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~isPartOf:"Quantitative finance"
~isPartOf:"Review of quantitative finance and accounting"
~person:"Jacquier, Antoine"
~person:"Lee, Cheng F."
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Search: subject_exact:"Option pricing theory"
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Option pricing theory
8
Optionspreistheorie
8
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5
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3
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3
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Jacquier, Antoine
Lee, Cheng F.
Bayer, Christian
7
Chang, Chuang-chang
4
Chen, Ren-Raw
4
Tempone, Raúl
4
Chan, Tat Lung
3
Dai, Tian-Shyr
3
Felpel, Mike
3
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Quantitative finance
Review of quantitative finance and accounting
Advances in quantitative analysis of finance and accounting : a research annual
3
Review of Pacific Basin financial markets and policies
3
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2
International journal of theoretical and applied finance
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Portfolio construction, measurement, and efficiency : essays in honor of Jack Treynor
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The quarterly review of economics and business : journal of the Midwest Economics Association
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Functional quantization of rough volatility and applications to volatility derivatives
Bonesini, O.
;
Callegaro, Giulia
;
Jacquier, Antoine
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1769-1792
Persistent link: https://www.econbiz.de/10014452470
Saved in:
2
Financial econometrics, mathematics, statistics, and financial technology : an overall view
Lee, Cheng F.
- In:
Review of quantitative finance and accounting
54
(
2020
)
4
,
pp. 1529-1578
Persistent link: https://www.econbiz.de/10012233214
Saved in:
3
Option prices and stock market momentum : evidence from China
Li, Jianping
;
Yao, Yanzhen
;
Chen, Yibing
;
Lee, Cheng F.
- In:
Quantitative finance
18
(
2018
)
9
,
pp. 1517-1529
Persistent link: https://www.econbiz.de/10011913187
Saved in:
4
On VIX futures in the rough Bergomi model
Jacquier, Antoine
;
Martini, Claude
;
Muguruza, Aitor
- In:
Quantitative finance
18
(
2018
)
1
,
pp. 45-61
Persistent link: https://www.econbiz.de/10011905829
Saved in:
5
Mass at zero in the uncorrelated SABR model and implied volatility asymptotics
Gulisashvili, Archil
;
Horvath, Blanka Nora
;
Jacquier, …
- In:
Quantitative finance
18
(
2018
)
10
,
pp. 1753-1765
Persistent link: https://www.econbiz.de/10012261909
Saved in:
6
Alternative methods to derive option pricing models : review and comparison
Lee, Cheng F.
;
Chen, Yibing
;
Lee, John
- In:
Review of quantitative finance and accounting
47
(
2016
)
2
,
pp. 417-451
Persistent link: https://www.econbiz.de/10011595634
Saved in:
7
R-2GAM stochastic volatility model : flexibility and calibration
Lee, Cheng F.
;
Sokolinskiy, Oleg
- In:
Review of quantitative finance and accounting
45
(
2015
)
3
,
pp. 463-483
Persistent link: https://www.econbiz.de/10011531991
Saved in:
8
A fuzzy set approach for generalized CRR model : an empirical analysis of S&P 500 index options
Lee, Cheng F.
;
Tzeng, Gwo-hshiung
;
Wang, Shin-yun
- In:
Review of quantitative finance and accounting
25
(
2005
)
3
,
pp. 255-275
Persistent link: https://www.econbiz.de/10003152352
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