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~isPartOf:"European journal of operational research : EJOR"
~isPartOf:"International review of economics & finance : IREF"
~subject:"Risk"
~subject:"Volatility"
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Search: subject_exact:"Option pricing theory"
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Risk
Volatility
Option pricing theory
181
Optionspreistheorie
181
Stochastic process
66
Stochastischer Prozess
66
Volatilität
65
Option trading
48
Optionsgeschäft
48
Derivat
43
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Finance
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Option pricing
21
Real options analysis
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1
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1
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1
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European journal of operational research : EJOR
International review of economics & finance : IREF
International journal of theoretical and applied finance
169
Quantitative finance
111
Applied mathematical finance
81
The journal of futures markets
80
Journal of banking & finance
78
Mathematical finance : an international journal of mathematics, statistics and financial theory
68
The journal of computational finance
68
Review of derivatives research
57
Finance research letters
50
International journal of financial engineering
50
Finance and stochastics
46
The North American journal of economics and finance : a journal of financial economics studies
41
Insurance / Mathematics & economics
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Computational economics
39
Journal of econometrics
39
Journal of economic dynamics & control
39
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37
The journal of derivatives : the official publication of the International Association of Financial Engineers
37
Risks : open access journal
36
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33
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29
Review of quantitative finance and accounting
28
Journal of financial economics
27
The European journal of finance
26
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24
Energy economics
24
Journal of risk and financial management : JRFM
22
Journal of empirical finance
21
Decisions in economics and finance : DEF ; a journal of applied mathematics
20
Management science : journal of the Institute for Operations Research and the Management Sciences
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Economic modelling
19
International review of financial analysis
19
The journal of finance : the journal of the American Finance Association
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Journal of financial and quantitative analysis : JFQA
18
Mathematics and financial economics
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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Asia-Pacific financial markets
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ECONIS (ZBW)
69
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1
An efficient and provable sequential quadratic programming method for American and swing option pricing
Shen, Jinye
;
Huang, Weizhang
;
Ma, Jingtang
- In:
European journal of operational research : EJOR
316
(
2024
)
1
,
pp. 19-35
Persistent link: https://www.econbiz.de/10014566281
Saved in:
2
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:
3
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:
4
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
Saved in:
5
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:
6
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:
7
Does smile help detect the UK's price leadership change after MiFID?
Adams, Michael B.
;
Chen, Jing
;
Guo, Qian
;
Li, Xiaoxi
- In:
International review of economics & finance : IREF
84
(
2023
),
pp. 756-769
Persistent link: https://www.econbiz.de/10014364155
Saved in:
8
A hybrid stochastic volatility model in a Lévy market
El-Khatib, Youssef
;
Goutte, Stéphane
;
Makumbe, Zororo S.
; …
- In:
International review of economics & finance : IREF
85
(
2023
),
pp. 220-235
Persistent link: https://www.econbiz.de/10014424191
Saved in:
9
Assessing the impact of jumps in an option pricing model : a gradient estimation approach
Volk-Makarewicz, Warren
;
Borovkova, Svetlana
; …
- In:
European journal of operational research : EJOR
298
(
2022
)
2
,
pp. 740-751
Persistent link: https://www.econbiz.de/10013206895
Saved in:
10
Model risk in the over-the-counter market
Lazar, Emese
;
Qi, Shuyuan
- In:
European journal of operational research : EJOR
298
(
2022
)
2
,
pp. 769-784
Persistent link: https://www.econbiz.de/10013206897
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