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~isPartOf:"Review of quantitative finance and accounting"
~subject:"Volatility"
~subject:"United States"
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Volatility
United States
Option pricing theory
55
Optionspreistheorie
55
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17
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17
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14
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Review of quantitative finance and accounting
International journal of theoretical and applied finance
158
Quantitative finance
100
The journal of futures markets
100
Journal of banking & finance
84
Applied mathematical finance
73
The journal of computational finance
71
Mathematical finance : an international journal of mathematics, statistics and financial theory
63
The journal of derivatives : the official publication of the International Association of Financial Engineers
59
Review of derivatives research
57
International journal of financial engineering
47
Finance research letters
43
Finance and stochastics
42
European journal of operational research : EJOR
41
Journal of econometrics
40
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Journal of economic dynamics & control
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Journal of mathematical finance
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Research paper series / Swiss Finance Institute
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Risks : open access journal
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International review of economics & finance : IREF
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The review of financial studies
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Annals of finance
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The European journal of finance
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Decisions in economics and finance : DEF ; a journal of applied mathematics
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Working paper / National Bureau of Economic Research, Inc.
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Energy economics
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International review of financial analysis
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Journal of empirical finance
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Journal of risk and financial management : JRFM
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Asia-Pacific financial markets
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1
Non-linear volatility with normal inverse Gaussian innovations : ad-hoc analytic option pricing
Mozumder, Sharif
;
Talukdar, Bakhtear
;
Kabir, M. Humayun
; …
- In:
Review of quantitative finance and accounting
62
(
2024
)
1
,
pp. 97-133
Persistent link: https://www.econbiz.de/10014502965
Saved in:
2
Estimating volatility clustering and variance risk premium effects on bank default indicators
Kenç, Turalay
;
Cevik, Emrah Ismail
- In:
Review of quantitative finance and accounting
57
(
2021
)
4
,
pp. 1373-1392
Persistent link: https://www.econbiz.de/10012660703
Saved in:
3
Option pricing under stock market cycles with jump risks : evidence from the S&P 500 index
Wang, Shin-yun
;
Chuang, Ming-Che
;
Lin, Shih-kuei
;
Shyu, …
- In:
Review of quantitative finance and accounting
56
(
2021
)
1
,
pp. 25-51
Persistent link: https://www.econbiz.de/10012432624
Saved in:
4
Joint estimation of volatility risk and tail risk premia with time-varying macro-state-dependent property
Chen, Sonnan
;
Gu, Yuchi
- In:
Review of quantitative finance and accounting
56
(
2021
)
4
,
pp. 1357-1397
Persistent link: https://www.econbiz.de/10012549807
Saved in:
5
Assessing models of individual equity option prices
Bakshi, Gurdip S.
;
Cao, Charles Q.
;
Zhong, Zhaodong
- In:
Review of quantitative finance and accounting
57
(
2021
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012549885
Saved in:
6
Option-implied filtering : evidence from the GARCH option pricing model
Li, Bingxin
- In:
Review of quantitative finance and accounting
54
(
2020
)
3
,
pp. 1037-1057
Persistent link: https://www.econbiz.de/10012233110
Saved in:
7
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:
8
The affine styled-facts price dynamics for the natural gas : evidence from daily returns and option prices
Hsu, Chih-Chen
;
Chen, An-sing
;
Lin, Shih-kuei
- In:
Review of quantitative finance and accounting
48
(
2017
)
3
,
pp. 819-848
Persistent link: https://www.econbiz.de/10011796892
Saved in:
9
Retrieving risk neutral moments and expected quadratic variation from option prices
Rompolis, Leonidas S.
;
Tzavalis, Elias
- In:
Review of quantitative finance and accounting
48
(
2017
)
4
,
pp. 955-1002
Persistent link: https://www.econbiz.de/10011796976
Saved in:
10
Pricing currency options under double exponential jump diffusion in a Markov-modulated HJM economy
Chiang, Mi-Hsiu
;
Li, Chang-Yi
;
Chen, Son-nan
- In:
Review of quantitative finance and accounting
46
(
2016
)
3
,
pp. 459-482
Persistent link: https://www.econbiz.de/10011595469
Saved in:
11
Explaining the volatility smile : non-parametric versus parametric option models
Lin, Hsuan-Chu
;
Chen, Ren-Raw
;
Palmon, Oded
- In:
Review of quantitative finance and accounting
46
(
2016
)
4
,
pp. 907-935
Persistent link: https://www.econbiz.de/10011595494
Saved in:
12
R-2GAM stochastic volatility model : flexibility and calibration
Lee, Cheng F.
;
Sokolinskiy, Oleg
- In:
Review of quantitative finance and accounting
45
(
2015
)
3
,
pp. 463-483
Persistent link: https://www.econbiz.de/10011531991
Saved in:
13
Foreign exchange option pricing in the currency cycle with jump risks
Lin, Chien-Hsiu
;
Lin, Shih-kuei
;
Wu, An-Chi
- In:
Review of quantitative finance and accounting
44
(
2015
)
4
,
pp. 755-789
Persistent link: https://www.econbiz.de/10011333144
Saved in:
14
Local volatility calibration during turbulent periods
Skindilias, Konstantinos
;
Lo, Chia Chun
- In:
Review of quantitative finance and accounting
44
(
2015
)
3
,
pp. 425-444
Persistent link: https://www.econbiz.de/10011327607
Saved in:
15
Assessing the performance of symmetric and asymmetric implied volatility functions
Andreou, Panayiotis C.
;
Charalambous, Chris
; …
- In:
Review of quantitative finance and accounting
42
(
2014
)
3
,
pp. 373-397
Persistent link: https://www.econbiz.de/10010391631
Saved in:
16
Volatilities implied by price changes in the S&P 500 options and futures contracts
Hilliard, Jitka
;
Li, Wei
- In:
Review of quantitative finance and accounting
42
(
2014
)
4
,
pp. 599-626
Persistent link: https://www.econbiz.de/10010431376
Saved in:
17
A reduced lattice model for option pricing under regime-switching
Costabile, Massimo
;
Leccadito, Arturo
;
Massabo, Ivar
; …
- In:
Review of quantitative finance and accounting
42
(
2014
)
4
,
pp. 667-690
Persistent link: https://www.econbiz.de/10010433525
Saved in:
18
Do dividend initiations signal a reduction in risk? : evidence from the option market
Jones, Jeffrey S.
;
Gu, Jenny
;
Liu, Pu
- In:
Review of quantitative finance and accounting
42
(
2014
)
1
,
pp. 143-158
Persistent link: https://www.econbiz.de/10010345141
Saved in:
19
Investor sentiment and interest rate volatility smile : evidence from Eurodollar options markets
Chen, Cathy Yi-Hsuan
;
Kuo, I.-doun
- In:
Review of quantitative finance and accounting
43
(
2014
)
2
,
pp. 367-391
Persistent link: https://www.econbiz.de/10010490403
Saved in:
20
Is the realized volatility good for option pricing during the recent financial crisis?
Jou, Yow-jen
;
Wang, Chih-wei
;
Chiu,Wan-chien
- In:
Review of quantitative finance and accounting
40
(
2013
)
1
,
pp. 171-188
Persistent link: https://www.econbiz.de/10009699487
Saved in:
21
Using Richardson extrapolation techniques to price American options with alternative stochastic processes
Chang, Chuang-chang
;
Lin, Jun-biao
;
Tsai, Wei-che
; …
- In:
Review of quantitative finance and accounting
39
(
2012
)
3
,
pp. 383-406
Persistent link: https://www.econbiz.de/10009673702
Saved in:
22
Pricing and hedging volatility smile under multifactor interest rate models
Kuo, I.-doun
- In:
Review of quantitative finance and accounting
36
(
2011
)
1
,
pp. 83-104
Persistent link: https://www.econbiz.de/10009271374
Saved in:
23
Do option traders on value and growth stocks react differently to new information?
He, Wei
;
Lee, Yen-sheng
;
Wei, Peihwang
- In:
Review of quantitative finance and accounting
34
(
2010
)
3
,
pp. 371-381
Persistent link: https://www.econbiz.de/10003970085
Saved in:
24
A jump diffusion model for VIX volatility options and futures
Psychoyios, Dimitris
;
Dotsis, George
;
Markellos, Raphaēl N.
- In:
Review of quantitative finance and accounting
35
(
2010
)
3
,
pp. 245-269
Persistent link: https://www.econbiz.de/10009260276
Saved in:
25
The role of stochastic volatility and return jumps : reproducing volatility and higher moments in the KOSPI 200 returns dynamics
Kim, In-joon
;
Baek, In-Seok
;
Noh, Jaesun
;
Kim, Sol
- In:
Review of quantitative finance and accounting
29
(
2007
)
1
,
pp. 69-110
Persistent link: https://www.econbiz.de/10003600092
Saved in:
26
A non-parametric option pricing model : theory and empirical evidence
Chen, Ren-Raw
;
Palmon, Oded
- In:
Review of quantitative finance and accounting
24
(
2005
)
2
,
pp. 115-134
Persistent link: https://www.econbiz.de/10002851785
Saved in:
27
A fuzzy set approach for generalized CRR model : an empirical analysis of S&P 500 index options
Lee, Cheng F.
;
Tzeng, Gwo-hshiung
;
Wang, Shin-yun
- In:
Review of quantitative finance and accounting
25
(
2005
)
3
,
pp. 255-275
Persistent link: https://www.econbiz.de/10003152352
Saved in:
28
Determinants of the dollar value of default risk : a put option perspective
Chu, Quentin C.
;
Lin, Yun-Yung
- In:
Review of quantitative finance and accounting
16
(
2001
)
2
,
pp. 131-148
Persistent link: https://www.econbiz.de/10001748010
Saved in:
29
Valuation of callable warrants : theory and evidence
Burney, Robert B.
;
Moore, William Theodore
- In:
Review of quantitative finance and accounting
8
(
1997
)
1
,
pp. 5-18
Persistent link: https://www.econbiz.de/10001590873
Saved in:
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