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~isPartOf:"Quantitative finance"
~isPartOf:"The European journal of finance"
~subject:"Volatilität"
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Volatilität
Option pricing theory
270
Optionspreistheorie
270
Volatility
138
CAPM
133
Stochastic process
130
Stochastischer Prozess
130
Theorie
85
Theory
85
Option trading
68
Optionsgeschäft
68
Derivat
66
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Option pricing
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Felpel, Mike
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2
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2
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2
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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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Quantitative finance
The European journal of finance
International journal of theoretical and applied finance
175
Journal of banking & finance
112
The journal of futures markets
84
Applied mathematical finance
83
Finance research letters
73
Mathematical finance : an international journal of mathematics, statistics and financial theory
72
Journal of financial economics
71
Journal of econometrics
65
The journal of computational finance
65
Review of derivatives research
55
The North American journal of economics and finance : a journal of financial economics studies
53
International journal of financial engineering
49
Working paper / National Bureau of Economic Research, Inc.
49
Journal of economic dynamics & control
48
NBER working paper series
48
Finance and stochastics
47
International review of economics & finance : IREF
46
Research paper series / Swiss Finance Institute
46
European journal of operational research : EJOR
45
Energy economics
44
Journal of empirical finance
44
The journal of derivatives : the official publication of the International Association of Financial Engineers
42
NBER Working Paper
39
Computational economics
38
International review of financial analysis
38
Journal of mathematical finance
37
Economic modelling
36
Management science : journal of the Institute for Operations Research and the Management Sciences
36
Annals of finance
32
Applied economics
31
Review of quantitative finance and accounting
30
Swiss Finance Institute Research Paper
30
The journal of finance : the journal of the American Finance Association
29
The review of financial studies
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Risks : open access journal
28
Insurance / Mathematics & economics
27
Journal of risk and financial management : JRFM
26
Discussion paper / Tinbergen Institute
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ECONIS (ZBW)
138
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61
Proof of non-convergence of the short-maturity expansion for the SABR model
Lewis, Alan L.
;
Pirjol, Dan
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1747-1757
Persistent link: https://www.econbiz.de/10013367944
Saved in:
62
A reduced PDE method for European option
pricing
under multi-scale, multi-factor stochastic volatility
Huh, Jeonggyu
;
Jeon, Jaegi
;
Kim, Jeong-Hoon
;
Park, Hyejin
- In:
Quantitative finance
19
(
2019
)
1
,
pp. 155-175
Persistent link: https://www.econbiz.de/10012194627
Saved in:
63
American option
pricing
under the double Heston model based on asymptotic expansion
Zhang, S. M.
;
Feng, Y.
- In:
Quantitative finance
19
(
2019
)
2
,
pp. 211-226
Persistent link: https://www.econbiz.de/10012194649
Saved in:
64
Volatility is rough
Gatheral, Jim
;
Jaisson, Thibault
;
Rosenbaum, Mathieu
- In:
Quantitative finance
18
(
2018
)
6
,
pp. 933-949
Persistent link: https://www.econbiz.de/10011910932
Saved in:
65
Option
pricing
based on hybrid GARCH-type models with improved ensemble empirical mode decomposition
Hua, Qiuling
;
Jiang, Tingfeng
;
Cheng, Zhang
- In:
Quantitative finance
18
(
2018
)
9
,
pp. 1501-1515
Persistent link: https://www.econbiz.de/10011913179
Saved in:
66
COS method for option
pricing
under a regime-switching model with time-changed Lévy processes
Tour, G.
;
Thakoor, N.
;
Khaliq, Abdul Q. M.
;
Tangman, D. Y.
- In:
Quantitative finance
18
(
2018
)
4
,
pp. 673-692
Persistent link: https://www.econbiz.de/10011906458
Saved in:
67
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:
68
Turbocharging Monte Carlo
pricing
for the rough Bergomi model
McCrickerd, Ryan
;
Pakkanen, Mikko S.
- In:
Quantitative finance
18
(
2018
)
11
,
pp. 1877-1886
Persistent link: https://www.econbiz.de/10012262858
Saved in:
69
A new closed-form formula for
pricing
European options under a skew Brownian motion
Zhu, Song-Ping
;
He, Xin-Jiang
- In:
The European journal of finance
24
(
2018
)
10/12
,
pp. 1063-1074
Persistent link: https://www.econbiz.de/10012244440
Saved in:
70
The limitations of estimating implied densities from option prices
Shelton, Austin
;
Kane, Hayden
;
Favreau, Charles
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1885-1904
Persistent link: https://www.econbiz.de/10012696789
Saved in:
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