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~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~subject:"Exchange rate"
~subject:"Option pricing theory"
~subject:"Stochastic process"
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Exchange rate
Option pricing theory
Stochastic process
Volatility
80
Volatilität
80
Optionspreistheorie
36
Theorie
25
Theory
25
USA
22
United States
22
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19
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Ritchken, Peter H.
2
Rosenberg, Joshua V.
2
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2
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1
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1
Biktimirov, Ernest N.
1
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1
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1
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1
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The journal of derivatives : the official publication of the International Association of Financial Engineers
International journal of theoretical and applied finance
181
Journal of econometrics
132
Quantitative finance
125
Journal of banking & finance
111
Applied economics
90
The North American journal of economics and finance : a journal of financial economics studies
89
Applied mathematical finance
87
Journal of international money and finance
82
NBER working paper series
82
The journal of futures markets
82
Discussion paper / Tinbergen Institute
79
Finance research letters
77
Mathematical finance : an international journal of mathematics, statistics and financial theory
75
Economic modelling
73
NBER Working Paper
72
The journal of computational finance
70
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68
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66
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International review of economics & finance : IREF
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62
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61
Economics letters
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Finance and stochastics
60
Journal of economic dynamics & control
60
Journal of international financial markets, institutions & money
60
Applied economics letters
54
Review of derivatives research
54
Applied financial economics
53
International journal of financial engineering
51
Econometric reviews
49
International journal of finance & economics : IJFE
48
European journal of operational research : EJOR
47
Journal of mathematical finance
47
Journal of risk and financial management : JRFM
46
The European journal of finance
46
International review of financial analysis
45
Research paper series / Swiss Finance Institute
44
Risks : open access journal
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ECONIS (ZBW)
41
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1
Pricing Bermudan variance swaptions using multinomial trees
Zhao, Honglei
;
Chatterjee, Rupak
;
Lonon, Thomas
; …
- In:
The journal of derivatives : the official publication …
26
(
2019
)
3
,
pp. 22-34
Persistent link: https://www.econbiz.de/10012306151
Saved in:
2
Volatility surface calibration to illiquid options
Nagy, László
;
Ormos, Mihály
- In:
The journal of derivatives : the official publication …
26
(
2019
)
3
,
pp. 87-96
Persistent link: https://www.econbiz.de/10012306175
Saved in:
3
A stochastic-volatility model for pricing power variants of exchange options
Xia, Weixuan
- In:
The journal of derivatives : the official publication …
26
(
2019
)
4
,
pp. 113-127
Persistent link: https://www.econbiz.de/10012306204
Saved in:
4
An empirical examination of the relation between the option-implied volatility smile and heterogeneous beliefs
Feng, Shu
;
Pu, Xiaoling
;
Zhang, Yi
- In:
The journal of derivatives : the official publication …
25
(
2018
)
4
,
pp. 36-47
Persistent link: https://www.econbiz.de/10011965383
Saved in:
5
A financially motivated extension of the Heston model for a joint P- and Q-dynamics analysis of variance
Rebonato, Riccardo
;
Ng, Chu Ming
- In:
The journal of derivatives : the official publication …
25
(
2018
)
3
,
pp. 55-80
Persistent link: https://www.econbiz.de/10011941367
Saved in:
6
Curve-fitting method for implied volatility
Wu, Desheng Dash
;
Liu, Tianxiang
- In:
The journal of derivatives : the official publication …
26
(
2018
)
2
,
pp. 19-37
Persistent link: https://www.econbiz.de/10011968684
Saved in:
7
Sector option implied volatility dynamics and predictability
Marks, Joseph M.
;
Simon, David P.
- In:
The journal of derivatives : the official publication …
25
(
2017
)
2
,
pp. 22-42
Persistent link: https://www.econbiz.de/10011941219
Saved in:
8
On pricing Asian options under stochastic volatility
Russo, Emilio
;
Staino, Alessandro
- In:
The journal of derivatives : the official publication …
23
(
2016
)
4
,
pp. 7-19
Persistent link: https://www.econbiz.de/10011687238
Saved in:
9
Option pricing via QUAD : from Black-Scholes-Merton to Heston with jumps
Su, Haozhe
;
Chen, Ding
;
Newton, David P.
- In:
The journal of derivatives : the official publication …
24
(
2017
)
3
,
pp. 9-27
Persistent link: https://www.econbiz.de/10011687339
Saved in:
10
Model-based versus model-free implied volatility : evidence from North American, European, and Asian index option markets
Biktimirov, Ernest N.
;
Wang, Chunrong
- In:
The journal of derivatives : the official publication …
24
(
2017
)
3
,
pp. 42-68
Persistent link: https://www.econbiz.de/10011687342
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