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Option pricing theory
261
Optionspreistheorie
261
Option trading
84
Optionsgeschäft
84
Volatility
78
Volatilität
78
Theorie
69
Theory
69
USA
41
Stochastic process
40
Stochastischer Prozess
40
United States
40
Estimation
34
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34
Derivat
32
Derivative
32
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28
Index futures
25
Index-Futures
25
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19
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19
ARCH model
15
ARCH-Modell
15
Aktienoption
15
Stock option
15
Statistical distribution
14
Statistische Verteilung
14
Yield curve
14
Zinsstruktur
14
Börsenkurs
12
Share price
12
Credit risk
10
Currency option
10
Devisenoption
10
Kreditrisiko
10
Commodity derivative
9
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option pricing
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261
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Chung, San-lin
7
Câmara, António
7
Kang, Jangkoo
7
Wang, Yaw-huei
7
Hung, Mao-Wei
6
Kim, Hwa-sung
5
Kwok, Yue-Kuen
5
Liao, Szu-Lang
5
Corrado, Charles Joseph
4
Gauthier, Geneviève
4
Guo, Jia-hau
4
Liu, Qiang
4
Lyuu, Yuh-dauh
4
Ryu, Doojin
4
Zhang, Jin E.
4
Elliott, Robert J.
3
Gray, Philip K.
3
Huang, Zhuo
3
Kuo, I.-doun
3
Lee, Hangsuck
3
Lim, Kian-Guan
3
Lin, Yueh-neng
3
Nunes, Joaõ Pedro Vidal
3
Shiraya, Kenichiro
3
Su, Tie
3
Wang, Xingchun
3
Wong, Hoi Ying
3
Alcock, Jamie
2
Alexander, Carol
2
Bellalah, Mondher
2
Byun, Suk Joon
2
Chang, Jack S. K.
2
Chang, Jui-jane
2
Chen, Chao-chun
2
Chen, Son-nan
2
Cheng, Xin
2
Chung, San-Lin
2
Cui, Zhenyu
2
Dai, Tian-Shyr
2
Daigler, Robert T.
2
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Asia Pacific Futures Research Symposium <13, 2003, Schanghai>
1
International Conference on Derivatives and Risk Management <2003, Schanghai>
1
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The journal of futures markets
International journal of theoretical and applied finance
467
Mathematical finance : an international journal of mathematics, statistics and financial theory
255
The journal of computational finance
254
Applied mathematical finance
244
Finance and stochastics
218
Journal of banking & finance
208
The journal of derivatives : the official publication of the International Association of Financial Engineers
203
Quantitative finance
199
Review of derivatives research
170
Insurance / Mathematics & economics
139
European journal of operational research : EJOR
133
Journal of economic dynamics & control
131
Finance research letters
116
International journal of financial engineering
116
Computational economics
107
Journal of mathematical finance
107
Risks : open access journal
96
Research paper series / Swiss Finance Institute
87
The North American journal of economics and finance : a journal of financial economics studies
83
The European journal of finance
81
Journal of financial economics
79
Asia-Pacific financial markets
77
Journal of econometrics
66
Energy economics
59
Journal of financial and quantitative analysis : JFQA
58
NBER working paper series
58
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
57
Review of quantitative finance and accounting
55
The journal of finance : the journal of the American Finance Association
55
SFB 649 discussion paper
54
Annals of finance
52
Journal of risk and financial management : JRFM
50
The journal of real estate finance and economics
50
The review of financial studies
50
Working paper / National Bureau of Economic Research, Inc.
50
Economic modelling
49
International review of economics & finance : IREF
48
Decisions in economics and finance : DEF ; a journal of applied mathematics
47
Management science : journal of the Institute for Operations Research and the Management Sciences
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ECONIS (ZBW)
261
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1
Quality issues of implied volatilities of index and stock options in the OptionMetrics IvyDB database
Wallmeier, Martin
- In:
The journal of futures markets
44
(
2024
)
5
,
pp. 854-875
Persistent link: https://www.econbiz.de/10014536695
Saved in:
2
SOFR term structure dynamics : discontinuous short rates and stochastic volatility forward rates
Brace, Alan
;
Gellert, Karol
;
Schlögl, Erik
- In:
The journal of futures markets
44
(
2024
)
6
,
pp. 936-985
Persistent link: https://www.econbiz.de/10014536708
Saved in:
3
Lever up! : an analysis of options trading in leveraged ETFs
Gilstrap, Collin
;
Petkevich, Alex
;
Teterin, Pavel
; …
- In:
The journal of futures markets
44
(
2024
)
6
,
pp. 986-1002
Persistent link: https://www.econbiz.de/10014536712
Saved in:
4
Calibration in the "real world" of a partially specified stochastic volatility model
Fatone, Lorella
;
Mariani, Francesca
;
Zirilli, Francesco
- In:
The journal of futures markets
44
(
2024
)
1
,
pp. 75-102
Persistent link: https://www.econbiz.de/10014475426
Saved in:
5
Leveraging prices from credit and equity option markets for portfolio risk management
Bégin, Jean-François
;
Boudreault, Mathieu
; …
- In:
The journal of futures markets
44
(
2024
)
1
,
pp. 122-147
Persistent link: https://www.econbiz.de/10014475433
Saved in:
6
Term spreads of implied volatility smirk and variance risk premium
Guo, Wei
;
Ruan, Xinfeng
;
Gehricke, Sebastian A.
;
Zhang, …
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 829-857
Persistent link: https://www.econbiz.de/10014293246
Saved in:
7
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:
8
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:
9
Option pricing with state-dependent pricing kernel
Tong, Chen
;
Hansen, Peter Reinhard
;
Huang, Zhuo
- In:
The journal of futures markets
42
(
2022
)
8
,
pp. 1409-1433
Persistent link: https://www.econbiz.de/10013287978
Saved in:
10
Forecasting realized volatility : new evidence from time-varying jumps in VIX
Dutta, Anupam
;
Das, Debojyoti
- In:
The journal of futures markets
42
(
2022
)
12
,
pp. 2165-2189
Persistent link: https://www.econbiz.de/10013465875
Saved in:
11
Early exercise, implied volatility spread and future stock return : jumps bind them all
Garrett, Ian
;
Gazi, Adnan
- In:
The journal of futures markets
44
(
2024
)
5
,
pp. 720-743
Persistent link: https://www.econbiz.de/10014536677
Saved in:
12
A model-free approximation for barrier options in a general stochastic volatility framework
Rolloos, Frido
;
Shiraya, Kenichiro
- In:
The journal of futures markets
44
(
2024
)
6
,
pp. 923-935
Persistent link: https://www.econbiz.de/10014536706
Saved in:
13
Considering momentum spillover effects via graph neural network in option pricing
Wang, Yao
;
Zhao, Jingmei
;
Qing, Li
;
Wei, Xiangyu
- In:
The journal of futures markets
44
(
2024
)
6
,
pp. 1069-1094
Persistent link: https://www.econbiz.de/10014536719
Saved in:
14
Option pricing with dynamic conditional skewness
Liang, Fang
;
Du, Lingshan
- In:
The journal of futures markets
44
(
2024
)
7
,
pp. 1154-1188
Persistent link: https://www.econbiz.de/10014553957
Saved in:
15
Can technical indicators based on underlying assets help to predict implied volatility index
Shi, Yafeng
;
Shi, Yanlong
;
Ying, Tingting
- In:
The journal of futures markets
44
(
2024
)
1
,
pp. 57-74
Persistent link: https://www.econbiz.de/10014475424
Saved in:
16
Performance comparison of alternative stochastic volatility models and its determinants in energy futures : COVID-19 and Russia-Ukraine conflict features
Fernandes, Mário Correia
;
Dias, José Carlos
;
Nunes, …
- In:
The journal of futures markets
44
(
2024
)
3
,
pp. 343-383
Persistent link: https://www.econbiz.de/10014475488
Saved in:
17
Price monotonicity violations during stock market crashes : evidence from the SSE 50 ETF options market
Luo, Xingguo
;
Ryu, Doojin
;
Tao, Libin
;
Ye, Chuxin
- In:
The journal of futures markets
44
(
2024
)
3
,
pp. 533-554
Persistent link: https://www.econbiz.de/10014475508
Saved in:
18
VIX option pricing through nonaffine GARCH dynamics and semianalytical formula
Liu, Junting
;
Wang, Qi
;
Zhang, Yuanyuan
- In:
The journal of futures markets
44
(
2024
)
7
,
pp. 1189-1223
Persistent link: https://www.econbiz.de/10014553980
Saved in:
19
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:
20
American strangle options with arbitrary strikes
Zaevski, Tsvetelin S.
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 880-903
Persistent link: https://www.econbiz.de/10014293264
Saved in:
21
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:
22
Pricing of American Parisian option as executive option based on the least-squares Monte Carlo approach
Zhuang, Yangyang
;
Tang, Pan
- In:
The journal of futures markets
43
(
2023
)
10
,
pp. 1469-1496
Persistent link: https://www.econbiz.de/10014339456
Saved in:
23
Option pricing with overnight and intraday volatility
Liang, Fang
;
Du, Lingshan
;
Huang, Zhuo
- In:
The journal of futures markets
43
(
2023
)
11
,
pp. 1576-1614
Persistent link: https://www.econbiz.de/10014432919
Saved in:
24
Harvesting the volatility smile in a large emerging market : a Dynamic Nelson-Siegel approach
Kumar, Sudarshan
;
Agarwalla, Sobhesh Kumar
;
Varma, …
- In:
The journal of futures markets
43
(
2023
)
11
,
pp. 1615-1644
Persistent link: https://www.econbiz.de/10014432920
Saved in:
25
Sequential Itô-Taylor expansions and characteristic functions of stochastic volatility models
Ding, Kailin
;
Cui, Zhenyu
;
Liu, Yanchu
- In:
The journal of futures markets
43
(
2023
)
12
,
pp. 1750-1769
Persistent link: https://www.econbiz.de/10014433005
Saved in:
26
Pricing arithmetic Asian and Amerasian options : a diffusion operator integral expansion approach
Ding, Kailin
;
Cui, Zhenyu
;
Yang, Xiaoguang
- In:
The journal of futures markets
43
(
2023
)
2
,
pp. 217-241
Persistent link: https://www.econbiz.de/10014293009
Saved in:
27
Pricing multiasset time-varying double-barrier options with time-dependent parameters
Lyuu, Yuh-dauh
;
Zhang, Yu-Quan
- In:
The journal of futures markets
43
(
2023
)
3
,
pp. 404-434
Persistent link: https://www.econbiz.de/10014293107
Saved in:
28
Forecasting swap rate volatility with information from swaptions
Liu, Xiaoxi
;
Xie, Jinming
- In:
The journal of futures markets
43
(
2023
)
4
,
pp. 455-479
Persistent link: https://www.econbiz.de/10014293114
Saved in:
29
Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators : an affine jump-diffusion approach
Aschakulporn, Pakorn
;
Zhang, Jin E.
- In:
The journal of futures markets
42
(
2022
)
3
,
pp. 365-388
Persistent link: https://www.econbiz.de/10012817922
Saved in:
30
A Skellam market model for loan prime rate options
Chen, Zhanyu
;
Zhang, Kai
;
Zhao, Hongbiao
- In:
The journal of futures markets
42
(
2022
)
3
,
pp. 525-551
Persistent link: https://www.econbiz.de/10012817951
Saved in:
31
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:
32
Option prices for risk-neutral density estimation using nonparametric methods through big data and large-scale problems
Monteiro, Ana M.
;
Santos, António A. F.
- In:
The journal of futures markets
42
(
2022
)
1
,
pp. 152-171
Persistent link: https://www.econbiz.de/10012796300
Saved in:
33
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:
34
GARCH pricing and hedging of VIX options
Liu, Qiang
;
Jiao, Yuhan
;
Guo, Shuxin
- In:
The journal of futures markets
42
(
2022
)
6
,
pp. 1039-1066
Persistent link: https://www.econbiz.de/10013287915
Saved in:
35
Resale options and heterogeneous beliefs
Huang, Kai-Min
;
Kuo, I.-doun
;
Wang, Rong-Tsorng
- In:
The journal of futures markets
42
(
2022
)
6
,
pp. 1067-1083
Persistent link: https://www.econbiz.de/10013287916
Saved in:
36
Overnight volatility, realized volatility, and option pricing
Wang, Tianyi
;
Cheng, Sicong
;
Yin, Fangsheng
;
Yu, Mei
- In:
The journal of futures markets
42
(
2022
)
7
,
pp. 1264-1283
Persistent link: https://www.econbiz.de/10013287956
Saved in:
37
Pricing cancellable American put options on the finite time horizon
Zaevski, Tsvetelin S.
- In:
The journal of futures markets
42
(
2022
)
7
,
pp. 1284-1303
Persistent link: https://www.econbiz.de/10013287957
Saved in:
38
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:
39
Analyzing interactive call, default, and conversion policies for corporate bonds
Liu, Liang-Chih
;
Dai, Tian-Shyr
;
Zhou, Lei
;
Chang, Hao-Han
- In:
The journal of futures markets
42
(
2022
)
8
,
pp. 1597-1638
Persistent link: https://www.econbiz.de/10013288012
Saved in:
40
Multistep forecast of the implied volatility surface using deep learning
Medvedev, Nikita
;
Wang, Zhiguang
- In:
The journal of futures markets
42
(
2022
)
4
,
pp. 645-667
Persistent link: https://www.econbiz.de/10013187579
Saved in:
41
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:
42
Pricing vulnerable options under correlated skew Brownian motions
Guo, Che
;
Wang, Xingchun
- In:
The journal of futures markets
42
(
2022
)
5
,
pp. 852-867
Persistent link: https://www.econbiz.de/10013187607
Saved in:
43
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:
44
A Black-Scholes user's guide to the Bachelier model
Choi, Jaehyuk
;
Kwak, Minsuk
;
Tee, Chyng Wen
;
Wang, Yumeng
- In:
The journal of futures markets
42
(
2022
)
5
,
pp. 959-980
Persistent link: https://www.econbiz.de/10013187619
Saved in:
45
Volatility model applications in China's SSE50 options market
Chi, Yeguang
;
Hao, Wenyan
;
Zhang, Yifei
- In:
The journal of futures markets
42
(
2022
)
9
,
pp. 1704-1720
Persistent link: https://www.econbiz.de/10013465807
Saved in:
46
The information content of the volatility index options trading volume
Gu, Chen
;
Guo, Xu
;
Kurov, Alexander
;
Stan, Raluca
- In:
The journal of futures markets
42
(
2022
)
9
,
pp. 1721-1737
Persistent link: https://www.econbiz.de/10013465809
Saved in:
47
Why are the prices of European-style derivatives greater than the prices of American-style derivatives?
Jin, Xuejun
;
Zhao, Jingyu
;
Luo, Xingguo
- In:
The journal of futures markets
42
(
2022
)
9
,
pp. 1772-1793
Persistent link: https://www.econbiz.de/10013465814
Saved in:
48
Option pricing with maximum entropy densities : the inclusion of higher-order moments
Ardakani, Omid M.
- In:
The journal of futures markets
42
(
2022
)
10
,
pp. 1821-1836
Persistent link: https://www.econbiz.de/10013465823
Saved in:
49
Venturing into uncharted territory : an extensible implied volatility surface model
François, Pascal
;
Galarneau-Vincent, Rémi
;
Gauthier, …
- In:
The journal of futures markets
42
(
2022
)
10
,
pp. 1912-1940
Persistent link: https://www.econbiz.de/10013465829
Saved in:
50
A stochastic-volatility equity-price tree for pricing convertible bonds with endogenous firm values and default risks determined by the first-passage default model
Dai, Tian-Shyr
;
Fan, Chen-Chiang
;
Liu, Liang-Chih
; …
- In:
The journal of futures markets
42
(
2022
)
12
,
pp. 2103-2134
Persistent link: https://www.econbiz.de/10013465872
Saved in:
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