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~isPartOf:"Applied economics"
~isPartOf:"Quantitative finance"
~isPartOf:"The European journal of finance"
~subject:"Option pricing"
~subject:"Risikoprämie"
~subject:"Volatilität"
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Option pricing
Risikoprämie
Volatilität
Option pricing theory
319
Optionspreistheorie
319
CAPM
228
Theorie
176
Theory
176
Volatility
174
Stochastic process
148
Stochastischer Prozess
148
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Bayer, Christian
4
Gatheral, Jim
4
Radoičić, Radoš
4
Felpel, Mike
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Horvath, Blanka Nora
3
Jacquier, Antoine
3
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3
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3
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3
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3
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2
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2
Ben Hammouda, Chiheb
2
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2
Chatterjee, Rupak
2
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2
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2
Coakley, Jerry
2
Cui, Zhenyu
2
De Marco, Stefano
2
Dempsey, Michael
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
Guyon, Julien
2
Hainaut, Donatien
2
He, Xin-Jiang
2
Keiber, Karl Ludwig
2
Li, Lingfei
2
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Applied economics
Quantitative finance
The European journal of finance
International journal of theoretical and applied finance
195
Journal of banking & finance
182
Journal of financial economics
165
Finance research letters
138
NBER working paper series
132
Working paper / National Bureau of Economic Research, Inc.
120
The journal of futures markets
100
NBER Working Paper
97
Applied mathematical finance
89
The North American journal of economics and finance : a journal of financial economics studies
83
Journal of economic dynamics & control
81
International review of economics & finance : IREF
78
Journal of econometrics
76
Journal of empirical finance
76
Mathematical finance : an international journal of mathematics, statistics and financial theory
75
Review of derivatives research
71
The review of financial studies
71
International review of financial analysis
70
Research paper series / Swiss Finance Institute
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The journal of computational finance
67
International journal of financial engineering
59
The journal of finance : the journal of the American Finance Association
59
Economic modelling
58
Energy economics
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56
European journal of operational research : EJOR
56
Finance and stochastics
51
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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Economics letters
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ECONIS (ZBW)
219
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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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