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~person:"Bekaert, Geert"
~person:"Takahashi, Akihiko"
~subject:"USA"
~subject:"Volatilität"
~type_genre:"Article in journal"
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USA
Volatilität
Option pricing theory
30
Optionspreistheorie
30
Stochastic process
15
Stochastischer Prozess
15
Volatility
15
Theorie
13
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13
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11
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Bekaert, Geert
Takahashi, Akihiko
Carr, Peter
24
Cui, Zhenyu
20
Zhang, Jin E.
18
Madan, Dilip B.
17
Ferson, Wayne E.
16
Fabozzi, Frank J.
15
Todorov, Viktor
15
Wang, Xingchun
15
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14
Longstaff, Francis A.
14
Bollerslev, Tim
13
Christoffersen, Peter F.
13
Elliott, Robert J.
13
Escobar, Marcos
13
Benth, Fred Espen
12
Chavas, Jean-Paul
12
Alòs, Elisa
11
Heston, Steven L.
11
Jacquier, Antoine
11
Jarrow, Robert A.
11
Kwok, Yue-Kuen
11
Lee, Cheng F.
11
Lin, Shih-kuei
11
Lorig, Matthew
11
Schoutens, Wim
11
Skiadopoulos, George
11
Campbell, John Y.
10
Cochrane, John H.
10
Harvey, Campbell R.
10
Kim, Sol
10
Lin, Yueh-neng
10
Nguyen, Duy
10
Singh, Vipul Kumar
10
Wong, Hoi Ying
10
Wu, Liuren
10
Aït-Sahalia, Yacine
9
Bakshi, Gurdip S.
9
Bali, Turan G.
9
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9
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International journal of theoretical and applied finance
5
Asia-Pacific financial markets
2
Mathematics of operations research
2
European journal of operational research : EJOR
1
Journal of banking & finance
1
Journal of political economy
1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
The journal of computational finance
1
The journal of futures markets
1
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ECONIS (ZBW)
16
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16
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1
The time variation in risk appetite and uncertainty
Bekaert, Geert
;
Engstrom, Eric
;
Xu, Nancy R.
- In:
Management science : journal of the Institute for …
68
(
2022
)
6
,
pp. 3975-4004
Persistent link: https://www.econbiz.de/10013369010
Saved in:
2
Asset return dynamics under habits and bad environment-good environment fundamentals
Bekaert, Geert
;
Engstrom, Eric
- In:
Journal of political economy
125
(
2017
)
3
,
pp. 713-760
Persistent link: https://www.econbiz.de/10011753819
Saved in:
3
Pricing
average and spread options under local-stochastic volatility jump-diffusion models
Shiraya, Kenichiro
;
Takahashi, Akihiko
- In:
Mathematics of operations research
44
(
2019
)
1
,
pp. 303-333
Persistent link: https://www.econbiz.de/10012001122
Saved in:
4
What do asset prices have to say about risk appetite and uncertainty?
Bekaert, Geert
;
Hoerova, Marie
- In:
Journal of banking & finance
67
(
2016
),
pp. 103-118
Persistent link: https://www.econbiz.de/10011634665
Saved in:
5
An asymptotic expansion for forward-backward SDEs : a malliavin calculus approach
Takahashi, Akihiko
;
Yamada, Toshihiro
- In:
Asia-Pacific financial markets
23
(
2016
)
4
,
pp. 337-373
Persistent link: https://www.econbiz.de/10011619975
Saved in:
6
Note on an extension of an asymptotic expansion scheme
Takahashi, Akihiko
;
Toda, Masashi
- In:
International journal of theoretical and applied finance
16
(
2013
)
5
,
pp. 1-23
Persistent link: https://www.econbiz.de/10009783991
Saved in:
7
A general control variate method for multi-dimensional SDEs : an application to multi-asset options under local stochastic volatility with jumps models in finance
Shiraya, Kenichiro
;
Takahashi, Akihiko
- In:
European journal of operational research : EJOR
258
(
2017
)
1
,
pp. 358-371
Persistent link: https://www.econbiz.de/10011642221
Saved in:
8
Hedging European derivatives with the polynomial variance swap under uncertain volatility environments
Takahashi, Akihiko
;
Tsuzuki, Yukihiro
;
Yamazaki, Akira
- In:
International journal of theoretical and applied finance
14
(
2011
)
4
,
pp. 485-505
Persistent link: https://www.econbiz.de/10009269373
Saved in:
9
On error estimates for asymptotic expansions with Malliavin weights : application to stochastic volatility model
Takahashi, Akihiko
;
Yamada, Toshihiro
- In:
Mathematics of operations research
40
(
2015
)
3
,
pp. 513-541
Persistent link: https://www.econbiz.de/10011338705
Saved in:
10
Conditioning information and variance bounds on
pricing
kernels
Bekaert, Geert
;
Lui, Jun
- In:
The review of financial studies
17
(
2004
)
2
,
pp. 339-378
Persistent link: https://www.econbiz.de/10002026857
Saved in:
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