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~isPartOf:"Review of derivatives research"
~subject:"Exchange rate"
~subject:"Option pricing"
~subject:"Optionspreistheorie"
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Exchange rate
Option pricing
Optionspreistheorie
Volatility
70
Volatilität
70
Option pricing theory
49
Option trading
24
Optionsgeschäft
24
Stochastic process
24
Stochastischer Prozess
24
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Review of derivatives research
International journal of theoretical and applied finance
161
Quantitative finance
106
Journal of banking & finance
97
The North American journal of economics and finance : a journal of financial economics studies
85
The journal of futures markets
82
Journal of international money and finance
81
Applied economics
79
Applied mathematical finance
73
NBER working paper series
70
Finance research letters
68
The journal of computational finance
64
Economic modelling
62
Mathematical finance : an international journal of mathematics, statistics and financial theory
62
International review of economics & finance : IREF
61
NBER Working Paper
61
Journal of international financial markets, institutions & money
58
Working paper / National Bureau of Economic Research, Inc.
54
Journal of econometrics
52
Computational economics
47
Energy economics
47
International journal of financial engineering
47
Applied economics letters
45
Applied financial economics
45
International journal of finance & economics : IJFE
44
European journal of operational research : EJOR
41
Journal of economic dynamics & control
41
Finance and stochastics
40
The journal of derivatives : the official publication of the International Association of Financial Engineers
40
Journal of empirical finance
39
Economics letters
38
Working paper
38
CESifo working papers
37
International review of financial analysis
37
Journal of mathematical finance
37
The European journal of finance
37
Discussion paper / Centre for Economic Policy Research
36
Journal of financial economics
36
Journal of risk and financial management : JRFM
36
International Journal of Energy Economics and Policy : IJEEP
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ECONIS (ZBW)
51
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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
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:
6
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:
7
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:
8
Valuing fade-in options with default risk in Heston-Nandi GARCH models
Wang, Xingchun
- In:
Review of derivatives research
25
(
2022
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10013191374
Saved in:
9
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
Saved in:
10
Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes
Liang, Gechun
;
Wang, Xingchun
- In:
Review of derivatives research
24
(
2021
)
1
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012498465
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