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~isPartOf:"International journal of theoretical and applied finance"
~subject:"Option pricing theory"
~subject:"Volatility"
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Option pricing theory
Volatility
Hedging
115
Optionspreistheorie
66
Theorie
61
Theory
61
Derivat
38
Derivative
38
Stochastic process
34
Stochastischer Prozess
34
Portfolio selection
31
Portfolio-Management
31
Volatilität
24
Option trading
23
Optionsgeschäft
23
Black-Scholes model
16
Black-Scholes-Modell
16
Incomplete market
16
Unvollkommener Markt
16
hedging
12
Commodity derivative
10
Rohstoffderivat
10
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Martingal
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Benth, Fred Espen
3
Hess, Markus
3
Carr, Peter
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Chiarella, Carl
2
Elliott, Robert J.
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Gulko, Les
2
Hubalek, Friedrich
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Melʹnikov, Aleksandr V.
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1
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1
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1
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1
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1
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Chao Yang
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International journal of theoretical and applied finance
Energy economics
196
The journal of futures markets
104
Finance research letters
58
International review of financial analysis
52
Journal of banking & finance
47
Mathematical finance : an international journal of mathematics, statistics and financial theory
44
Economic modelling
39
International review of economics & finance : IREF
39
Applied mathematical finance
38
Quantitative finance
35
Applied economics
34
The North American journal of economics and finance : a journal of financial economics studies
32
Finance and stochastics
31
Working paper
29
American journal of agricultural economics
24
Applied economics letters
24
The journal of derivatives : the official publication of the International Association of Financial Engineers
24
Working paper / National Bureau of Economic Research, Inc.
24
International Journal of Energy Economics and Policy : IJEEP
23
NBER working paper series
23
The energy journal
23
Research in international business and finance
22
Review of derivatives research
22
Insurance / Mathematics & economics
21
Journal of economic dynamics & control
20
Journal of international financial markets, institutions & money
19
Econometric Institute research papers
18
Journal of international money and finance
18
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
18
Discussion paper / Tinbergen Institute
17
European journal of operational research : EJOR
17
IMF working papers
17
Journal of commodity markets
17
NBER Working Paper
17
Risks : open access journal
17
The European journal of finance
15
Cogent economics & finance
14
Discussion paper / Centre for Economic Policy Research
14
Journal of risk and financial management : JRFM
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ECONIS (ZBW)
77
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1
Smile modeling in commodity markets
Nastasi, Emanuele
;
Pallavicini, Andrea
;
Sartorelli, Giulio
- In:
International journal of theoretical and applied finance
23
(
2020
)
3
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012271006
Saved in:
2
The VIX and future information
Hess, Markus
- In:
International journal of theoretical and applied finance
24
(
2021
)
6/7
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012807884
Saved in:
3
Volatility and liquidity on high-frequency electricity futures markets : empirical analysis and stochastic modeling
Kremer, Marcel
;
Benth, Fred Espen
;
Felten, Björn
; …
- In:
International journal of theoretical and applied finance
23
(
2020
)
4
,
pp. 1-38
Persistent link: https://www.econbiz.de/10012271026
Saved in:
4
Commodity price dynamics and derivative valuation : a review
Back, Janis
;
Prokopczuk, Marcel
- In:
International journal of theoretical and applied finance
16
(
2013
)
6
,
pp. 1-30
Persistent link: https://www.econbiz.de/10010197182
Saved in:
5
Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models
Arai, Takuji
- In:
International journal of theoretical and applied finance
22
(
2019
)
8
,
pp. 1-26
Persistent link: https://www.econbiz.de/10012183209
Saved in:
6
Hedging options in a doubly Markov-modulated financial market via stochastic flows
Siu, Tak Kuen
;
Elliott, Robert J.
- In:
International journal of theoretical and applied finance
22
(
2019
)
8
,
pp. 1-41
Persistent link: https://www.econbiz.de/10012183224
Saved in:
7
An arithmetic pure-jump multi-curve interest rate model
Hess, Markus
- In:
International journal of theoretical and applied finance
22
(
2019
)
8
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012183228
Saved in:
8
Conditional-mean hedging under transaction costs in Gaussian models
Sottinen, Tommi
;
Viitasaari, Lauri
- In:
International journal of theoretical and applied finance
21
(
2018
)
2
,
pp. 1-15
Persistent link: https://www.econbiz.de/10011854596
Saved in:
9
Pricing index options by static hedging under finite liquidity
Armstrong, John
;
Pennanen, Teemu
;
Rakwongwan, Udomsak
- In:
International journal of theoretical and applied finance
21
(
2018
)
6
,
pp. 1-18
Persistent link: https://www.econbiz.de/10011926583
Saved in:
10
Pricing temperature derivatives under weather forecasts
Hess, Markus
- In:
International journal of theoretical and applied finance
21
(
2018
)
5
,
pp. 1-34
Persistent link: https://www.econbiz.de/10011903773
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