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~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~subject:"VKOSPI"
~subject:"implied volatility"
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implied volatility
Volatility
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Option pricing theory
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Stochastischer Prozess
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local-stochastic volatility
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at-the-money option pricing
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exponential Levy models
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implied volatility scaling
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Mathematical finance : an international journal of mathematics, statistics and financial theory
International Journal of Theoretical and Applied Finance (IJTAF)
13
International journal of theoretical and applied finance
10
Applied mathematical finance
6
CREATES Research Papers
6
Journal of Risk and Financial Management
6
The European journal of finance
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The journal of futures markets
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Journal of risk and financial management : JRFM
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International journal of economics and finance
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International journal of finance & economics : IJFE
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Investment management and financial innovations
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Journal of forecasting
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Option Valuation under Stochastic Volatility
4
Queen's Economics Department Working Paper
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Review of Derivatives Research
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Working Papers / Economics Department, Queen's University
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Afro-Asian Journal of Finance and Accounting : AAJFA
3
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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International Journal of Financial Markets and Derivatives
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Mathematical finance : an international journal of mathematics, statistics and financial economics
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Risks
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Risks : open access journal
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SFB 649 Discussion Papers
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The European Journal of Finance
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Working Paper
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Annals of financial economics
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Bonn Econ Discussion Papers
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CORE Discussion Papers
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Discussion Paper Serie B
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ERIM Report Series Research in Management
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1
Leveraged ETF implied volatilities from ETF dynamics
Leung, Tim
;
Lorig, Matthew
;
Pascucci, Andrea
- In:
Mathematical finance : an international journal of …
27
(
2017
)
4
,
pp. 1035-1068
Persistent link: https://www.econbiz.de/10011765018
Saved in:
2
Explicit implied volatilities for multifactor local-stochastic volatility models
Lorig, Matthew
;
Pagliarani, Stefano
;
Pascucci, Andrea
- In:
Mathematical finance : an international journal of …
27
(
2017
)
3
,
pp. 926-960
Persistent link: https://www.econbiz.de/10011764989
Saved in:
3
High-order short-time expansions for ATM option prices of exponential Lévy models
Figueroa-López, José E.
;
Gong, Ruoting
;
Houdré, Christian
- In:
Mathematical finance : an international journal of …
26
(
2016
)
3
,
pp. 516-557
Persistent link: https://www.econbiz.de/10011583594
Saved in:
4
A new look at short-term
implied
volatility
in asset price models with jumps
Mijatovi´c, Aleksandar
;
Tankov, Peter
- In:
Mathematical finance : an international journal of …
26
(
2016
)
1
,
pp. 149-183
Persistent link: https://www.econbiz.de/10011550267
Saved in:
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