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~isPartOf:"Applied economics"
~isPartOf:"Quantitative finance"
~subject:"Option pricing"
~subject:"Schätzung"
~subject:"Volatilität"
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Option pricing
Schätzung
Volatilität
Option pricing theory
238
Optionspreistheorie
238
CAPM
145
Volatility
141
Stochastic process
121
Stochastischer Prozess
121
Theorie
117
Theory
117
Estimation
83
Capital income
80
Kapitaleinkommen
80
Option trading
66
Optionsgeschäft
66
Portfolio selection
66
Portfolio-Management
66
Börsenkurs
63
Share price
63
Preismanagement
62
Pricing strategy
62
Derivat
54
Derivative
54
Hedonic price index
51
Hedonischer Preisindex
51
Risiko
38
Risk
38
Hedging
34
USA
33
United States
33
Experiment
31
Monte Carlo simulation
31
Monte-Carlo-Simulation
31
Risikoprämie
31
Risk premium
31
Aktienmarkt
29
Black-Scholes model
29
Black-Scholes-Modell
29
Stock market
29
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Undetermined
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Article
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Conference paper
3
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English
224
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Zaremba, Adam
5
Bayer, Christian
4
Gatheral, Jim
4
Radoičić, Radoš
4
Fabozzi, Frank J.
3
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
González-Urteaga, Ana
2
Grobys, Klaus
2
Gudkov, Nikolay
2
Gulisashvili, Archil
2
Guyon, Julien
2
Hainaut, Donatien
2
Hilliard, Jimmy E.
2
Kim, Jeong-Hoon
2
Li, Lingfei
2
Martini, Claude
2
Muguruza, Aitor
2
Muzzioli, Silvia
2
Rosenbaum, Mathieu
2
Rubio, Gonzalo
2
Schoutens, Wim
2
Tempone, Raúl
2
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Applied economics
Quantitative finance
International journal of theoretical and applied finance
186
Working paper / National Bureau of Economic Research, Inc.
170
Journal of banking & finance
166
Journal of financial economics
143
NBER working paper series
143
Finance research letters
119
NBER Working Paper
117
The journal of futures markets
112
Journal of empirical finance
90
International review of economics & finance : IREF
87
Applied mathematical finance
86
The North American journal of economics and finance : a journal of financial economics studies
81
International review of financial analysis
80
Journal of econometrics
79
Mathematical finance : an international journal of mathematics, statistics and financial theory
75
Discussion paper / Centre for Economic Policy Research
74
Economic modelling
74
Research paper series / Swiss Finance Institute
72
Energy economics
71
Review of derivatives research
70
The journal of finance : the journal of the American Finance Association
70
Journal of economic dynamics & control
68
The journal of computational finance
68
Computational economics
62
Management science : journal of the Institute for Operations Research and the Management Sciences
61
International journal of financial engineering
60
European journal of operational research : EJOR
56
The journal of derivatives : the official publication of the International Association of Financial Engineers
54
The review of financial studies
54
Finance and stochastics
51
Review of quantitative finance and accounting
51
The European journal of finance
51
Applied economics letters
50
Applied financial economics
49
Discussion paper / Tinbergen Institute
49
Working paper
49
The journal of real estate finance and economics
47
Discussion papers / CEPR
46
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ECONIS (ZBW)
224
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224
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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
An adaptive model for security prices driven by latent values : parameter estimation and option
pricing
effects
Hilliard, Jimmy E.
;
Hilliard, Jitka
;
Ni, Yinan
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1231-1246
Persistent link: https://www.econbiz.de/10013367896
Saved in:
4
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:
5
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:
6
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:
7
Export product quality and markup of firms : evidence from China
Yue, Wen
- In:
Applied economics
55
(
2023
)
53
,
pp. 6294-6309
Persistent link: https://www.econbiz.de/10014381600
Saved in:
8
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:
9
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:
10
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
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