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Implied volatility
3
CAPM
2
Affine processes
1
Calibration
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Continuous-time equilibrium
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Cross validation
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Displaced diffusion
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Implied volatility skews
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Information-based asset pricing
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Leverage effect
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Option pricing
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Regime-switching
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Fouque, Jean-Pierre
1
Horst, Ulrich
1
Kupper, Michael
1
Lee, Roger
1
Macrina, Andrea
1
Mainberger, Christoph
1
Tashman, Adam
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Wang, Dan
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Annals of Finance
Journal of banking & finance
27
International review of financial analysis
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Finance research letters
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Quantitative finance
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International Journal of Theoretical and Applied Finance (IJTAF)
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CREATES Research Papers
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Energy economics
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International journal of theoretical and applied finance
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MPRA Paper
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Applied economics
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The North American journal of economics and finance : a journal of financial economics studies
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The journal of futures markets
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International review of economics & finance : IREF
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Journal of Banking & Finance
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Journal of empirical finance
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SFB 649 Discussion Papers
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Review of Derivatives Research
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Applied mathematical finance
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International journal of financial engineering
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Economic modelling
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Economics Papers from University Paris Dauphine
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Research in international business and finance
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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CEPR Discussion Papers
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Finance and Stochastics
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Journal of international financial markets, institutions & money
8
Review of Quantitative Finance and Accounting
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Asia-Pacific journal of financial studies
7
Finance and stochastics
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Journal of Risk and Financial Management
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Journal of financial markets
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Physica A: Statistical Mechanics and its Applications
7
Review of derivatives research
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SFB 649 Discussion Paper
7
The European Journal of Finance
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The European journal of finance
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Working Papers / Wydział Nauk Ekonomicznych, Uniwersytet Warszawski
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Annals of finance
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1
Continuous equilibrium in affine and information-based capital asset pricing models
Horst, Ulrich
;
Kupper, Michael
;
Macrina, Andrea
; …
- In:
Annals of Finance
9
(
2013
)
4
,
pp. 725-755
analyze the impact of the agents’ risk aversion on the
implied
volatility
of simultaneously-traded European-style options …
Persistent link: https://www.econbiz.de/10010866522
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2
Implied and realized volatility: empirical model selection
Zhang, Lan
- In:
Annals of Finance
8
(
2012
)
2
,
pp. 259-275
Persistent link: https://www.econbiz.de/10010866512
Saved in:
3
Displaced lognormal volatility skews: analysis and applications to stochastic volatility simulations
Lee, Roger
;
Wang, Dan
- In:
Annals of Finance
8
(
2012
)
2
,
pp. 159-181
Persistent link: https://www.econbiz.de/10010866516
Saved in:
4
Option pricing under a stressed-beta model
Fouque, Jean-Pierre
;
Tashman, Adam
- In:
Annals of Finance
8
(
2012
)
2
,
pp. 183-203
Persistent link: https://www.econbiz.de/10010866519
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