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~person:"Andersen, Torben"
~subject:"Behavioural finance"
~subject:"Black-Scholes model"
~subject:"Index futures"
~subject:"Volatility"
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Behavioural finance
Black-Scholes model
Index futures
Volatility
Option trading
10
Optionsgeschäft
10
Risikoprämie
6
Risk premium
6
Volatilität
6
Option pricing theory
5
Optionspreistheorie
5
Stochastic process
5
Stochastischer Prozess
5
Theorie
5
Theory
5
Modellierung
4
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Index-Futures
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Aktienindex
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Black-Scholes-Modell
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Derivat
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Implied volatility
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Induktive Statistik
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Stable process
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Statistical inference
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Stochastic volatility
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Stock index
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VIX index
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inference
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jumps
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latent state vector
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option pricing
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Andersen, Torben
Ryu, Doojin
19
Zhang, Jin E.
15
Todorov, Viktor
13
Thomsett, Michael C.
12
Carr, Peter
11
Fodor, Andy
11
Guirguis, Michel
11
Perrakis, Stylianos
11
Fusari, Nicola
10
Bernales, Alejandro
9
Wang, Xingchun
9
Giglio, Stefano
8
Kelly, Bryan T.
8
McAleer, Michael
8
Ruan, Xinfeng
8
Cui, Zhenyu
7
Farkas, Walter
7
Jackwerth, Jens Carsten
7
Kim, Sol
7
Lung, Peter P.
7
Orosi, Greg
7
Wang, Yaw-Huei
7
Wu, Liuren
7
Yang, Heejin
7
Alexander, Carol
6
Czerwonko, Michal
6
Dew-Becker, Ian
6
Diavatopoulos, Dean
6
Fusai, Gianluca
6
Gehricke, Sebastian A.
6
Guo, Biao
6
Jacquier, Antoine (Jack)
6
Kirkby, J. Lars
6
Madan, Dilip B.
6
Muck, Matthias
6
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CREATES research paper
3
Working paper / National Bureau of Economic Research, Inc.
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Global COE Hi-Stat discussion paper series
1
Journal of econometrics
1
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ECONIS (ZBW)
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1
The risk premia embedded in index options
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
-
2018
Persistent link: https://www.econbiz.de/10011797609
Saved in:
2
The risk premia embedded in index options
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
-
2014
Persistent link: https://www.econbiz.de/10010442402
Saved in:
3
Parametric inference and dynamic state recovery from option panels
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
-
2012
Persistent link: https://www.econbiz.de/10009524097
Saved in:
4
Parametric inference and dynamic state recovery from option panels
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
-
2012
Persistent link: https://www.econbiz.de/10010202343
Saved in:
5
The fine structure of equity-index option dynamics
Andersen, Torben
;
Bondarenko, Oleg
;
Todorov, Viktor
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 532-546
Persistent link: https://www.econbiz.de/10011499756
Saved in:
6
Parametric inference and dynamic state recovery from option panels
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
- In:
Econometrica : journal of the Econometric Society, an …
83
(
2015
)
3
,
pp. 1081-1145
Persistent link: https://www.econbiz.de/10011378591
Saved in:
7
Construction and interpretation of model-free implied volatility
Andersen, Torben
;
Bondarenko, Oleg
-
2007
Persistent link: https://www.econbiz.de/10003556632
Saved in:
8
Parametric inference and dynamic state recovery from option panels
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
-
2012
Persistent link: https://www.econbiz.de/10009539803
Saved in:
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