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~isPartOf:"Applied economics"
~isPartOf:"Journal of empirical finance"
~isPartOf:"Quantitative finance"
~subject:"Option pricing"
~subject:"Volatilität"
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Option pricing
Volatilität
CAPM
308
Option pricing theory
278
Optionspreistheorie
278
Theorie
204
Theory
204
Volatility
186
Capital income
179
Kapitaleinkommen
179
Estimation
148
Schätzung
147
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129
Stochastischer Prozess
129
Portfolio selection
120
Portfolio-Management
120
Börsenkurs
108
Share price
108
Risk premium
75
Option trading
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74
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70
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198
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Bayer, Christian
4
Gatheral, Jim
4
Radoičić, Radoš
4
Felpel, Mike
3
Horvath, Blanka Nora
3
Jacquier, Antoine
3
Kienitz, Jörg
3
McWalter, Thomas A.
3
Pirjol, Dan
3
Aguilar, Jean-Philippe
2
Alòs, Elisa
2
Ben Hammouda, Chiheb
2
Chatterjee, Rupak
2
Cheang, Gerald H. L.
2
Cui, Zhenyu
2
De Marco, Stefano
2
Dempsey, Michael
2
Elyasiani, Elyas
2
Friz, Peter K.
2
Funahashi, Hideharu
2
Garces, Len Patrick Dominic M.
2
Gehricke, Sebastian A.
2
Gudkov, Nikolay
2
Gulisashvili, Archil
2
Guyon, Julien
2
Hainaut, Donatien
2
Kim, Jeong-Hoon
2
Lee, Jaewook
2
Li, Lingfei
2
Martini, Claude
2
Muguruza, Aitor
2
Muzzioli, Silvia
2
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2
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2
Stentoft, Lars
2
Tempone, Raúl
2
Tudor, Sebastian F.
2
Wang, Tianyi
2
Yamazaki, Akira
2
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Applied economics
Journal of empirical finance
Quantitative finance
International journal of theoretical and applied finance
179
Journal of banking & finance
115
The journal of futures markets
91
Applied mathematical finance
85
Finance research letters
84
Journal of financial economics
73
Mathematical finance : an international journal of mathematics, statistics and financial theory
72
Journal of econometrics
67
Review of derivatives research
66
The journal of computational finance
66
The North American journal of economics and finance : a journal of financial economics studies
61
Computational economics
56
European journal of operational research : EJOR
54
International journal of financial engineering
54
International review of economics & finance : IREF
53
Finance and stochastics
50
Journal of economic dynamics & control
50
Working paper / National Bureau of Economic Research, Inc.
49
NBER working paper series
48
Energy economics
47
Research paper series / Swiss Finance Institute
47
The journal of derivatives : the official publication of the International Association of Financial Engineers
42
Economic modelling
41
International review of financial analysis
41
NBER Working Paper
39
Physica A: Statistical Mechanics and its Applications
39
Journal of mathematical finance
37
Management science : journal of the Institute for Operations Research and the Management Sciences
37
Annals of finance
36
The European journal of finance
33
Insurance / Mathematics & economics
31
Review of quantitative finance and accounting
31
Swiss Finance Institute Research Paper
30
The journal of finance : the journal of the American Finance Association
30
The review of financial studies
29
Risks : open access journal
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Journal of risk and financial management : JRFM
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ECONIS (ZBW)
198
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198
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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
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:
4
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:
5
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:
6
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:
7
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:
8
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
Saved in:
9
The
pricing
of jump and diffusive risks in the cross-section of cryptocurrency returns
Leong, Minhao
;
Kwok, Simon Sai Man
- In:
Journal of empirical finance
74
(
2023
),
pp. 1-21
Persistent link: https://www.econbiz.de/10014477057
Saved in:
10
Maximum likelihood estimation of the Hull-White model
Kladívko, Kamil
;
Rusý, Tomáš
- In:
Journal of empirical finance
70
(
2023
),
pp. 227-247
Persistent link: https://www.econbiz.de/10014423686
Saved in:
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