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~isPartOf:"International review of financial analysis"
~isPartOf:"Review of derivatives research"
~subject:"Black-Scholes-Modell"
~subject:"Risiko"
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Black-Scholes-Modell
Risiko
Option trading
101
Optionsgeschäft
101
Option pricing theory
70
Optionspreistheorie
70
Volatility
39
Volatilität
39
Derivat
25
Derivative
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Black-Scholes model
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Ulrich, Maxim
2
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Andreasen, Jesper Fredborg
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1
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International review of financial analysis
Review of derivatives research
International journal of theoretical and applied finance
24
Applied mathematical finance
14
The North American journal of economics and finance : a journal of financial economics studies
13
The journal of computational finance
11
The journal of derivatives : the official publication of the International Association of Financial Engineers
11
Computational economics
10
International journal of financial engineering
10
Mathematical finance : an international journal of mathematics, statistics and financial theory
10
Journal of banking & finance
8
Journal of mathematical finance
8
Quantitative finance
8
The journal of futures markets
8
Applied economics
7
Finance and stochastics
7
Finance research letters
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Journal of economic dynamics & control
6
Journal of financial economics
6
European journal of operational research : EJOR
5
Journal of derivatives & hedge funds
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The European journal of finance
5
Working paper / National Bureau of Economic Research, Inc.
5
Asia-Pacific financial markets
4
Decisions in economics and finance : DEF ; a journal of applied mathematics
4
International journal of theoretical and applied finance : IJTAF
4
Journal of risk and financial management : JRFM
4
Management science : journal of the Institute for Operations Research and the Management Sciences
4
Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
4
Review of quantitative finance and accounting
4
Risks : open access journal
4
The review of financial studies
4
Annals of finance
3
Applied financial economics
3
Economic modelling
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Energy economics
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Finanzmarkt und Portfolio-Management
3
International review of economics & finance : IREF
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Journal of econometrics
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Journal of emerging market finance
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ECONIS (ZBW)
19
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19
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1
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:
2
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:
3
The impact of the leverage effect on the implied volatility smile : evidence for the German option market
Rathgeber, A. W.
;
Stadler, Johannes
;
Stöckl, S.
- In:
Review of derivatives research
24
(
2021
)
2
,
pp. 95-133
Persistent link: https://www.econbiz.de/10012549093
Saved in:
4
Risk appetite and option prices : evidence from the Chinese SSE50 options market
Liu, Qing
;
Wang, Shouyang
;
Sui, Cong
- In:
International review of financial analysis
86
(
2023
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014248927
Saved in:
5
Pricing vulnerable basket spread options with liquidity risk
Dong, Ziming
;
Tang, Dan
;
Wang, Xingchun
- In:
Review of derivatives research
26
(
2023
)
1
,
pp. 23-50
Persistent link: https://www.econbiz.de/10014266355
Saved in:
6
The role of asset payouts in the estimation of default barriers
Bougias, Alexandros
;
Episcopos, Athanasios
;
Leledakis, …
- In:
International review of financial analysis
81
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013396237
Saved in:
7
Pricing vulnerable options with jump risk and liquidity risk
Wang, Xingchun
- In:
Review of derivatives research
24
(
2021
)
3
,
pp. 243-260
Persistent link: https://www.econbiz.de/10012659671
Saved in:
8
Option-implied information : what’s the vol surface got to do with it?
Ulrich, Maxim
;
Walther, Simon
- In:
Review of derivatives research
23
(
2020
)
3
,
pp. 323-355
Persistent link: https://www.econbiz.de/10012303253
Saved in:
9
A general closed form option pricing formula
Necula, Ciprian
;
Drimus, Gabriel
;
Farkas, Walter
- In:
Review of derivatives research
22
(
2019
)
1
,
pp. 1-40
Persistent link: https://www.econbiz.de/10012311636
Saved in:
10
Forecasting implied volatility risk indexes : international evidence using Hammerstein-ARX approach
Tissaoui, Kais
- In:
International review of financial analysis
64
(
2019
),
pp. 232-249
Persistent link: https://www.econbiz.de/10012208480
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