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~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~subject:"ARCH model"
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Search: subject_exact:"Option pricing theory"
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ARCH model
Option pricing theory
83
Optionspreistheorie
83
Volatility
38
Volatilität
38
Option trading
36
Optionsgeschäft
36
Stochastic process
32
Stochastischer Prozess
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Derivat
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Option pricing
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Portfolio selection
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Portfolio-Management
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Statistical distribution
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Huang, Hung-Hsi
2
Lin, Shin-Hung
2
Wang, Xingchun
2
Chang, Chia-Lin
1
Chen, Ting-Fu
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Cheng, Hung-Wen
1
Chiu, Hsin-Yu
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Chuang, Wen-i
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Lo, Chien-Ling
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McAleer, Michael
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Perote, Javier
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Pérez Amaral, Teodosio
1
Siu-Hang Li, Johnny
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Wang, Chiu-Ping
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The North American journal of economics and finance : a journal of financial economics studies
Journal of banking & finance
13
The journal of futures markets
13
Finance research letters
8
Journal of econometrics
8
Journal of empirical finance
7
The journal of derivatives : the official publication of the International Association of Financial Engineers
7
International journal of theoretical and applied finance
6
Quantitative finance
6
Applied economics
5
Review of derivatives research
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Review of quantitative finance and accounting
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Computational economics
4
Economic modelling
4
International journal of forecasting
4
Journal of international financial markets, institutions & money
4
The review of financial studies
4
Applied financial economics
3
European journal of operational research : EJOR
3
International journal of bonds and derivatives
3
International review of economics & finance : IREF
3
Journal of economic dynamics & control
3
Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
Management science : journal of the Institute for Operations Research and the Management Sciences
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Research in international business and finance
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Asia-Pacific financial markets
2
Cogent economics & finance
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Decisions in economics and finance : DEF ; a journal of applied mathematics
2
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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International journal of economics and finance
2
International journal of financial engineering
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Journal of financial econometrics
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Journal of financial economics
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Journal of international money and finance
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Journal of risk and financial management : JRFM
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Multinational finance journal : MF ; quarterly publication of the Multinational Finance Society
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Quantitative finance and economics
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Research bulletin / The Institute of Cost Accountants of India
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Resource and energy economics
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1
Pricing basket spread options with default risk under Heston-Nandi GARCH models
Wang, Xingchun
;
Zhang, Han
- In:
The North American journal of economics and finance : a …
59
(
2022
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013413519
Saved in:
2
Carbon option price forecasting based on modified fractional Brownian motion optimized by GARCH model in carbon emission trading
Liu, Zhibin
;
Huang, Shang-Ho
- In:
The North American journal of economics and finance : a …
55
(
2021
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012667720
Saved in:
3
Valuation of options on the maximum of two prices with default risk under GARCH models
Wang, Xingchun
- In:
The North American journal of economics and finance : a …
57
(
2021
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012822187
Saved in:
4
Impact of volatility jumps in a mean-reverting model : derivative pricing and empirical evidence
Chiu, Hsin-Yu
;
Chen, Ting-Fu
- In:
The North American journal of economics and finance : a …
52
(
2020
),
pp. 1-22
Persistent link: https://www.econbiz.de/10012656907
Saved in:
5
Model specification of conditional jump intensity : Evidence from S&P 500 returns and option prices
Cheng, Hung-Wen
;
Lo, Chien-Ling
;
Tsai, Jeffrey Tzuhao
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-12
Persistent link: https://www.econbiz.de/10012667167
Saved in:
6
Reasonable evaluation of VIX options for the Taiwan stock index
Huang, Hung-Hsi
;
Lin, Shin-Hung
;
Wang, Chiu-Ping
- In:
The North American journal of economics and finance : a …
48
(
2019
),
pp. 111-130
Persistent link: https://www.econbiz.de/10012120217
Saved in:
7
Moments expansion densities for quantifying financial risk
Ñíguez, Trino-Manuel
;
Perote, Javier
- In:
The North American journal of economics and finance : a …
42
(
2017
),
pp. 53-69
Persistent link: https://www.econbiz.de/10011938073
Saved in:
8
Option pricing under truncated Gram-Charlier expansion
Lin, Shin-Hung
;
Huang, Hung-Hsi
;
Li, Sheng-Han
- In:
The North American journal of economics and finance : a …
32
(
2015
),
pp. 77-97
Persistent link: https://www.econbiz.de/10011514435
Saved in:
9
Option pricing under GARCH models with Hansen's skewed-t distributed innovations
Liu, Yanxin
;
Siu-Hang Li, Johnny
;
Ng, Andrew Cheuk-Yin
- In:
The North American journal of economics and finance : a …
31
(
2015
),
pp. 108-125
Persistent link: https://www.econbiz.de/10011511067
Saved in:
10
Predicting volatility using the Markov-switching multifractal model : evidence from S&P 100 index and equity options
Chuang, Wen-i
;
Huang, Teng-ching
;
Lin, Bing-huei
- In:
The North American journal of economics and finance : a …
25
(
2013
),
pp. 168-187
Persistent link: https://www.econbiz.de/10009779311
Saved in:
11
The rise and fall of S&P500 variance futures
Chang, Chia-Lin
;
Jimenez-Martin, Juan-Angel
;
McAleer, …
- In:
The North American journal of economics and finance : a …
25
(
2013
),
pp. 151-167
Persistent link: https://www.econbiz.de/10009779314
Saved in:
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