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~isPartOf:"International review of economics & finance : IREF"
~isPartOf:"Management science : journal of the Institute for Operations Research and the Management Sciences"
~subject:"Risiko"
~subject:"Volatility"
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Search: subject_exact:"Option pricing theory"
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Risiko
Volatility
Option pricing theory
94
Optionspreistheorie
94
Volatilität
43
Option trading
40
Optionsgeschäft
40
Derivat
21
Derivative
21
Stochastic process
14
Stochastischer Prozess
14
Estimation
12
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12
Theorie
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Chen, Jun-Home
2
Du, Du
2
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2
Lin, Yueh-neng
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Trojani, Fabio
2
Adams, Michael B.
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International review of economics & finance : IREF
Management science : journal of the Institute for Operations Research and the Management Sciences
International journal of theoretical and applied finance
169
Quantitative finance
110
The journal of futures markets
80
Applied mathematical finance
78
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
International journal of financial engineering
50
Finance research letters
48
Finance and stochastics
46
European journal of operational research : EJOR
45
The North American journal of economics and finance : a journal of financial economics studies
41
Insurance / Mathematics & economics
39
Journal of econometrics
39
Computational economics
38
Journal of economic dynamics & control
38
Journal of mathematical finance
37
The journal of derivatives : the official publication of the International Association of Financial Engineers
37
Risks : open access journal
34
Research paper series / Swiss Finance Institute
33
Annals of finance
29
Review of quantitative finance and accounting
28
Journal of financial economics
27
The European journal of finance
26
Applied economics
23
Energy economics
22
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
Economic modelling
19
International review of financial analysis
19
The journal of finance : the journal of the American Finance Association
19
Journal of financial and quantitative analysis : JFQA
18
Mathematics and financial economics
17
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
17
Asia-Pacific financial markets
16
Swiss Finance Institute Research Paper
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ECONIS (ZBW)
44
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1
The informational content of high-frequency option prices
Amaya, Diego
;
Bégin, Jean-François
;
Gauthier, Geneviève
- In:
Management science : journal of the Institute for …
68
(
2022
)
3
,
pp. 2166-2201
Persistent link: https://www.econbiz.de/10013267926
Saved in:
2
On the nature of (jump) skewness risk premia
Orłowski, Piotr
;
Schneider, Paul
;
Trojani, Fabio
- In:
Management science : journal of the Institute for …
70
(
2024
)
2
,
pp. 1154-1174
Persistent link: https://www.econbiz.de/10014513916
Saved in:
3
Recovering implied volatility
Kadan, Ohad
;
Liu, Fang
;
Tang, Xiaoxiao
- In:
Management science : journal of the Institute for …
70
(
2024
)
1
,
pp. 255-282
Persistent link: https://www.econbiz.de/10014469958
Saved in:
4
Default risk and option returns
Vasquez, Aurelio
;
Xiao, Xiao
- In:
Management science : journal of the Institute for …
70
(
2024
)
4
,
pp. 2144-2167
Persistent link: https://www.econbiz.de/10014519915
Saved in:
5
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:
6
Cross-sectional variation of option-implied volatility skew
Wu, Liuren
;
Tian, Meng
- In:
Management science : journal of the Institute for …
70
(
2024
)
6
,
pp. 3566-3580
Persistent link: https://www.econbiz.de/10014551903
Saved in:
7
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:
8
A macrofinance model for option prices : a story of rare economic events
Hasler, Michael
;
Jeanneret, Alexandre
- In:
Management science : journal of the Institute for …
69
(
2023
)
9
,
pp. 5543-5559
Persistent link: https://www.econbiz.de/10014392944
Saved in:
9
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:
10
How arbitrage-free is the Nelson–Siegel model under stochastic volatility?
Takamizawa, Hideyuki
- In:
International review of economics & finance : IREF
79
(
2022
),
pp. 205-223
Persistent link: https://www.econbiz.de/10013343384
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