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~isPartOf:"Applied economics"
~isPartOf:"Discussion paper / Tinbergen Institute"
~isPartOf:"Quantitative finance"
~isPartOf:"The European journal of finance"
~subject:"Risk premium"
~subject:"Volatilität"
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Risk premium
Volatilität
Option pricing theory
355
Optionspreistheorie
355
Theorie
349
Theory
349
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270
Volatility
199
Stochastic process
163
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Wijnbergen, Sweder van
5
Gatheral, Jim
4
McAleer, Michael
4
Radoičić, Radoš
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Felpel, Mike
3
Horvath, Blanka Nora
3
Jacquier, Antoine
3
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3
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3
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3
Pirjol, Dan
3
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3
Zaremba, Adam
3
Zhao, Lin
3
Aguilar, Jean-Philippe
2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
Gudkov, Nikolay
2
Gulisashvili, Archil
2
Guyon, Julien
2
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2
He, Xin-Jiang
2
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Applied economics
Discussion paper / Tinbergen Institute
Quantitative finance
The European journal of finance
International journal of theoretical and applied finance
191
Journal of banking & finance
179
Journal of financial economics
163
Finance research letters
133
NBER working paper series
132
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120
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100
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97
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79
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77
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75
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75
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74
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74
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71
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69
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67
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Review of derivatives research
60
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International journal of financial engineering
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Management science : journal of the Institute for Operations Research and the Management Sciences
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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ECONIS (ZBW)
237
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1
No arbitrage global parametrization for the eSSVI volatility surface
Mingone, A.
- In:
Quantitative finance
22
(
2022
)
12
,
pp. 2205-2217
Persistent link: https://www.econbiz.de/10013490938
Saved in:
2
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:
3
Investor sentiment and skewness risk premium
Yaakoubi, Soumaya
- In:
Applied economics
56
(
2024
)
35
,
pp. 4194-4208
Persistent link: https://www.econbiz.de/10014559279
Saved in:
4
Persistence of jump-induced tail risk and limits to arbitrage
Chow, K. Victor
;
John, Kose
;
Li, Jingrui
;
Sopranzetti, …
- In:
Quantitative finance
23
(
2023
)
4
,
pp. 705-719
Persistent link: https://www.econbiz.de/10014304321
Saved in:
5
A subdiffusive stochastic volatility jump model
Dupret, Jean-Loup
;
Hainaut, Donatien
- In:
Quantitative finance
23
(
2023
)
6
,
pp. 979-1002
Persistent link: https://www.econbiz.de/10014304413
Saved in:
6
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:
7
Option
pricing
in an investment risk-return setting
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
;
Shirvani, …
- In:
Applied economics
54
(
2022
)
14
,
pp. 1625-1638
Persistent link: https://www.econbiz.de/10012875529
Saved in:
8
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:
9
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:
10
Mind the cap!-constrained portfolio optimisation in Heston's stochastic volatility model
Escobar, Marcos
;
Kschonnek, M.
;
Zagst, Rudi
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1793-1813
Persistent link: https://www.econbiz.de/10014452471
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