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Option pricing theory
GARCH
2,494
Volatility
1,147
ARCH-Modell
1,119
ARCH model
1,077
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1,072
Optionspreistheorie
720
option pricing
687
Option pricing
635
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416
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406
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Börsenkurs
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stochastic volatility
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Lee, Hangsuck
11
Fabozzi, Frank J.
9
Račev, Svetlozar T.
8
Siu, Tak Kuen
8
Elliott, Robert J.
7
Kim, Young Shin
7
Leippold, Markus
6
Aguilar, Jean-Philippe
5
Godin, Frédéric
5
Lian, Yu-Min
5
Liao, Szu-Lang
5
Maré, Eben
5
Song, Seongjoo
5
Vives, Josep
5
Ballestra, Luca Vincenzo
4
Ballotta, Laura
4
Bayer, Christian
4
Bormetti, Giacomo
4
Chen, Jun-Home
4
Corsi, Fulvio
4
Cui, Zhenyu
4
Filipović, Damir
4
He, Xin-Jiang
4
Howison, Sam
4
Kim, Junseok
4
Ko, Bangwon
4
Lee, Minha
4
Li, Lingfei
4
Marazzina, Daniele
4
Shirvani, Abootaleb
4
Stentoft, Lars
4
Venter, Pierre J.
4
Zhu, Song-Ping
4
Ackerer, Damien
3
Almeida, Caio
3
Badescu, Alexandru
3
Bermin, Hans-Peter
3
Carr, Peter
3
Ciocan, Dragos Florin
3
Dapena, José P.
3
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International journal of theoretical and applied finance
39
Quantitative finance
35
Computational economics
25
The North American journal of economics and finance : a journal of financial economics studies
22
European journal of operational research : EJOR
20
International journal of financial engineering
20
Risks : open access journal
19
Finance research letters
17
Journal of mathematical finance
17
Review of derivatives research
16
Journal of banking & finance
13
The journal of futures markets
13
Journal of risk and financial management : JRFM
12
Applied mathematical finance
11
Research paper series / Swiss Finance Institute
11
The journal of computational finance
11
Insurance / Mathematics & economics
10
Review of quantitative finance and accounting
9
Journal of econometrics
8
Applied economics
7
International review of economics & finance : IREF
7
Journal of financial economics
7
Management science : journal of the Institute for Operations Research and the Management Sciences
7
Finance and stochastics
6
Journal of economic dynamics & control
6
Journal of empirical finance
6
Journal of financial econometrics
6
Mathematical finance
6
Asia-Pacific financial markets
5
Economic modelling
5
Energy economics
5
International Journal of Financial Markets and Derivatives : IJFMD
5
International Journal of Financial Studies : open access journal
5
International review of financial analysis
5
Mathematical finance : an international journal of mathematics, statistics and financial theory
5
Swiss Finance Institute Research Paper
5
Annals of finance
4
Digital finance : smart data analytics, investment innovation, and financial technology
4
Discussion paper / Tinbergen Institute
4
Economics letters
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ECONIS (ZBW)
696
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696
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1
A comparison of pricing kernels for
GARCH
option pricing with generalized hyperbolic distributions
Badescu, Alexandru
;
Elliott, Robert J.
;
Kulperger, Reg
; …
- In:
International journal of theoretical and applied finance
14
(
2011
)
5
,
pp. 669-708
Persistent link: https://www.econbiz.de/10009298478
Saved in:
2
Option pricing in regime-switching frameworks with the Extended Girsanov Principle
Godin, Frédéric
;
Trottier, Denis-Alexandre
- In:
Insurance / Mathematics & economics
99
(
2021
),
pp. 116-129
Persistent link: https://www.econbiz.de/10012649213
Saved in:
3
Importance sampling applied to Greeks for jump : diffusion models with stochastic volatility
De Diego, Sergio
;
Ferreira, Eva
;
Nualart, Eulàlia
- In:
The journal of computational finance
22
(
2018
)
1
,
pp. 79-105
Persistent link: https://www.econbiz.de/10011890181
Saved in:
4
GARCH
option pricing models with Meixner innovations
Fengler, Matthias
;
Melnikov, Alexander
-
2017
Persistent link: https://www.econbiz.de/10011718747
Saved in:
5
Option pricing and hedging under a stochastic volatility Lévy process model
Kim, Young Shin
;
Fabozzi, Frank J.
;
Lin, Zuodong
; …
- In:
Review of derivatives research
15
(
2012
)
1
,
pp. 81-97
Persistent link: https://www.econbiz.de/10009627431
Saved in:
6
GARCH
option pricing models with Meixner innovations
Fengler, Matthias
;
Melnikov, Alexander
- In:
Review of derivatives research
21
(
2018
)
3
,
pp. 277-305
Persistent link: https://www.econbiz.de/10012055743
Saved in:
7
Option pricing under regime-switching models : novel approaches removing path-dependence
Godin, Frédéric
;
Lai, Van Son
;
Trottier, Denis-Alexandre
- In:
Insurance / Mathematics & economics
87
(
2019
),
pp. 130-142
Persistent link: https://www.econbiz.de/10012058933
Saved in:
8
Insurance guaranty premiums and exchange options
Lee, Hangsuck
;
Song, Seongjoo
;
Lee, Gaeun
- In:
Mathematics and financial economics
17
(
2023
)
1
,
pp. 49-77
Persistent link: https://www.econbiz.de/10014226252
Saved in:
9
European option pricing with market frictions, regime switches and model uncertainty
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
113
(
2023
),
pp. 233-250
Persistent link: https://www.econbiz.de/10014466214
Saved in:
10
Investor attention and FX market volatility
Goddard, John
;
Kita, Arben
;
Wang, Qingwei
- In:
Journal of international financial markets, …
38
(
2015
),
pp. 79-96
Persistent link: https://www.econbiz.de/10011475168
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