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~accessRights:"free"
~isPartOf:"Applied economics"
~isPartOf:"Quantitative finance"
~isPartOf:"The European journal of finance"
~subject:"Share price"
~subject:"Volatilität"
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Share price
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Option pricing theory
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Hilliard, Jimmy E.
2
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1
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1
Can volatility solve the naive portfolio puzzle?
Curran, Michael
;
O'Sullivan, Patrick
;
Zalla, Ryan
- In:
Quantitative finance
23
(
2023
)
11
,
pp. 1545-1560
Persistent link: https://www.econbiz.de/10014419177
Saved in:
2
Technical analysis as a sentiment barometer and the cross-section of stock returns
Ding, Wenjie
;
Mazouz, Khelifa
;
Ap Gwilym, Owain
;
Wang, …
- In:
Quantitative finance
23
(
2023
)
11
,
pp. 1617-1636
Persistent link: https://www.econbiz.de/10014419182
Saved in:
3
An adaptive model for security prices driven by latent values : parameter estimation and option
pricing
effects
Hilliard, Jimmy E.
;
Hilliard, Jitka
;
Ni, Yinan
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1231-1246
Persistent link: https://www.econbiz.de/10013367896
Saved in:
4
Antinoise in U.S. equity markets
Cheng, Enoch
;
Struck, Clemens C.
- In:
Quantitative finance
21
(
2021
)
12
,
pp. 2069-2087
Persistent link: https://www.econbiz.de/10012696815
Saved in:
5
Short-dated smile under rough volatility : asymptotics and numerics
Friz, Peter K.
;
Gassiat, Paul
;
Pigato, Paolo
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 463-480
Persistent link: https://www.econbiz.de/10013167770
Saved in:
6
Testing the accruals anomaly based on the speed of price adjustment
Choy, Siu Kai
;
Lobo, Gerald J.
;
Tan, Yongxian
- In:
The European journal of finance
28
(
2022
)
16
,
pp. 1664-1684
Persistent link: https://www.econbiz.de/10013532256
Saved in:
7
Principled pasting : attaching tails to risk-neutral probability density functions recovered from option prices
Bollinger, Thomas R.
;
Melick, William Robert
;
Thomas, …
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1751-1768
Persistent link: https://www.econbiz.de/10014452468
Saved in:
8
Delta hedging bitcoin options with a smile
Alexander, Carol
;
Imeraj, Arben
- In:
Quantitative finance
23
(
2023
)
5
,
pp. 799-817
Persistent link: https://www.econbiz.de/10014304354
Saved in:
9
Functional quantization of rough volatility and applications to volatility derivatives
Bonesini, O.
;
Callegaro, Giulia
;
Jacquier, Antoine
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1769-1792
Persistent link: https://www.econbiz.de/10014452470
Saved in:
10
VIX
pricing
in the rBergomi model under a regime switching change of measure
Guerreiro, Henrique
;
Guerra, João
- In:
Quantitative finance
23
(
2023
)
5
,
pp. 721-738
Persistent link: https://www.econbiz.de/10014304326
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