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~isPartOf:"Applied financial economics"
~isPartOf:"Review of derivatives research"
~subject:"Option pricing theory"
~subject:"Share"
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Option pricing theory
Share
Option trading
94
Optionsgeschäft
94
Optionspreistheorie
68
Volatility
34
Volatilität
34
Derivat
21
Derivative
21
Theorie
19
Theory
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Wang, Xingchun
3
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Applied financial economics
Review of derivatives research
International journal of theoretical and applied finance
83
The journal of futures markets
79
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
28
Computational economics
27
European journal of operational research : EJOR
27
Journal of mathematical finance
27
Research paper series / Swiss Finance Institute
22
International review of economics & finance : IREF
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Journal of financial economics
21
Asia-Pacific financial markets
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Management science : journal of the Institute for Operations Research and the Management Sciences
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
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Applied economics
14
Swiss Finance Institute Research Paper
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Journal of risk and financial management : JRFM
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Annals of finance
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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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Operations research letters
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ECONIS (ZBW)
70
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1
Implied volatility surfaces : a comprehensive analysis using half a billion option prices
Ulrich, Maxim
;
Zimmer, Lukas
;
Merbecks, Constantin
- In:
Review of derivatives research
26
(
2023
)
2/3
,
pp. 135-169
Persistent link: https://www.econbiz.de/10014423871
Saved in:
2
Continuity correction : on the pricing of discrete double barrier options
Luo, Sheng-Feng
;
Wong, Hsin-Chieh
- In:
Review of derivatives research
26
(
2023
)
1
,
pp. 51-90
Persistent link: https://www.econbiz.de/10014266376
Saved in:
3
Hedging cryptocurrency options
Matic, Jovanka Lili
;
Packham, Natalie
;
Härdle, Wolfgang
- In:
Review of derivatives research
26
(
2023
)
1
,
pp. 91-133
Persistent link: https://www.econbiz.de/10014266383
Saved in:
4
Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities
Muck, Matthias
- In:
Review of derivatives research
25
(
2022
)
3
,
pp. 293-314
Persistent link: https://www.econbiz.de/10013457626
Saved in:
5
Asymptotic extrapolation of model-free implied variance : exploring structural underestimation in the VIX Index
Stahl, Philip
- In:
Review of derivatives research
25
(
2022
)
3
,
pp. 315-339
Persistent link: https://www.econbiz.de/10013457627
Saved in:
6
Optimal exercise of American put options near maturity : a new economic perspective
Battauz, Anna
;
De Donno, Marzia
;
Gajda, Janusz
;
Sbuelz, …
- In:
Review of derivatives research
25
(
2022
)
1
,
pp. 23-46
Persistent link: https://www.econbiz.de/10013191376
Saved in:
7
The impact of the leverage effect on the implied volatility smile : evidence for the German option market
Rathgeber, A. W.
;
Stadler, Johannes
;
Stöckl, S.
- In:
Review of derivatives research
24
(
2021
)
2
,
pp. 95-133
Persistent link: https://www.econbiz.de/10012549093
Saved in:
8
Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model
Godin, Frédéric
;
Eghbalzadeh, Ramin
;
Gaillardetz, Patrice
- In:
Review of derivatives research
26
(
2023
)
2/3
,
pp. 171-206
Persistent link: https://www.econbiz.de/10014423872
Saved in:
9
Pricing vulnerable basket spread options with liquidity risk
Dong, Ziming
;
Tang, Dan
;
Wang, Xingchun
- In:
Review of derivatives research
26
(
2023
)
1
,
pp. 23-50
Persistent link: https://www.econbiz.de/10014266355
Saved in:
10
Oil futures volatility smiles in 2020 : why the Bachelier smile is flatter
Galeeva, Roza
;
Ronn, Ehud I.
- In:
Review of derivatives research
25
(
2022
)
2
,
pp. 173-187
Persistent link: https://www.econbiz.de/10013457610
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