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~isPartOf:"Annual review of economics"
~isPartOf:"Journal of economic dynamics & control"
~subject:"ARCH-Modell"
~subject:"European option"
~subject:"Statistical distribution"
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ARCH-Modell
European option
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Option trading
48
Optionsgeschäft
48
Option pricing theory
37
Optionspreistheorie
37
Stochastic process
11
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1
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1
Daníelsson, Jón
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Annual review of economics
Journal of economic dynamics & control
The journal of futures markets
11
Review of derivatives research
6
International journal of theoretical and applied finance
5
International review of financial analysis
5
Journal of banking & finance
5
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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International review of economics & finance : IREF
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3
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Finance research letters
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Global COE Hi-Stat discussion paper series
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1
Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
Hu, Yuan
;
Lindquist, W. Brent
;
Račev, Svetlozar T.
; …
- In:
Journal of economic dynamics & control
137
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013464578
Saved in:
2
Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps
Wan, Xiangwei
;
Yang, Nian
- In:
Journal of economic dynamics & control
125
(
2021
),
pp. 1-37
Persistent link: https://www.econbiz.de/10012666952
Saved in:
3
Option-implied skewness : Insights from ITM-options
Mohrschladt, Hannes
;
Schneider, Judith Christiane
- In:
Journal of economic dynamics & control
131
(
2021
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012818193
Saved in:
4
An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching
He, Xin-Jiang
;
Zhu, Song-Ping
- In:
Journal of economic dynamics & control
71
(
2016
),
pp. 77-85
Persistent link: https://www.econbiz.de/10011708772
Saved in:
5
Computation of Greeks using binomial trees in a jump-diffusion model
Suda, Shintaro
;
Muroi, Yoshifumi
- In:
Journal of economic dynamics & control
51
(
2015
),
pp. 93-110
Persistent link: https://www.econbiz.de/10011474273
Saved in:
6
Superhedging under ratio constraint
Chen, Yingshan
;
Dai, Min
;
Xu, Jing
;
Xu, Mingyu
- In:
Journal of economic dynamics & control
58
(
2015
),
pp. 250-264
Persistent link: https://www.econbiz.de/10011574773
Saved in:
7
Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order
Schlögl, Erik
- In:
Journal of economic dynamics & control
37
(
2013
)
3
,
pp. 611-632
Persistent link: https://www.econbiz.de/10009710479
Saved in:
8
Asymmetry in the jump-size distribution of the S&P 500 : evidence from equity and option markets
Kaeck, Andreas
- In:
Journal of economic dynamics & control
37
(
2013
)
9
,
pp. 1872-1888
Persistent link: https://www.econbiz.de/10009786062
Saved in:
9
Endogenous extreme events and the dual role of prices
Daníelsson, Jón
;
Shin, Hyun Song
;
Zigrand, Jean-Pierre
- In:
Annual review of economics
4
(
2012
),
pp. 83-109
Persistent link: https://www.econbiz.de/10009692756
Saved in:
10
Behavioral heterogeneity in the option market
Frijns, Bart
;
Lehnert, Thorsten
;
Zwinkels, Remco C. J.
- In:
Journal of economic dynamics & control
34
(
2010
)
11
,
pp. 2273-2287
Persistent link: https://www.econbiz.de/10009008886
Saved in:
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