 1866-1880
Persistent link: https://www.econbiz.de/10012197620
Saved in:
9
The use of option prices to assess the skewness risk premium
Elyasiani, Elyas
;
Gambarelli, Luca
;
Muzzioli, Silvia
- In:
Applied economics
52
(
2020
)
55
,
pp. 6057-6074
Persistent link: https://www.econbiz.de/10012308429
Saved in:
10
Option implied beta and option return
Ze-To, Samuel Yau Man
- In:
Applied economics
50
(
2018
)
2
,
pp. 128-142
Persistent link: https://www.econbiz.de/10011845923
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