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~isPartOf:"CREATES research paper"
~subject:"Option pricing theory"
~subject:"Transfer pricing"
~type_genre:"Arbeitspapier"
~type_genre:"Mehrbändiges Werk"
~type_genre:"Sammelwerk"
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Option pricing theory
Transfer pricing
CAPM
32
Optionspreistheorie
28
Theorie
26
Theory
26
Volatility
16
Volatilität
16
Capital income
13
Kapitaleinkommen
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Risikoprämie
11
Risk premium
11
ARCH model
10
ARCH-Modell
10
Börsenkurs
10
Estimation
10
Schätzung
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Share price
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Stochastic process
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Stochastischer Prozess
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Time series analysis
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Zeitreihenanalyse
9
Option trading
7
Optionsgeschäft
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Yield curve
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Zinsstruktur
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Forecasting model
6
Prognoseverfahren
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Beta risk
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USA
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United States
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Aktienoption
4
Portfolio selection
4
Portfolio-Management
4
Risiko
4
Risk
4
Statistical distribution
4
Statistische Verteilung
4
Stock option
4
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3
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Arbeitspapier
Mehrbändiges Werk
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28
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28
Working Paper
28
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English
28
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Christoffersen, Peter F.
9
Stentoft, Lars
7
Jacobs, Kris
5
Rombouts, Jeroen V. K.
4
Andersen, Torben
2
Santucci de Magistris, Paolo
2
Todorov, Viktor
2
Violante, Francesco
2
Babaoğlu, Kadir
1
Bach, Christian
1
Barbachan, José Santiago Fajardo
1
Barletta, Andrea
1
Bollerslev, Tim
1
Bondarenko, Oleg
1
Chang, Bo Young
1
Christensen, Bent Jesper
1
Dziubinski, Matt
1
Dziubinski, Matt P.
1
Feunou, Bruno
1
Fournier, Mathieu
1
Fusari, Nicola
1
Gonzalez-Perez, Maria T.
1
Goyenko, Ruslan
1
Heston, Steven L.
1
Jeon, Yoontae
1
Karoui, Mehdi
1
Mordecki, Ernesto
1
Ornthanalai, Chayawat
1
Pan, Xuhui
1
Papapantoleon, Antonis
1
Pelletier, Denis
1
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1
Simonato, Jean-Guy
1
Skovmand, David
1
Tsiaras, Leonidas
1
Varneskov, Rasmus Tangsgaard
1
Veraart, Almut E. D.
1
Veraart, Luitgard
1
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CREATES research paper
Research paper series / Swiss Finance Institute
87
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
57
Working paper / National Bureau of Economic Research, Inc.
56
SFB 649 discussion paper
53
Working paper
52
CESifo working papers
46
Swiss Finance Institute Research Paper
42
Discussion paper / Tinbergen Institute
40
Discussion paper / Centre for Economic Policy Research
33
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
30
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
28
Mathematical finance
25
Working paper series
23
Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW)
21
Discussion paper / B
20
Discussion paper / Center for Economic Research, Tilburg University
19
Finance and economics discussion series
19
IMF working papers
19
Série des documents de travail / Centre de Recherche en Économie et Statistique
19
Discussion papers of interdisciplinary research project 373
18
Les cahiers de recherche / HEC Paris
18
Discussion paper
17
Discussion paper / Department of Business and Management Science
16
Working paper series / Centre for Practical Quantitative Finance
16
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
14
Hefte zur internationalen Besteuerung
14
IMF working paper
14
Working paper series / New York University, Salomon Center, Leonard N. Stern School of Business
14
Working papers / Universitat Pompeu Fabra, Department of Economics and Business
14
CoFE discussion papers
13
Discussion paper / ICMA Centre, Henley Business School, University of Reading
13
Tübinger Diskussionsbeitrag
13
Working paper / Department of Econometrics and Business Statistics, Monash University
13
Working papers on finance
13
CESifo working papers : the international platform of Ludwig-Maximilians University's Center for Economic Studies and the Ifo Institute
12
Meddelanden från Svenska Handelshögskolan
12
Discussion papers / CEPR
11
Working papers
11
Bonn Econ Discussion Papers / BGSE
10
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ECONIS (ZBW)
28
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1
Option valuation with volatility components, fat tails, and nonlinear
pricing
kernels
Babaoğlu, Kadir
;
Christoffersen, Peter F.
;
Heston, …
-
2015
Persistent link: https://www.econbiz.de/10011398641
Saved in:
2
Option panels in pure-jump settings
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
; …
-
2018
Persistent link: https://www.econbiz.de/10011797494
Saved in:
3
Retrieving risk-neutral densities embedded in VIX options : a non-structural approach
Barletta, Andrea
;
Santucci de Magistris, Paolo
; …
-
2016
Persistent link: https://www.econbiz.de/10011524099
Saved in:
4
A Jump-diffusion model with stochastic volatility and durations
Wei, Wei
;
Pelletier, Denis
-
2015
Persistent link: https://www.econbiz.de/10011327726
Saved in:
5
Which
pricing
approach for options under GARCH with non-normal innovations?
Simonato, Jean-Guy
;
Stentoft, Lars
-
2015
Persistent link: https://www.econbiz.de/10011327731
Saved in:
6
Equity portfolio management using option price information
Christoffersen, Peter F.
;
Pan, Xuhui
-
2015
Persistent link: https://www.econbiz.de/10011516992
Saved in:
7
Option valuation with observable volatility and jump dynamics
Christoffersen, Peter F.
;
Feunou, Bruno
;
Jeon, Yoontae
-
2015
Persistent link: https://www.econbiz.de/10011516993
Saved in:
8
Illiquidity premia in the equity options market
Christoffersen, Peter F.
;
Goyenko, Ruslan
;
Jacobs, Kris
; …
-
2013
Persistent link: https://www.econbiz.de/10010226833
Saved in:
9
The factor structure in equity options
Christoffersen, Peter F.
;
Fournier, Mathieu
;
Jacobs, Kris
-
2013
Persistent link: https://www.econbiz.de/10010226837
Saved in:
10
The value of multivariate model sophistication : an application to
pricing
Dow Jones industrial average options
Rombouts, Jeroen V. K.
;
Stentoft, Lars
;
Violante, Francesco
-
2012
Persistent link: https://www.econbiz.de/10009485768
Saved in:
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