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~subject:"Black-Scholes model"
~subject:"stochastic volatility"
~type_genre:"Article in journal"
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Search: subject:"Volatility smile"
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Black-Scholes model
stochastic volatility
Volatility
69
Volatilität
69
Option pricing theory
64
Optionspreistheorie
64
Option trading
34
Optionsgeschäft
34
Volatility smile
33
Stochastic process
25
Stochastischer Prozess
25
Black-Scholes-Modell
21
volatility smile
21
Estimation
12
Schätzung
11
Derivat
10
Derivative
10
Implied volatility
10
Statistical distribution
10
Statistische Verteilung
10
Index futures
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Index-Futures
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Option pricing
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Capital income
6
Experiment
6
Kapitaleinkommen
6
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6
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6
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5
Börsenkurs
5
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5
Implied volatility smile
5
Options
5
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5
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5
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4
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4
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4
implied volatility
4
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Kim, Sol
2
Aboura, Sofiane
1
Bandi, Chaithanya
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1
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1
Byun, Suk Joon
1
Chance, Don M.
1
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1
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1
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1
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1
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1
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1
Hanson, Thomas A.
1
Hendriks, Sebas
1
Li, Pengshi
1
Li, Weiping
1
Li, Yu
1
Lin, Yan
1
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1
Martini, Claude
1
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1
Muthuswamy, Jayaram
1
Padhi, Puja
1
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Singh, Shivam
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1
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1
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International journal of theoretical and applied finance
2
Review of derivatives research
2
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1
European journal of operational research : EJOR
1
International journal of finance & economics : IJFE
1
International journal of financial engineering
1
Journal of Indian business research
1
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1
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1
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1
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1
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1
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1
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1
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1
Review of Pacific Basin financial markets and policies
1
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ECONIS (ZBW)
21
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1
Financial market disruption and investor awareness : the case of implied volatility skew
Siddiqi, Hammad
- In:
Quantitative finance and economics
6
(
2022
)
3
,
pp. 505-517
Persistent link: https://www.econbiz.de/10013499509
Saved in:
2
Smiles in delta
Mingone, Arianna
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1713-1728
Persistent link: https://www.econbiz.de/10014452438
Saved in:
3
Option prices and the probability of success of cash mergers
Bester, C. Alan
;
Martinez, Victor H.
;
Roşu, Ioanid
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 145-186
Persistent link: https://www.econbiz.de/10013542856
Saved in:
4
What determines
volatility
smile
in China?
Li, Pengshi
;
Xian, Aichuan
;
Lin, Yan
- In:
Economic modelling
96
(
2021
),
pp. 326-335
Persistent link: https://www.econbiz.de/10012745422
Saved in:
5
The extended SSVI volatility surface
Hendriks, Sebas
;
Martini, Claude
- In:
The journal of computational finance
22
(
2018/2019
)
5
,
pp. 25-39
Persistent link: https://www.econbiz.de/10012042223
Saved in:
6
Debt rollover-induced local volatility model
Sokolinskiy, Oleg
- In:
Review of quantitative finance and accounting
52
(
2019
)
4
,
pp. 1065-1084
Persistent link: https://www.econbiz.de/10012172912
Saved in:
7
Ad hoc black and scholes procedures with the time-to-maturity
Byun, Suk Joon
;
Kim, Sol
;
Rhee, Dong Woo
- In:
Review of Pacific Basin financial markets and policies
21
(
2018
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011809745
Saved in:
8
Ad-Hoc Black-Scholes vis-à-vis TSRV-based Black-Scholes : evidence from Indian options market
Dixit, Alok
;
Singh, Shivam
- In:
Journal of quantitative economics
16
(
2018
)
1
,
pp. 57-88
Persistent link: https://www.econbiz.de/10012418326
Saved in:
9
Pricing and hedging options with rollover parameters
Kim, Sol
- In:
Journal of risk
19
(
2017
)
5
,
pp. 1-40
Persistent link: https://www.econbiz.de/10011747093
Saved in:
10
A mean bound financial model and options pricing
Li, Yu
- In:
International journal of financial engineering
4
(
2017
)
4
,
pp. 1-31
Persistent link: https://www.econbiz.de/10011807105
Saved in:
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