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subject:"Option pricing theory"
~isPartOf:"Review of derivatives research"
~subject:"Estimation"
~subject:"Multivariate Verteilung"
~subject:"Volatilität"
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Option pricing theory
Estimation
Multivariate Verteilung
Volatilität
Statistical distribution
15
Statistische Verteilung
15
Optionspreistheorie
11
Option trading
5
Optionsgeschäft
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Vitiello, Luiz
2
Ammann, Manuel
1
Andersen, Leif B. G.
1
Andreasen, Jesper Fredborg
1
Aschakulporn, Pakorn
1
Bernard, Carole
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Tédongap, Roméo
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Ulrich, Maxim
1
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Review of derivatives research
Journal of econometrics
60
Insurance / Mathematics & economics
54
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
37
International journal of theoretical and applied finance
36
Applied economics
34
Risks : open access journal
27
Discussion paper / Tinbergen Institute
26
Journal of banking & finance
26
The North American journal of economics and finance : a journal of financial economics studies
24
International journal of forecasting
23
Economic modelling
22
Finance research letters
21
International review of financial analysis
20
Computational economics
19
Journal of empirical finance
19
Quantitative finance
19
The journal of derivatives : the official publication of the International Association of Financial Engineers
19
The journal of futures markets
19
Economics letters
18
SFB 649 discussion paper
18
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
17
The European journal of finance
17
International review of economics & finance : IREF
15
Journal of risk and financial management : JRFM
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European journal of operational research : EJOR
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Journal of economic dynamics & control
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of mathematical finance
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Research paper series / Swiss Finance Institute
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Journal of international financial markets, institutions & money
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
11
International journal of financial engineering
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Swiss Finance Institute Research Paper
11
Applied mathematical finance
10
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Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators : a Gram-Charlier density approach
Aschakulporn, Pakorn
;
Zhang, Jin E.
- In:
Review of derivatives research
25
(
2022
)
3
,
pp. 233-281
Persistent link: https://www.econbiz.de/10013457619
Saved in:
2
A model-free approach to multivariate option pricing
Bernard, Carole
;
Bondarenko, Oleg
;
Vanduffel, Steven
- In:
Review of derivatives research
24
(
2021
)
2
,
pp. 135-155
Persistent link: https://www.econbiz.de/10012549100
Saved in:
3
Conditional risk-neutral density from option prices by local polynomial Kernel smoothing with no-arbitrage constraints
Monteiro, Ana M.
;
Santos, Antonio A. F.
- In:
Review of derivatives research
23
(
2020
)
1
,
pp. 41-61
Persistent link: https://www.econbiz.de/10012229782
Saved in:
4
Option-implied information : what’s the vol surface got to do with it?
Ulrich, Maxim
;
Walther, Simon
- In:
Review of derivatives research
23
(
2020
)
3
,
pp. 323-355
Persistent link: https://www.econbiz.de/10012303253
Saved in:
5
A general closed form option pricing formula
Necula, Ciprian
;
Drimus, Gabriel
;
Farkas, Walter
- In:
Review of derivatives research
22
(
2019
)
1
,
pp. 1-40
Persistent link: https://www.econbiz.de/10012311636
Saved in:
6
Option-implied Value-at-Risk and the cross-section of stock returns
Ammann, Manuel
;
Feser, Alexander
- In:
Review of derivatives research
22
(
2019
)
3
,
pp. 449-474
Persistent link: https://www.econbiz.de/10012311843
Saved in:
7
The determinants of CDS spreads : evidence from the model space
Pelster, Matthias
;
Vilsmeier, Johannes
- In:
Review of derivatives research
21
(
2018
)
1
,
pp. 63-118
Persistent link: https://www.econbiz.de/10012055732
Saved in:
8
Implied volatility and skewness surface
Feunou, Bruno
;
Fontaine, Jean-Sébastien
;
Tédongap, Roméo
- In:
Review of derivatives research
20
(
2017
)
2
,
pp. 167-202
Persistent link: https://www.econbiz.de/10011935979
Saved in:
9
A note on the pricing of multivariate contingent claims under a transformed-gamma distribution
Vitiello, Luiz
;
Rebelo, Ivonia
- In:
Review of derivatives research
18
(
2015
)
3
,
pp. 291-300
Persistent link: https://www.econbiz.de/10011477304
Saved in:
10
Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing
Vitiello, Luiz
;
Poon, Ser-Huang
- In:
Review of derivatives research
17
(
2014
)
2
,
pp. 241-259
Persistent link: https://www.econbiz.de/10010529622
Saved in:
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