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~isPartOf:"Journal of empirical finance"
~subject:"ARCH model"
~subject:"Index futures"
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Search: subject_exact:"Optionspreistheorie"
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ARCH model
Index futures
Option pricing theory
40
Optionspreistheorie
40
Volatility
19
Volatilität
19
Estimation
11
Schätzung
11
ARCH-Modell
8
Forecasting model
8
Option trading
8
Optionsgeschäft
8
Prognoseverfahren
8
Capital income
6
Index-Futures
6
Kapitaleinkommen
6
Risikoprämie
6
Risk premium
6
Stochastic process
5
Stochastischer Prozess
5
Theorie
5
Theory
5
Black-Scholes model
4
Black-Scholes-Modell
4
Börsenkurs
4
CAPM
4
Derivat
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Derivative
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Option pricing
4
Share price
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USA
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United States
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Aktienmarkt
3
Aktienoption
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Credit risk
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EU countries
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EU-Staaten
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Estimation theory
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English
14
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Stentoft, Lars
2
Bauwens, Luc
1
Chiang, Min-Hsien
1
Constantinou, Nick
1
Díaz-Hernández, Adán
1
Fiorentini, Gabriele
1
Fleming, Jeff
1
Guan, Zhengfei
1
Hafner, Christian M.
1
Herwartz, Helmut
1
Huang, Hsin-yi
1
Kim, Namhyoung
1
Lee, Jaewook
1
León Valle, Ángel Manuel
1
Lubrano, Michel
1
Myers, Robert J.
1
Roll, Richard
1
Rubio, Gonzalo
1
Schwartz, Eduardo S.
1
Subrahmanyam, Avanidhar
1
Wang, Qi
1
Wang, Zerong
1
Wang, Zhiguang
1
Wu, Feng
1
Wu, Guojun
1
Xiao, Zhijie
1
Yun, Jaeho
1
Zhang, Qian
1
Zhang, Yuanyuan
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Journal of empirical finance
The journal of futures markets
40
Journal of banking & finance
22
The journal of derivatives : the official publication of the International Association of Financial Engineers
13
Quantitative finance
12
Review of derivatives research
11
The North American journal of economics and finance : a journal of financial economics studies
11
The journal of finance : the journal of the American Finance Association
11
The review of financial studies
11
CREATES research paper
10
Finance research letters
10
International journal of theoretical and applied finance
10
International review of economics & finance : IREF
10
Journal of econometrics
10
Applied economics
8
Review of quantitative finance and accounting
8
Applied financial economics
7
Mathematical finance : an international journal of mathematics, statistics and financial theory
7
Computational economics
6
International review of financial analysis
6
Journal of financial econometrics : official journal of the Society for Financial Econometrics
6
Journal of financial economics
6
Journal of international financial markets, institutions & money
6
NBER working paper series
6
Research paper series / Swiss Finance Institute
6
Working paper
6
Working paper / National Bureau of Economic Research, Inc.
6
International journal of forecasting
5
Journal of economic dynamics & control
5
Management science : journal of the Institute for Operations Research and the Management Sciences
5
NBER Working Paper
5
Asia-Pacific journal of financial studies
4
Discussion papers of interdisciplinary research project 373
4
Economic modelling
4
Economics letters
4
International journal of financial engineering
4
Review of finance : journal of the European Finance Association
4
SpringerLink / Bücher
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Theoretical economics letters
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CORE discussion paper : DP
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ECONIS (ZBW)
14
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1
Option valuation via nonaffine dynamics with realized volatility
Zhang, Yuanyuan
;
Zhang, Qian
;
Wang, Zerong
;
Wang, Qi
- In:
Journal of empirical finance
77
(
2024
),
pp. 1-28
Persistent link: https://www.econbiz.de/10014578567
Saved in:
2
A multiple regime extension to the Heston–Nandi GARCH(1,1) model
Díaz-Hernández, Adán
;
Constantinou, Nick
- In:
Journal of empirical finance
53
(
2019
),
pp. 162-180
Persistent link: https://www.econbiz.de/10012171628
Saved in:
3
Risk-adjusted implied volatility and its performance in forecasting realized volatility in corn futures prices
Wu, Feng
;
Myers, Robert J.
;
Guan, Zhengfei
;
Wang, Zhiguang
- In:
Journal of empirical finance
34
(
2015
),
pp. 260-274
Persistent link: https://www.econbiz.de/10011557143
Saved in:
4
Trading activity in the equity market and its contingent claims : an empirical investigation
Roll, Richard
;
Schwartz, Eduardo S.
;
Subrahmanyam, Avanidhar
- In:
Journal of empirical finance
28
(
2014
),
pp. 13-35
Persistent link: https://www.econbiz.de/10011284514
Saved in:
5
No-arbitrage implied volatility functions : empirical evidence from KOSPI 200 index options
Kim, Namhyoung
;
Lee, Jaewook
- In:
Journal of empirical finance
21
(
2013
),
pp. 36-53
Persistent link: https://www.econbiz.de/10009745311
Saved in:
6
Stock market momentum, business conditions, and GARCH option pricing models
Chiang, Min-Hsien
;
Huang, Hsin-yi
- In:
Journal of empirical finance
18
(
2011
)
3
,
pp. 488-505
Persistent link: https://www.econbiz.de/10009302078
Saved in:
7
American option pricing with discrete and continuous time models : an empirical comparison
Stentoft, Lars
- In:
Journal of empirical finance
18
(
2011
)
5
,
pp. 880-902
Persistent link: https://www.econbiz.de/10009492526
Saved in:
8
The role of time-varying jump risk premia in pricing stock index options
Yun, Jaeho
- In:
Journal of empirical finance
18
(
2011
)
5
,
pp. 833-846
Persistent link: https://www.econbiz.de/10009492529
Saved in:
9
Pricing American options when the underlying asset follows GARCH processes
Stentoft, Lars
- In:
Journal of empirical finance
12
(
2005
)
4
,
pp. 576-611
Persistent link: https://www.econbiz.de/10003144806
Saved in:
10
A generalized partially linear model of asymmetric volatility
Wu, Guojun
;
Xiao, Zhijie
- In:
Journal of empirical finance
9
(
2002
)
3
,
pp. 287-319
Persistent link: https://www.econbiz.de/10001705438
Saved in:
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