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~isPartOf:"Review of quantitative finance and accounting"
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Search: "Black-Scholes model"
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Black-Scholes model
15
Black-Scholes-Modell
15
Option pricing theory
15
Optionspreistheorie
15
Volatility
8
Volatilität
8
Option trading
7
Optionsgeschäft
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Gehricke, Sebastian A.
2
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2
Andreou, Panayiotis C.
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Aziz, Saqib
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Chang, Chuang-chang
1
Charalambous, Chris
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1
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Applied economics
Review of quantitative finance and accounting
International journal of theoretical and applied finance
79
Mathematical finance : an international journal of mathematics, statistics and financial theory
40
Applied mathematical finance
39
The journal of computational finance
33
The journal of futures markets
33
Computational economics
31
Finance and stochastics
29
The journal of derivatives : the official publication of the International Association of Financial Engineers
28
Review of derivatives research
25
Quantitative finance
23
International journal of financial engineering
22
Journal of mathematical finance
22
Journal of banking & finance
19
Asia-Pacific financial markets
18
The North American journal of economics and finance : a journal of financial economics studies
14
Finance research letters
13
Journal of economic dynamics & control
13
Journal of econometrics
12
Options : classic approaches to pricing and modelling
11
Risks : open access journal
11
The European journal of finance
11
Decisions in economics and finance : DEF ; a journal of applied mathematics
10
CoFE discussion papers
9
Research paper series / Swiss Finance Institute
9
The review of financial studies
9
European journal of operational research : EJOR
8
International review of financial analysis
8
The journal of risk and insurance : the journal of the American Risk and Insurance Association
8
Advances in futures and options research : a research annual
7
Annals of financial economics
7
Journal of derivatives & hedge funds
7
Journal of risk and financial management : JRFM
7
The journal of finance : the journal of the American Finance Association
7
Applied financial economics
6
Discussion paper / B
6
Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz
6
Finanzmarkt und Portfolio-Management
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International Journal of Theoretical and Applied Finance (IJTAF)
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ECONIS (ZBW)
16
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1
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:
2
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:
3
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:
4
An improved of Hull-White model for valuing Employee stock options (ESOs)
Chendra, Erwinna
;
Sidarto, Kuntjoro Adji
- In:
Review of quantitative finance and accounting
54
(
2020
)
2
,
pp. 651-669
Persistent link: https://www.econbiz.de/10012232883
Saved in:
5
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:
6
Debt rollover-induced local volatility model
Sokolinskiy, Oleg
- In:
Review of quantitative finance and accounting
52
(
2019
)
4
,
pp. 1065-1084
Persistent link: https://www.econbiz.de/10012172912
Saved in:
7
A comparison of pricing and hedging performances of equity derivatives models
Lassance, Nathan
;
Vrins, Frédéric
- In:
Applied economics
50
(
2018
)
10
,
pp. 1122-1137
Persistent link: https://www.econbiz.de/10011848262
Saved in:
8
A nonparametric kernel regression approach for pricing options on stock market index
Kung, James J.
- In:
Applied economics
48
(
2016
)
10/12
,
pp. 902-913
Persistent link: https://www.econbiz.de/10011432797
Saved in:
9
Alternative methods to derive option pricing models : review and comparison
Lee, Cheng F.
;
Chen, Yibing
;
Lee, John
- In:
Review of quantitative finance and accounting
47
(
2016
)
2
,
pp. 417-451
Persistent link: https://www.econbiz.de/10011595634
Saved in:
10
Assessing the performance of symmetric and asymmetric implied volatility functions
Andreou, Panayiotis C.
;
Charalambous, Chris
; …
- In:
Review of quantitative finance and accounting
42
(
2014
)
3
,
pp. 373-397
Persistent link: https://www.econbiz.de/10010391631
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