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~isPartOf:"Management science : journal of the Institute for Operations Research and the Management Sciences"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~subject:"Estimation"
~type:"article"
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Search: subject_exact:"Option pricing theory"
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Estimation
Option pricing theory
128
Optionspreistheorie
128
Volatility
57
Volatilität
57
Option trading
54
Optionsgeschäft
54
Stochastic process
38
Stochastischer Prozess
38
Derivat
27
Derivative
27
Black-Scholes model
17
Black-Scholes-Modell
17
ARCH model
14
ARCH-Modell
14
Credit risk
14
Kreditrisiko
14
Monte Carlo simulation
13
Monte-Carlo-Simulation
13
Option pricing
10
Portfolio selection
10
Portfolio-Management
10
Capital income
9
Kapitaleinkommen
9
Risikoprämie
9
Risk premium
9
Statistical distribution
9
Statistische Verteilung
9
Yield curve
9
Zinsstruktur
9
CAPM
8
Stochastic volatility
8
Swap
8
Börsenkurs
7
Esscher transform
7
GARCH
7
Hedging
7
Risiko
7
Risk
7
Schätzung
7
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7
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English
7
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Trojani, Fabio
2
Chabi-Yo, Fousseni
1
Chang, Chia-Lin
1
Chen, Ting-Fu
1
Chiu, Hsin-Yu
1
Dim, Chukwuma Chijioke
1
Gruber, Peter H.
1
Jimenez-Martin, Juan-Angel
1
Lemmon, Michael L.
1
McAleer, Michael
1
Ni, Sophie Xiaoyan
1
Orłowski, Piotr
1
Pérez Amaral, Teodosio
1
Schneider, Paul
1
Tebaldi, Claudio
1
Vilkov, Grigory
1
Yuan, Peixuan
1
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Management science : journal of the Institute for Operations Research and the Management Sciences
The North American journal of economics and finance : a journal of financial economics studies
The journal of futures markets
33
Journal of banking & finance
20
Journal of econometrics
17
The journal of derivatives : the official publication of the International Association of Financial Engineers
17
Journal of financial economics
12
Journal of empirical finance
11
International journal of theoretical and applied finance
10
The journal of finance : the journal of the American Finance Association
10
Finance research letters
8
Quantitative finance
8
Review of derivatives research
8
Review of quantitative finance and accounting
7
International review of economics & finance : IREF
6
International review of financial analysis
6
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
6
The European journal of finance
6
The journal of computational finance
6
Applied economics
5
Applied financial economics
5
International journal of financial engineering
4
Journal of economic dynamics & control
4
Journal of financial and quantitative analysis : JFQA
4
Journal of financial econometrics
4
Journal of financial markets
4
Journal of risk and financial management : JRFM
4
Pacific-Basin finance journal
4
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
4
Applied mathematical finance
3
Asia-Pacific journal of financial studies
3
Decisions in economics and finance : DEF ; a journal of applied mathematics
3
Economics letters
3
Emerging markets, finance and trade : EMFT
3
Energy economics
3
European journal of operational research : EJOR
3
Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
Journal of forecasting
3
Journal of risk finance : the convergence of financial products and insurance
3
Mathematical finance : an international journal of mathematics, statistics and financial theory
3
Real estate economics : journal of the American Real Estate and Urban Economics Association
3
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ECONIS (ZBW)
7
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1
On the nature of (jump) skewness risk premia
Orłowski, Piotr
;
Schneider, Paul
;
Trojani, Fabio
- In:
Management science : journal of the Institute for …
70
(
2024
)
2
,
pp. 1154-1174
Persistent link: https://www.econbiz.de/10014513916
Saved in:
2
Generalized bounds on the conditional expected excess return on individual stocks
Chabi-Yo, Fousseni
;
Dim, Chukwuma Chijioke
;
Vilkov, Grigory
- In:
Management science : journal of the Institute for …
69
(
2023
)
2
,
pp. 922-939
Persistent link: https://www.econbiz.de/10014295173
Saved in:
3
Time-varying skew in vix derivatives pricing
Yuan, Peixuan
- In:
Management science : journal of the Institute for …
68
(
2022
)
10
,
pp. 7761-7791
Persistent link: https://www.econbiz.de/10013546174
Saved in:
4
The price of the smile and variance risk premia
Gruber, Peter H.
;
Tebaldi, Claudio
;
Trojani, Fabio
- In:
Management science : journal of the Institute for …
67
(
2021
)
7
,
pp. 4056-4074
Persistent link: https://www.econbiz.de/10012623900
Saved in:
5
Impact of volatility jumps in a mean-reverting model : derivative pricing and empirical evidence
Chiu, Hsin-Yu
;
Chen, Ting-Fu
- In:
The North American journal of economics and finance : a …
52
(
2020
),
pp. 1-22
Persistent link: https://www.econbiz.de/10012656907
Saved in:
6
Differences in trading and pricing between stock and index options
Lemmon, Michael L.
;
Ni, Sophie Xiaoyan
- In:
Management science : journal of the Institute for …
60
(
2014
)
8
,
pp. 1985-2001
Persistent link: https://www.econbiz.de/10010403590
Saved in:
7
The rise and fall of S&P500 variance futures
Chang, Chia-Lin
;
Jimenez-Martin, Juan-Angel
;
McAleer, …
- In:
The North American journal of economics and finance : a …
25
(
2013
),
pp. 151-167
Persistent link: https://www.econbiz.de/10009779314
Saved in:
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