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~isPartOf:"Review of derivatives research"
~subject:"Derivative"
~subject:"Volatilität"
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Derivative
Volatilität
Option trading
74
Optionsgeschäft
74
Option pricing theory
58
Optionspreistheorie
58
Volatility
24
Derivat
17
Theorie
16
Theory
16
Black-Scholes model
11
Black-Scholes-Modell
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American options
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32
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Wang, Xingchun
3
Drimus, Gabriel
2
Ronn, Ehud I.
2
Ulrich, Maxim
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1
Andreasen, Jesper Fredborg
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Battauz, Anna
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Review of derivatives research
The journal of futures markets
81
International journal of theoretical and applied finance
49
Journal of banking & finance
46
Applied mathematical finance
32
Finance research letters
27
Quantitative finance
27
The journal of derivatives : the official publication of the International Association of Financial Engineers
23
Journal of financial economics
21
International journal of financial engineering
20
International review of economics & finance : IREF
20
Journal of financial markets
20
Journal of economic dynamics & control
19
The North American journal of economics and finance : a journal of financial economics studies
19
International review of financial analysis
16
The journal of computational finance
16
Management science : journal of the Institute for Operations Research and the Management Sciences
15
European journal of operational research : EJOR
14
The journal of derivatives : JOD
14
Applied financial economics
13
Journal of mathematical finance
13
The European journal of finance
13
Applied economics
12
Computational economics
12
Journal of econometrics
12
Review of quantitative finance and accounting
12
Mathematical finance : an international journal of mathematics, statistics and financial theory
11
The journal of finance : the journal of the American Finance Association
11
Energy economics
10
Annals of finance
9
Applied economics letters
9
Finance and stochastics
9
Global finance journal
9
Journal of risk and financial management : JRFM
9
Risks : open access journal
9
Working paper / National Bureau of Economic Research, Inc.
9
Discussion paper / Tinbergen Institute
8
Research paper series / Swiss Finance Institute
8
Bloomberg financial series
7
Economic modelling
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ECONIS (ZBW)
32
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1
Implied volatility surfaces : a comprehensive analysis using half a billion option prices
Ulrich, Maxim
;
Zimmer, Lukas
;
Merbecks, Constantin
- In:
Review of derivatives research
26
(
2023
)
2/3
,
pp. 135-169
Persistent link: https://www.econbiz.de/10014423871
Saved in:
2
Hedging cryptocurrency options
Matic, Jovanka Lili
;
Packham, Natalie
;
Härdle, Wolfgang
- In:
Review of derivatives research
26
(
2023
)
1
,
pp. 91-133
Persistent link: https://www.econbiz.de/10014266383
Saved in:
3
Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities
Muck, Matthias
- In:
Review of derivatives research
25
(
2022
)
3
,
pp. 293-314
Persistent link: https://www.econbiz.de/10013457626
Saved in:
4
Asymptotic extrapolation of model-free implied variance : exploring structural underestimation in the VIX Index
Stahl, Philip
- In:
Review of derivatives research
25
(
2022
)
3
,
pp. 315-339
Persistent link: https://www.econbiz.de/10013457627
Saved in:
5
Optimal exercise of American put options near maturity : a new economic perspective
Battauz, Anna
;
De Donno, Marzia
;
Gajda, Janusz
;
Sbuelz, …
- In:
Review of derivatives research
25
(
2022
)
1
,
pp. 23-46
Persistent link: https://www.econbiz.de/10013191376
Saved in:
6
The impact of the leverage effect on the implied volatility smile : evidence for the German option market
Rathgeber, A. W.
;
Stadler, Johannes
;
Stöckl, S.
- In:
Review of derivatives research
24
(
2021
)
2
,
pp. 95-133
Persistent link: https://www.econbiz.de/10012549093
Saved in:
7
Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model
Godin, Frédéric
;
Eghbalzadeh, Ramin
;
Gaillardetz, Patrice
- In:
Review of derivatives research
26
(
2023
)
2/3
,
pp. 171-206
Persistent link: https://www.econbiz.de/10014423872
Saved in:
8
Pricing vulnerable basket spread options with liquidity risk
Dong, Ziming
;
Tang, Dan
;
Wang, Xingchun
- In:
Review of derivatives research
26
(
2023
)
1
,
pp. 23-50
Persistent link: https://www.econbiz.de/10014266355
Saved in:
9
Oil futures volatility smiles in 2020 : why the Bachelier smile is flatter
Galeeva, Roza
;
Ronn, Ehud I.
- In:
Review of derivatives research
25
(
2022
)
2
,
pp. 173-187
Persistent link: https://www.econbiz.de/10013457610
Saved in:
10
Pricing vulnerable options with jump risk and liquidity risk
Wang, Xingchun
- In:
Review of derivatives research
24
(
2021
)
3
,
pp. 243-260
Persistent link: https://www.econbiz.de/10012659671
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