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~isPartOf:"The journal of derivatives : JOD"
~subject:"Estimation"
~subject:"Stochastischer Prozess"
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Estimation
Stochastischer Prozess
Option trading
32
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Option pricing theory
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Optionspreistheorie
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Derivat
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options
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Carr, Peter
2
Itkin, Andrey
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Elliott, Robert J.
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Gu, Yuchi
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Economic modelling
The journal of derivatives : JOD
International journal of theoretical and applied finance
29
The journal of futures markets
28
Quantitative finance
24
The journal of computational finance
18
Journal of banking & finance
16
Applied mathematical finance
14
Finance research letters
12
Journal of economic dynamics & control
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Finance and stochastics
11
Journal of financial economics
11
Journal of mathematical finance
11
Review of derivatives research
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International journal of financial engineering
10
International review of economics & finance : IREF
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The North American journal of economics and finance : a journal of financial economics studies
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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Computational economics
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European journal of operational research : EJOR
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The European journal of finance
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Asia-Pacific financial markets
6
Insurance / Mathematics & economics
6
Mathematical finance : an international journal of mathematics, statistics and financial theory
6
Operations research
6
Research paper series / Swiss Finance Institute
6
Risks : open access journal
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Journal of financial markets
5
Operations research letters
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Applied economics letters
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Applied financial economics
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International review of financial analysis
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Journal of international financial markets, institutions & money
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Journal of risk and financial management : JRFM
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SFB 649 Discussion Paper
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ECONIS (ZBW)
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1
American option pricing and filtering with a hidden regime-switching jump diffusion
Siu, Tak Kuen
;
Elliott, Robert J.
- In:
The journal of derivatives : JOD
29
(
2022
)
3
,
pp. 106-123
Persistent link: https://www.econbiz.de/10013174827
Saved in:
2
Semi-analytical pricing of barrier options in the time-dependent Heston model
Carr, Peter
;
Itkin, Andrey
;
Muravey, Dmitry
- In:
The journal of derivatives : JOD
30
(
2022
)
2
,
pp. 141-171
Persistent link: https://www.econbiz.de/10014231115
Saved in:
3
Jump, diffusion, and long-term volatility risks with incremental information in VIX assets
Chen, Sonnan
;
Gu, Yuchi
- In:
The journal of derivatives : JOD
28
(
2021
)
3
,
pp. 60-96
Persistent link: https://www.econbiz.de/10012486031
Saved in:
4
Semi-analytical solutions for barrier and American options written on a time-dependent Ornstein-Uhlenbeck process
Carr, Peter
;
Itkin, Andrey
- In:
The journal of derivatives : JOD
29
(
2021
)
1
,
pp. 9-26
Persistent link: https://www.econbiz.de/10012612941
Saved in:
5
Collective behavior and options volatility smile : an agent-based explanation
Liu, Yi-fang
;
Zhang, Wei
;
Xu, Hai-chuan
- In:
Economic modelling
39
(
2014
),
pp. 232-239
Persistent link: https://www.econbiz.de/10010421855
Saved in:
6
Analyses of retirement benefits with options
Lin, Chung-gee
;
Yang, Wei-ning
;
Chen, Shu-chuan
- In:
Economic modelling
36
(
2014
),
pp. 130-135
Persistent link: https://www.econbiz.de/10010412430
Saved in:
7
A novel nonlinear value-at-risk method for modeling risk of option portfolio with multivariate mixture of normal distributions
Chen, Rongda
;
Yu, Lean
- In:
Economic modelling
35
(
2013
),
pp. 796-804
Persistent link: https://www.econbiz.de/10010336666
Saved in:
8
The double exponential jump diffusion model for pricing European options under fuzzy environments
Zhang, Li-Hua
;
Zhang, Wei-guo
;
Xiao, Wei-Lin
- In:
Economic modelling
29
(
2012
)
3
,
pp. 780-786
Persistent link: https://www.econbiz.de/10009545516
Saved in:
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