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Search: subject:"risk-neutral distribution"
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Volatility
Optionspreistheorie
14
Option pricing theory
12
Risk-neutral distribution
11
risk-neutral distribution
11
Statistische Verteilung
10
Volatilität
9
Statistical distribution
8
risk neutral distribution
7
Option trading
6
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5
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Implied risk-neutral distribution
4
Kapitaleinkommen
4
Estimation
3
European sovereign debt crisis
3
GARCH
3
Generalized Hyperbolic Distribution
3
Schätztheorie
3
Schätzung
3
Skewness
3
bootstrap
3
confidence intervals
3
credit default swaps
3
currency options
3
currency stability
3
pricing
3
skewness
3
ARCH models
2
Aktienindex
2
Ankündigungseffekt
2
Announcement effect
2
Black Scholes formula
2
Börsenkurs
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Derivat
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2
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9
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Gagnon, Marie-Hélène
2
Kim, Sol
2
Kostakis, Alexandros
2
Lee, Geul
2
Power, Gabriel J.
2
Alexiou, Lykourgos
1
Goyal, Amit
1
Ivanovas, Anselm
1
Jackwerth, Jens Carsten
1
Mu, Liangyi
1
Otsubo, Yoichi
1
Park, Yuen Jung
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Rompolis, Leonidas
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Asia-Pacific journal of financial studies
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ECONIS (ZBW)
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1
Pricing event risk : evidence from concave implied volatility curves
Alexiou, Lykourgos
;
Goyal, Amit
;
Kostakis, Alexandros
; …
-
2021
prior to the earnings announcement day (EAD) reflecting a bimodal
risk-neutral
distribution
for the underlying stock price …
Persistent link: https://www.econbiz.de/10012612931
Saved in:
2
Detecting political event risk in the option market
Kostakis, Alexandros
;
Mu, Liangyi
;
Otsubo, Yoichi
- In:
Journal of banking & finance
146
(
2023
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014248198
Saved in:
3
The sum of all fears : forecasting international returns using option-implied risk measures
Gagnon, Marie-Hélène
;
Power, Gabriel J.
;
Toupin, Dominique
- In:
Journal of banking & finance
146
(
2023
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014248207
Saved in:
4
International oil market risk anticipations and the cushing bottleneck : option-implied evidence
Gagnon, Marie-Hélène
;
Power, Gabriel J.
- In:
The energy journal
41
(
2020
)
6
,
pp. 255-280
Persistent link: https://www.econbiz.de/10012547136
Saved in:
5
Option data, missing tails, and the intraday variation of implied moments
Ivanovas, Anselm
-
2015
The
risk-neutral
distribution
of returns, implied by S&P 500 option prices, has been a popular topic of research for …
Persistent link: https://www.econbiz.de/10010510195
Saved in:
6
Asymmetric volatility risk : evidence from option markets
Jackwerth, Jens Carsten
;
Vilkov, Grigory
- In:
Review of finance : journal of the European Finance …
23
(
2019
)
4
,
pp. 777-799
Persistent link: https://www.econbiz.de/10012035136
Saved in:
7
A dynamic equilibrium model for U-shaped pricing kernels
Yamazaki, Akira
- In:
Quantitative finance
18
(
2018
)
5
,
pp. 851-875
Persistent link: https://www.econbiz.de/10011907953
Saved in:
8
Skewness versus Kurtosis : implications for pricing and hedging options
Kim, Sol
;
Lee, Geul
;
Park, Yuen Jung
- In:
Asia-Pacific journal of financial studies
46
(
2017
)
6
,
pp. 903-933
Persistent link: https://www.econbiz.de/10011865909
Saved in:
9
Effects of macroeconomic news announcements on
risk-neutral
distribution
: evidence from KOSPI200 intraday options data
Kim, Sol
;
Lee, Geul
- In:
Asia-Pacific journal of financial studies
40
(
2011
)
3
,
pp. 403-432
Persistent link: https://www.econbiz.de/10009388576
Saved in:
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