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~isPartOf:"European journal of operational research : EJOR"
~isPartOf:"International review of economics & finance : IREF"
~isPartOf:"Review of derivatives research"
~subject:"Volatility"
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Search: subject_exact:"Option pricing theory"
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Volatility
Option pricing theory
351
Optionspreistheorie
351
Volatilität
114
Option trading
106
Optionsgeschäft
106
Stochastic process
106
Stochastischer Prozess
106
Derivat
87
Derivative
87
Theorie
60
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Option pricing
37
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Wang, Xingchun
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European journal of operational research : EJOR
International review of economics & finance : IREF
Review of derivatives research
International journal of theoretical and applied finance
156
Quantitative finance
104
The journal of futures markets
78
Journal of banking & finance
75
Applied mathematical finance
72
The journal of computational finance
65
Mathematical finance : an international journal of mathematics, statistics and financial theory
60
International journal of financial engineering
47
Finance research letters
45
Finance and stochastics
40
Journal of econometrics
39
The North American journal of economics and finance : a journal of financial economics studies
38
Computational economics
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The journal of derivatives : the official publication of the International Association of Financial Engineers
36
Journal of economic dynamics & control
35
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28
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Review of quantitative finance and accounting
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Management science : journal of the Institute for Operations Research and the Management Sciences
20
Decisions in economics and finance : DEF ; a journal of applied mathematics
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Journal of empirical finance
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Journal of risk and financial management : JRFM
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Economic modelling
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Asia-Pacific financial markets
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International review of financial analysis
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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Journal of financial and quantitative analysis : JFQA
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The journal of finance : the journal of the American Finance Association
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Asia-Pacific journal of financial studies
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ECONIS (ZBW)
114
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1
A new bivariate approach for modeling the interaction between stock volatility and interest rate : an application to S&P500 returns and options
Ballestra, Luca Vincenzo
;
D'Innocenzo, Enzo
;
Guizzardi, …
- In:
European journal of operational research : EJOR
314
(
2024
)
3
,
pp. 1185-1194
Persistent link: https://www.econbiz.de/10014456945
Saved in:
2
An efficient and provable sequential quadratic programming method for American and swing option pricing
Ma, Jingtang
- In:
European journal of operational research : EJOR
316
(
2024
)
1
,
pp. 19-35
Persistent link: https://www.econbiz.de/10014566281
Saved in:
3
Implied volatility surfaces : a comprehensive analysis using half a billion option prices
Ulrich, Maxim
;
Zimmer, Lukas
;
Merbecks, Constantin
- In:
Review of derivatives research
26
(
2023
)
2/3
,
pp. 135-169
Persistent link: https://www.econbiz.de/10014423871
Saved in:
4
Hedging cryptocurrency options
Matic, Jovanka Lili
;
Packham, Natalie
;
Härdle, Wolfgang
- In:
Review of derivatives research
26
(
2023
)
1
,
pp. 91-133
Persistent link: https://www.econbiz.de/10014266383
Saved in:
5
Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities
Muck, Matthias
- In:
Review of derivatives research
25
(
2022
)
3
,
pp. 293-314
Persistent link: https://www.econbiz.de/10013457626
Saved in:
6
Asymptotic extrapolation of model-free implied variance : exploring structural underestimation in the VIX Index
Stahl, Philip
- In:
Review of derivatives research
25
(
2022
)
3
,
pp. 315-339
Persistent link: https://www.econbiz.de/10013457627
Saved in:
7
Simulation schemes for the Heston model with Poisson conditioning
Choi, Jaehyuk
;
Kwok, Yue-Kuen
- In:
European journal of operational research : EJOR
314
(
2024
)
1
,
pp. 363-376
Persistent link: https://www.econbiz.de/10014456865
Saved in:
8
Constructing copulas using corrected Hermite polynomial expansion for estimating cross foreign exchange volatility
Shiraya, Kenichiro
;
Yamakami, Tomohisa
- In:
European journal of operational research : EJOR
314
(
2024
)
3
,
pp. 1195-1214
Persistent link: https://www.econbiz.de/10014456946
Saved in:
9
Variance swaps with mean reversion and multi-factor variance
Wu, Bin
;
Chen, Pengzhan
;
Ye, Wuyi
- In:
European journal of operational research : EJOR
315
(
2024
)
1
,
pp. 191-212
Persistent link: https://www.econbiz.de/10014562821
Saved in:
10
Pricing derivatives on foreign assets using Markov-modulated cojump-diffusion dynamics
Lian, Yu-Min
;
Chen, Jun-Home
;
Liao, Szu-Lang
- In:
International review of economics & finance : IREF
93
(
2024
)
2
,
pp. 503-519
Persistent link: https://www.econbiz.de/10014535585
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