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~isPartOf:"Applied economics"
~isPartOf:"Quantitative finance"
~subject:"Black-Scholes model"
~subject:"Option pricing"
~subject:"Volatilität"
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Black-Scholes model
Option pricing
Volatilität
Option pricing theory
238
Optionspreistheorie
238
CAPM
145
Volatility
141
Stochastic process
121
Stochastischer Prozess
121
Theorie
117
Theory
117
Estimation
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Schätzung
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Capital income
80
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Derivat
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Derivative
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Aktienmarkt
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Black-Scholes-Modell
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Bayer, Christian
5
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
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Tempone, Raúl
3
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2
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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
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2
Kim, Jeong-Hoon
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2
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Tudor, Sebastian F.
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Wan, Justin W. L.
2
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2
Yamazaki, Akira
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Applied economics
Quantitative finance
International journal of theoretical and applied finance
216
Journal of banking & finance
124
The journal of futures markets
114
Applied mathematical finance
105
Mathematical finance : an international journal of mathematics, statistics and financial theory
101
Finance research letters
91
The journal of computational finance
83
Journal of financial economics
76
Review of derivatives research
76
Journal of econometrics
74
Finance and stochastics
73
Computational economics
72
The North American journal of economics and finance : a journal of financial economics studies
70
The journal of derivatives : the official publication of the International Association of Financial Engineers
64
International journal of financial engineering
60
Journal of economic dynamics & control
59
International review of economics & finance : IREF
57
European journal of operational research : EJOR
55
Journal of mathematical finance
53
Research paper series / Swiss Finance Institute
51
Working paper / National Bureau of Economic Research, Inc.
51
NBER working paper series
49
Energy economics
48
Journal of empirical finance
47
International review of financial analysis
45
Economic modelling
43
Management science : journal of the Institute for Operations Research and the Management Sciences
42
Annals of finance
39
NBER Working Paper
39
Physica A: Statistical Mechanics and its Applications
39
The European journal of finance
39
Review of quantitative finance and accounting
36
The journal of finance : the journal of the American Finance Association
36
The review of financial studies
35
Risks : open access journal
34
Insurance / Mathematics & economics
33
Asia-Pacific financial markets
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Journal of risk and financial management : JRFM
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ECONIS (ZBW)
164
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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
The Black-Scholes equation in the presence of arbitrage
Farinelli, Simone
;
Takada, Hideyuki
- In:
Quantitative finance
22
(
2022
)
12
,
pp. 2155-2170
Persistent link: https://www.econbiz.de/10013490935
Saved in:
4
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:
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
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:
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
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:
10
Option
pricing
under stochastic volatility models with latent volatility
Bégin, Jean-François
;
Godin, Frédéric
- In:
Quantitative finance
23
(
2023
)
7/8
,
pp. 1079-1097
Persistent link: https://www.econbiz.de/10014321665
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