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~isPartOf:"Applied economics"
~isPartOf:"Quantitative finance"
~isPartOf:"The European journal of finance"
~subject:"Option pricing"
~subject:"Volatilität"
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Option pricing
Volatilität
Option pricing theory
312
Optionspreistheorie
312
CAPM
226
Theorie
174
Theory
174
Volatility
169
Stochastic process
144
Stochastischer Prozess
144
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117
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117
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108
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107
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93
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93
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89
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Derivat
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Bayer, Christian
4
Felpel, Mike
3
Gatheral, Jim
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Horvath, Blanka Nora
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Kim, Jeong-Hoon
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3
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3
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3
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2
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2
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2
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2
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2
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2
Cui, Zhenyu
2
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2
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2
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2
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2
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2
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2
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2
Pirjol, Dan
2
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2
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2
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Applied economics
Quantitative finance
The European journal of finance
International journal of theoretical and applied finance
179
Journal of banking & finance
115
Applied mathematical finance
85
The journal of futures markets
84
Finance research letters
77
Journal of financial economics
73
Mathematical finance : an international journal of mathematics, statistics and financial theory
72
Journal of econometrics
67
Review of derivatives research
66
The journal of computational finance
65
The North American journal of economics and finance : a journal of financial economics studies
61
Computational economics
54
International journal of financial engineering
54
European journal of operational research : EJOR
52
Finance and stochastics
50
International review of economics & finance : IREF
50
Journal of economic dynamics & control
50
Working paper / National Bureau of Economic Research, Inc.
49
NBER working paper series
48
Research paper series / Swiss Finance Institute
47
Energy economics
46
Journal of empirical finance
44
The journal of derivatives : the official publication of the International Association of Financial Engineers
42
International review of financial analysis
41
Economic modelling
40
NBER Working Paper
39
Physica A: Statistical Mechanics and its Applications
39
Journal of mathematical finance
37
Management science : journal of the Institute for Operations Research and the Management Sciences
36
Annals of finance
34
Insurance / Mathematics & economics
31
Review of quantitative finance and accounting
31
Swiss Finance Institute Research Paper
30
The journal of finance : the journal of the American Finance Association
29
The review of financial studies
29
Risks : open access journal
28
Journal of risk and financial management : JRFM
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ECONIS (ZBW)
181
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1
No arbitrage global parametrization for the eSSVI volatility surface
Mingone, A.
- In:
Quantitative finance
22
(
2022
)
12
,
pp. 2205-2217
Persistent link: https://www.econbiz.de/10013490938
Saved in:
2
Can volatility solve the naive portfolio puzzle?
Curran, Michael
;
O'Sullivan, Patrick
;
Zalla, Ryan
- In:
Quantitative finance
23
(
2023
)
11
,
pp. 1545-1560
Persistent link: https://www.econbiz.de/10014419177
Saved in:
3
A subdiffusive stochastic volatility jump model
Dupret, Jean-Loup
;
Hainaut, Donatien
- In:
Quantitative finance
23
(
2023
)
6
,
pp. 979-1002
Persistent link: https://www.econbiz.de/10014304413
Saved in:
4
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:
5
Option
pricing
in an investment risk-return setting
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
;
Shirvani, …
- In:
Applied economics
54
(
2022
)
14
,
pp. 1625-1638
Persistent link: https://www.econbiz.de/10012875529
Saved in:
6
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:
7
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:
8
Mind the cap!-constrained portfolio optimisation in Heston's stochastic volatility model
Escobar, Marcos
;
Kschonnek, M.
;
Zagst, Rudi
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1793-1813
Persistent link: https://www.econbiz.de/10014452471
Saved in:
9
The
pricing
of unexpected volatility in the currency market
Lu, Wenna
;
Copeland, Laurence S.
;
Xu, Yongdeng
- In:
The European journal of finance
29
(
2023
)
17
,
pp. 2032-2046
Persistent link: https://www.econbiz.de/10014388546
Saved in:
10
Option
pricing
under stochastic volatility models with latent volatility
Bégin, Jean-François
;
Godin, Frédéric
- In:
Quantitative finance
23
(
2023
)
7/8
,
pp. 1079-1097
Persistent link: https://www.econbiz.de/10014321665
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