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~isPartOf:"International review of financial analysis"
~isPartOf:"Review of derivatives research"
~subject:"Black-Scholes-Modell"
~subject:"Statistische Verteilung"
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Black-Scholes-Modell
Statistische Verteilung
Option trading
101
Optionsgeschäft
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Option pricing theory
70
Optionspreistheorie
70
Volatility
39
Volatilität
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Black-Scholes model
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Ulrich, Maxim
2
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International review of financial analysis
Review of derivatives research
International journal of theoretical and applied finance
26
The journal of computational finance
13
The journal of derivatives : the official publication of the International Association of Financial Engineers
13
Applied mathematical finance
12
Journal of economic dynamics & control
12
Journal of mathematical finance
11
Computational economics
10
International journal of financial engineering
10
Mathematical finance : an international journal of mathematics, statistics and financial theory
10
Quantitative finance
10
The North American journal of economics and finance : a journal of financial economics studies
10
The journal of futures markets
10
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7
Applied economics
6
Finance and stochastics
6
Finance research letters
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Journal of econometrics
6
Decisions in economics and finance : DEF ; a journal of applied mathematics
5
Journal of derivatives & hedge funds
5
Risks : open access journal
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Asia-Pacific financial markets
4
Asia-Pacific journal of financial studies
4
European journal of operational research : EJOR
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International journal of theoretical and applied finance : IJTAF
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Journal of risk
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Journal of risk and financial management : JRFM
4
Management science : journal of the Institute for Operations Research and the Management Sciences
4
Review of quantitative finance and accounting
4
Annals of finance
3
Discussion paper / Tinbergen Institute
3
Economic modelling
3
International review of economics & finance : IREF
3
Journal of emerging market finance
3
Journal of financial economics
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Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
3
The European journal of finance
3
Working paper series / Centre for Practical Quantitative Finance
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Applied financial economics
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ECONIS (ZBW)
17
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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
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:
6
Conditional risk-neutral density from option prices by local polynomial Kernel smoothing with no-arbitrage constraints
Monteiro, Ana M.
;
Santos, Antonio A. F.
- In:
Review of derivatives research
23
(
2020
)
1
,
pp. 41-61
Persistent link: https://www.econbiz.de/10012229782
Saved in:
7
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:
8
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:
9
Test of recent advances in extracting information from option prices
Healy, J. V.
;
Gregoriou, Andros
;
Hudson, Robert
- In:
International review of financial analysis
56
(
2018
),
pp. 292-302
Persistent link: https://www.econbiz.de/10012006295
Saved in:
10
A bias in the volatility smile
Chance, Don M.
;
Hanson, Thomas A.
;
Li, Weiping
; …
- In:
Review of derivatives research
20
(
2017
)
1
,
pp. 47-90
Persistent link: https://www.econbiz.de/10011930559
Saved in:
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