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Option pricing theory
12
Optionspreistheorie
12
Stochastic volatility
11
Stochastische Volatilität
11
Stochastic process
6
Stochastischer Prozess
6
Volatility
6
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stochastic volatility
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The journal of futures markets
International journal of theoretical and applied finance
42
Tinbergen Institute Discussion Papers
40
Working Paper
40
CREATES Research Papers
39
International Journal of Theoretical and Applied Finance (IJTAF)
38
Journal of econometrics
34
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MPRA Paper
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Quantitative finance
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24
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Finance and Stochastics
22
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Physica A: Statistical Mechanics and its Applications
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The journal of computational finance
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Energy economics
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CIRANO Working Papers
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Economics letters
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Journal of banking & finance
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Review of Derivatives Research
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SFB 649 Discussion Papers
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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SFB 649 Discussion Paper
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Insurance / Mathematics & economics
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Journal of Risk and Financial Management
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1
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:
2
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:
3
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:
4
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:
5
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:
6
The return-volatility relation in commodity futures markets
Chiarella, Carl
;
Kang, Boda
;
Nikitopoulos, Christina …
- In:
The journal of futures markets
36
(
2016
)
2
,
pp. 127-152
Persistent link: https://www.econbiz.de/10011568056
Saved in:
7
Stochastic skew and target volatility options
Grasselli, Martino
;
Romo, Jacinto Marabel
- In:
The journal of futures markets
36
(
2016
)
2
,
pp. 174-193
Persistent link: https://www.econbiz.de/10011568064
Saved in:
8
Empirical performance of commodity pricing models : when is it worthwhile to use a stochastic volatility specification?
Cortazar, Gonzalo
;
Gutierrez, Simon
;
Ortega, Hector
- In:
The journal of futures markets
36
(
2016
)
5
,
pp. 457-487
Persistent link: https://www.econbiz.de/10011568444
Saved in:
9
A generalization of the recursive integration method for the analytic valuation of American options
Chang, Lung-Fu
;
Guo, Jia-Hau
;
Hung, Mao-Wei
- In:
The journal of futures markets
36
(
2016
)
9
,
pp. 887-901
Persistent link: https://www.econbiz.de/10011568657
Saved in:
10
Heston-type stochastic volatility with a Markov switching regime
Elliott, Robert J.
;
Nishide, Katsumasa
;
Osakwe, …
- In:
The journal of futures markets
36
(
2016
)
9
,
pp. 902-919
Persistent link: https://www.econbiz.de/10011568671
Saved in:
11
Executive stock option pricing in China under stochastic volatility
Chong, Terence Tai-Leung
;
Ding, Yue
;
Li, Yong
- In:
The journal of futures markets
35
(
2015
)
10
,
pp. 953-960
Persistent link: https://www.econbiz.de/10011392713
Saved in:
12
Analytic approximation of finite-maturity timer option prices
Li, Minqiang
;
Mercurio, Fabio
- In:
The journal of futures markets
35
(
2015
)
3
,
pp. 245-273
Persistent link: https://www.econbiz.de/10011348432
Saved in:
13
An approach to the option market model based on end-user net demand
Sasaki, Hiroshi
- In:
The journal of futures markets
35
(
2015
)
5
,
pp. 476-503
Persistent link: https://www.econbiz.de/10011405401
Saved in:
14
Derivatives pricing on integrated diffusion processes : a general perturbation approach
Li, Minqiang
- In:
The journal of futures markets
35
(
2015
)
6
,
pp. 582-595
Persistent link: https://www.econbiz.de/10011405411
Saved in:
15
Pricing multiasset cross-currency options
Shiraya, Kenichiro
;
Takahashi, Akihiko
- In:
The journal of futures markets
34
(
2014
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10010254960
Saved in:
16
Alternative tilts for nonparametric option pricing
Haley, M. Ryan
;
Walker, Todd B.
- In:
The journal of futures markets
30
(
2010
)
10
,
pp. 983-1006
Persistent link: https://www.econbiz.de/10008900930
Saved in:
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