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CAPM
Volatility
43,984
Volatilität
43,720
Optionspreistheorie
15,691
Theorie
15,555
Option pricing theory
15,231
Theory
15,191
Börsenkurs
10,557
Share price
10,412
Schätzung
8,812
Estimation
8,616
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7,467
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7,396
Kapitaleinkommen
7,261
Capital income
7,234
Optionsgeschäft
6,658
Option trading
6,452
Stochastischer Prozess
6,110
Stochastic process
6,016
Aktienmarkt
5,921
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5,858
Welt
5,809
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5,710
Wechselkurs
5,109
USA
5,096
Exchange rate
5,014
United States
4,946
Prognoseverfahren
4,314
Forecasting model
4,259
Portfolio-Management
4,244
Portfolio selection
4,220
Derivat
4,208
Derivative
4,197
Risk
4,108
Risiko
4,069
Zeitreihenanalyse
3,916
Time series analysis
3,835
Finanzmarkt
2,877
Financial market
2,812
volatility
2,720
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Free
1,071
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881
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43
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1,659
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14
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2,934
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54
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5
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Hull, John
26
Jacobs, Kris
20
Fabozzi, Frank J.
18
Madan, Dilip B.
18
Aït-Sahalia, Yacine
17
Bekaert, Geert
17
Lee, Cheng F.
17
Christoffersen, Peter F.
16
Bansal, Ravi
14
Campbell, John Y.
14
Todorov, Viktor
13
Račev, Svetlozar T.
12
Bali, Turan G.
11
Barro, Robert J.
11
Cochrane, John H.
11
Engstrom, Eric
11
Guo, Hui
11
Bakshi, Gurdip S.
10
Blitz, David
10
Collin-Dufresne, Pierre
10
Heston, Steven L.
10
Macrina, Andrea
10
Andersen, Torben
9
Chiarella, Carl
9
Elliott, Robert J.
9
Escobar, Marcos
9
Garcia, René
9
Goldstein, Robert S.
9
Kiku, Dana
9
Lo, Andrew W.
9
Rodríguez, Rosa
9
Rubio, Gonzalo
9
Schlag, Christian
9
Tauchen, George Eugene
9
Vanden, Joel M.
9
Zaremba, Adam
9
Adam, Klaus
8
Barone-Adesi, Giovanni
8
Feunou, Bruno
8
Perrakis, Stylianos
8
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National Bureau of Economic Research
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3
Federal Reserve Bank of St. Louis
3
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
3
Chambre de commerce et d'industrie de Paris
2
Deutsche Forschungsgemeinschaft
2
Sonderforschungsbereich 303 - Information und die Koordination Wirtschaftlicher Aktivitäten, Universität Bonn
2
American Finance Association
1
Bank of Canada
1
Cambridge University Press
1
Center for Economic Research <Minneapolis, Minn.>
1
Centre for Analytical Finance <Århus>
1
Centre for Economic Policy Research
1
Committee on Finance, United States Senate
1
Course of the International School of Mathematics Guido Stampacchia <15, 1992, Erice>
1
Course on Stochastic Processes: Applications in Mathematical Economics <15, 1992, Erice>
1
Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
1
Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam
1
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1
Federal Reserve System / Board of Governors
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Federal Reserve System / Division of Research and Statistics
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1
Institut de Préparation à l'Administration et à la Gestion (IPAG)
1
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1
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Judge Institute of Management Studies
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1
OECD
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1
Pearson Studium
1
Salomon Brothers Center for the Study of Financial Institutions
1
Social Systems Research Institute
1
Sonderforschungsbereich 303 Information und die Koordination wirtschaftlicher Aktivitäten, Universität Bonn
1
Svenska Handelshögskolan <Helsinki>
1
Trinity College Dublin / Department of Economics
1
University of British Columbia / Finance Division
1
Universität Mannheim
1
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Journal of banking & finance
55
Journal of financial economics
52
Finance research letters
44
International journal of theoretical and applied finance
44
NBER working paper series
42
Journal of empirical finance
40
Working paper / National Bureau of Economic Research, Inc.
38
Journal of econometrics
33
NBER Working Paper
33
International review of economics & finance : IREF
32
Management science : journal of the Institute for Operations Research and the Management Sciences
30
Finance and stochastics
29
International review of financial analysis
27
Mathematical finance : an international journal of mathematics, statistics and financial theory
27
Journal of economic dynamics & control
26
The journal of finance : the journal of the American Finance Association
26
Quantitative finance
25
Journal of mathematical finance
23
Research paper series / Swiss Finance Institute
23
The review of financial studies
23
The European journal of finance
21
The North American journal of economics and finance : a journal of financial economics studies
20
Annals of finance
19
Economics letters
17
Insurance / Mathematics & economics
17
Review of derivatives research
17
Journal of risk and financial management : JRFM
16
Research in international business and finance
16
Applied mathematical finance
15
Economic modelling
15
European journal of operational research : EJOR
15
International journal of financial engineering
15
Working paper
15
Applied economics
14
Journal of financial and quantitative analysis : JFQA
14
Swiss Finance Institute Research Paper
14
Finance and economics discussion series
13
Pacific-Basin finance journal
13
The journal of futures markets
13
Journal of financial markets
12
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ECONIS (ZBW)
2,984
EconStor
10
RePEc
10
OLC EcoSci
4
Showing
1
-
10
of
3,008
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
Pricing VIX Options with Multifactor Stochastic
Volatility
Caversaccio, Pascal Marco
-
2016
Chicago Board Options Exchange (CBOE)
volatility
index (VIX) options. Our methodology is analytically tractable and yet … modeling the stochastic co-
volatility
factor can significantly improve the in-sample fitting results due to the improved …
Persistent link: https://www.econbiz.de/10012989064
Saved in:
2
Option Implied
Volatility
, Skewness, and Kurtosis and the Cross-Section of Expected Stock Returns
Bali, Turan G.
-
2019
-ante measures of
volatility
, skewness, and kurtosis implied from stock option prices are positively related to the cross section of …
volatility
, only the unsystematic components of skewness and kurtosis are related to the cross section of expected stock returns …
Persistent link: https://www.econbiz.de/10012905215
Saved in:
3
Cashing in on Fear : Implied Jump Risk Premium and the Cross-Section of Option Returns
Chowdhury, Mishuk
-
2011
. Empirically, we estimate jump risk premium from two different measures of the slope of the implied
volatility
smile. Our results …
Persistent link: https://www.econbiz.de/10013123514
Saved in:
4
A Bayesian stochastic discount factor for the cross-section of individual equity options
Käfer, Niclas
;
Mörke, Mathis
;
Weigert, Florian
; …
-
2025
-
This version: April 23, 2024
and portfolios. We document that the SDF is dense in characteristics with the impliedrealized
volatility
spread, option …
Persistent link: https://www.econbiz.de/10015204018
Saved in:
5
Asymptotic equivalence in Lee's moment formulas for the implied
volatility
, asset price models without moment explosions, and Piterbarg's conjecture
Gulisashvili, Archil
- In:
International journal of theoretical and applied finance
15
(
2012
)
3
,
pp. 1-34
Persistent link: https://www.econbiz.de/10009624495
Saved in:
6
European option pricing for a stochastic
volatility
Lévy model with stochastic interest rates
Pinkham, Sarisa
;
Pairote Sattayatham
- In:
Journal of mathematical finance
1
(
2011
)
3
,
pp. 98-108
Persistent link: https://www.econbiz.de/10009668518
Saved in:
7
Correlation, smile,
volatility
skew, and systematic risk sensitivity of tranches
Hamerle, Alfred
;
Igl, Andreas
;
Plank, Kilian
- In:
The journal of derivatives : the official publication …
19
(
2012
)
3
,
pp. 9-27
Persistent link: https://www.econbiz.de/10009671109
Saved in:
8
Risk-adjusted option-implied moments
Brinkmann, Felix
;
Korn, Olaf
-
2014
Option-implied moments, like implied
volatility
, contain useful information about an underlying asset's return …
Persistent link: https://www.econbiz.de/10010399367
Saved in:
9
Implied
volatility
and the risk-free rate of return in options markets
Bianconi, Marcelo
;
McLachlan, Scott
;
Sammon, Marco
-
2014
Persistent link: https://www.econbiz.de/10010362853
Saved in:
10
Estimating probability distributions of future asset prices : empirical transformations from option-implied risk-neutral to real-world density functions
Vincent-Humphreys, Rupert de
;
Noss, Joseph
-
2012
Persistent link: https://www.econbiz.de/10009559811
Saved in:
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