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~person:"Boyle, Phelim P."
~person:"Zhang, Jin E."
~subject:"Derivat"
~type:"article"
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Search: subject_exact:"Optionspreismodell"
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Derivat
Option pricing theory
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16
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Boyle, Phelim P.
Zhang, Jin E.
Wang, Xingchun
15
Benth, Fred Espen
13
Fabozzi, Frank J.
12
Escobar, Marcos
9
Carr, Peter
8
Chiarella, Carl
8
Madan, Dilip B.
8
Cui, Zhenyu
7
Gouriéroux, Christian
7
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7
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Siu, Tak Kuen
7
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6
Kwok, Yue-Kuen
6
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6
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6
Zagst, Rudi
6
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5
Hull, John
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Joshi, Mark S.
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Kyriakou, Ioannis
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Lin, Shih-kuei
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Monfort, Alain
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Barone-Adesi, Giovanni
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Applied economics
1
Economics letters
1
Journal of economic dynamics & control
1
Review of derivatives research
1
The journal of futures markets
1
The review of financial studies
1
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ECONIS (ZBW)
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1
The price of COVID-19-induced uncertainty in the options market
Li, Jianhui
;
Ruan, Xinfeng
;
Zhang, Jin E.
- In:
Economics letters
211
(
2022
),
pp. 1-7
Persistent link: https://www.econbiz.de/10013172691
Saved in:
2
Pricing VXX options by modeling VIX directly
Lin, Wei
;
Zhang, Jin E.
- In:
The journal of futures markets
42
(
2022
)
5
,
pp. 888-922
Persistent link: https://www.econbiz.de/10013187612
Saved in:
3
The implied volatility smirk in the VXX options market
Gehricke, Sebastian A.
;
Zhang, Jin E.
- In:
Applied economics
52
(
2020
)
8
,
pp. 769-788
Persistent link: https://www.econbiz.de/10012197465
Saved in:
4
Pricing VIX derivatives with free stochastic volatility model
Lin, Wei
;
Li, Shenghong
;
Chern, Shane
;
Zhang, Jin E.
- In:
Review of derivatives research
22
(
2019
)
1
,
pp. 41-75
Persistent link: https://www.econbiz.de/10012311659
Saved in:
5
Rejoinder to a remark on Lin and Chang's paper "Consistent modeling of S&P 500 and VIX derivatives"
Lin, Yueh-neng
;
Chang, Chien-hung
- In:
Journal of economic dynamics & control
36
(
2012
)
5
,
pp. 716-718
Persistent link: https://www.econbiz.de/10009554307
Saved in:
6
Robust stochastic discount factors
Boyle, Phelim P.
;
Feng, Shui
;
Tian, Weidong
;
Wang, Tan
- In:
The review of financial studies
21
(
2008
)
3
,
pp. 1077-1122
Persistent link: https://www.econbiz.de/10003742222
Saved in:
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