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~isPartOf:"Applied mathematical finance"
~language:"eng"
~subject:"Black-Scholes-Modell"
~subject:"Estimation"
~subject:"Volatilität"
~type_genre:"Article in journal"
~type_genre:"Mehrbändiges Werk"
~type_genre:"Working Paper"
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Black-Scholes-Modell
Estimation
Volatilität
Option pricing theory
240
Optionspreistheorie
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227
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227
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119
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Avellaneda, Marco
5
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Applied mathematical finance
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977
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Economics letters
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
781
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753
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689
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ECONIS (ZBW)
145
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1
On the skew and curvature of the implied and local volatilities
Alòs, Elisa
;
García Lorite, David
;
Pravosud, Makar
- In:
Applied mathematical finance
30
(
2023
)
1
,
pp. 47-67
Persistent link: https://www.econbiz.de/10014390289
Saved in:
2
Simulation of arbitrage-free implied volatility surfaces
Cont, Rama
;
Vuletić, Milena
- In:
Applied mathematical finance
30
(
2023
)
2
,
pp. 94-121
Persistent link: https://www.econbiz.de/10014443387
Saved in:
3
Accelerated share repurchases under stochastic volatility
Krishnan, Nikhil
;
Sircar, Kaushik Ronnie
- In:
Applied mathematical finance
29
(
2022
)
5
,
pp. 331-365
Persistent link: https://www.econbiz.de/10014323481
Saved in:
4
Electricity intraday price modelling with marked Hawkes processes
Deschatre, Thomas
;
Gruet, Pierre
- In:
Applied mathematical finance
29
(
2022
)
4
,
pp. 227-260
Persistent link: https://www.econbiz.de/10014291942
Saved in:
5
Exchange option pricing under variance gamma-like models
Gardini, Matteo
;
Sabino, Piergiacomo
- In:
Applied mathematical finance
29
(
2022
)
6
,
pp. 494-521
Persistent link: https://www.econbiz.de/10014390283
Saved in:
6
Hedging option books using neural-sde market models
Cohen, Samuel N.
;
Reisinger, Christoph
;
Wang, Sheng
- In:
Applied mathematical finance
29
(
2022
)
5
,
pp. 366-401
Persistent link: https://www.econbiz.de/10014323483
Saved in:
7
The impact of stochastic volatility on initial margin and MVA for interest rate derivatives
Hoencamp, J. H.
;
Kort, J. P. de
;
Kandhai, B. D.
- In:
Applied mathematical finance
29
(
2022
)
2
,
pp. 141-179
Persistent link: https://www.econbiz.de/10013554796
Saved in:
8
On regularized optimal execution problems and their singular limits
Souza, Max O.
;
Thamsten, Y.
- In:
Applied mathematical finance
29
(
2022
)
2
,
pp. 79-109
Persistent link: https://www.econbiz.de/10013554788
Saved in:
9
Pricing the excess volatility in foreign exchange risk premium and forward rate bias
Swan, Tina T.
;
Swan, Bruce Q.
;
Chen, Xinfu
- In:
Applied mathematical finance
29
(
2022
)
1
,
pp. 33-61
Persistent link: https://www.econbiz.de/10013554066
Saved in:
10
The role of binance in bitcoin volatility transmission
Alexander, Carol
;
Heck, Daniel F.
;
Kaeck, Andreas
- In:
Applied mathematical finance
29
(
2022
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10013554065
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