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isPartOf:"The journal of futures markets"
~subject:"Stochastic process"
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Stochastic process
Option trading
189
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189
Option pricing theory
79
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79
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61
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61
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48
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Elliott, Robert J.
2
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Tchuindjo, Léonard
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The journal of futures markets
International journal of theoretical and applied finance
28
Quantitative finance
21
The journal of computational finance
16
Applied mathematical finance
14
Journal of economic dynamics & control
11
Finance and stochastics
10
Review of derivatives research
10
Computational economics
9
European journal of operational research : EJOR
9
International journal of financial engineering
9
The North American journal of economics and finance : a journal of financial economics studies
9
Finance research letters
8
Journal of banking & finance
8
Journal of econometrics
8
Journal of mathematical finance
8
Annals of finance
7
Insurance / Mathematics & economics
6
Mathematical finance : an international journal of mathematics, statistics and financial theory
5
Operations research
5
Operations research letters
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Research paper series / Swiss Finance Institute
5
The journal of derivatives : the official publication of the International Association of Financial Engineers
5
Asia-Pacific financial markets
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Economic modelling
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Risks : open access journal
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The journal of derivatives : JOD
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Advanced series on statistical science & applied probability
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Applied economics
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Decisions in economics and finance : DEF ; a journal of applied mathematics
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International review of economics & finance : IREF
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Journal of financial economics
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Journal of risk and financial management : JRFM
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Mathematical methods of operations research
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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Swiss Finance Institute Research Paper
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The European journal of finance
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Advanced modelling in mathematical finance : in honour of Ernst Eberlein
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1
Estimation of rare disaster concerns from option prices : an arbitrage-free RND-based smile construction approach
Albert, Pascal
;
Herold, Michael
;
Muck, Matthias
- In:
The journal of futures markets
43
(
2023
)
12
,
pp. 1807-1835
Persistent link: https://www.econbiz.de/10014433013
Saved in:
2
Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 925-950
Persistent link: https://www.econbiz.de/10014293270
Saved in:
3
Analytically pricing exchange options with stochastic liquidity and regime switching
He, Xin-Jiang
;
Lin, Sha
- In:
The journal of futures markets
43
(
2023
)
5
,
pp. 662-676
Persistent link: https://www.econbiz.de/10014293179
Saved in:
4
Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure
He, Xin-Jiang
;
Lin, Sha
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 951-967
Persistent link: https://www.econbiz.de/10014293271
Saved in:
5
Piecewise linear double barrier options
Lee, Hangsuck
;
Ha, Hongjun
;
Lee, Minha
- In:
The journal of futures markets
42
(
2022
)
1
,
pp. 125-151
Persistent link: https://www.econbiz.de/10012796299
Saved in:
6
Multi-step reflection principle and barrier options
Lee, Hangsuck
;
Lee, Gaeun
;
Song, Seongjoo
- In:
The journal of futures markets
42
(
2022
)
4
,
pp. 692-721
Persistent link: https://www.econbiz.de/10013187581
Saved in:
7
Pricing VXX options by modeling VIX directly
Lin, Wei
;
Zhang, Jin E.
- In:
The journal of futures markets
42
(
2022
)
5
,
pp. 888-922
Persistent link: https://www.econbiz.de/10013187612
Saved in:
8
Approximate pricing of American exchange options with jumps
Lian, Guanghua
;
Elliott, Robert J.
;
Kalev, Petko S.
; …
- In:
The journal of futures markets
42
(
2022
)
6
,
pp. 983-1001
Persistent link: https://www.econbiz.de/10013287907
Saved in:
9
Power-type derivatives for rough volatility with jumps
Wang, Liang
;
Xia, Weixuan
- In:
The journal of futures markets
42
(
2022
)
7
,
pp. 1369-1406
Persistent link: https://www.econbiz.de/10013287974
Saved in:
10
Comment: "On approximating deep in-the-money Asian options under exponential Lévy Processes"
Sun, Xianming
;
Haesen, Dorien
;
Vanmaele, Michèle
- In:
The journal of futures markets
35
(
2015
)
12
,
pp. 1220-1221
Persistent link: https://www.econbiz.de/10011546256
Saved in:
11
Pricing forward skew dependent derivatives : multifactor versus single-factor stochastic volatility models
Marabel Romo, Jacinto
- In:
The journal of futures markets
34
(
2014
)
2
,
pp. 124-144
Persistent link: https://www.econbiz.de/10010255495
Saved in:
12
Pricing basket and Asian options under the jump-diffusion process
Bae, Kwangil
;
Kang, Jangkoo
;
Kim, Hwa-sung
- In:
The journal of futures markets
31
(
2011
)
9
,
pp. 830-854
Persistent link: https://www.econbiz.de/10009355795
Saved in:
13
Is there information in the volatility skew?
Doran, James S.
;
Peterson, David R.
;
Tarrant, Brian C.
- In:
The journal of futures markets
27
(
2007
)
10
,
pp. 921-959
Persistent link: https://www.econbiz.de/10003531001
Saved in:
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