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~isPartOf:"Journal of econometrics"
~subject:"Option pricing theory"
~type_genre:"Article in journal"
~type_genre:"Bibliography included"
~type_genre:"Non-commercial literature"
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Search: subject_exact:"Option pricing theory"
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Option pricing theory
Optionspreistheorie
66
Volatility
39
Volatilität
39
Stochastic process
26
Stochastischer Prozess
26
Estimation
17
Schätzung
17
Derivat
15
Derivative
15
Nichtparametrisches Verfahren
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Nonparametric statistics
14
Statistical distribution
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Estimation theory
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Schätztheorie
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Theorie
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Option trading
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Optionsgeschäft
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Option pricing
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Options
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Time series analysis
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66
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Todorov, Viktor
5
Aït-Sahalia, Yacine
4
Xiu, Dacheng
4
Bondarenko, Oleg
3
Gouriéroux, Christian
3
Monfort, Alain
3
Tauchen, George Eugene
3
Bates, David S.
2
Bollerslev, Tim
2
Gallant, A. Ronald
2
Garcia, René
2
Härdle, Wolfgang
2
Jarrow, Robert A.
2
Park, Yang-Ho
2
Wang, Bin
2
Zheng, Xu
2
Abbring, Jaap H.
1
Almeida, Caio
1
Amengual, Dante
1
Andersen, Torben
1
Asea, Patrick K.
1
Augustyniak, Maciej
1
Badescu, Alexandru
1
Bakshi, Gurdip S.
1
Baldovin, Fulvio
1
Bandi, Federico M.
1
Barone-Adesi, Giovanni
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Bollen, Nicolas P. B.
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Bormetti, Giacomo
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Broadie, Mark
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Bégin, Jean-François
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Calvet, Laurent E.
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Cao, Charles Q.
1
Caporin, Massimiliano
1
Caraglio, Michele
1
Chen, Qiang
1
Chen, Song Xi
1
Chen, Zhiwu
1
Cheng, Ai-ru Meg
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Journal of econometrics
International journal of theoretical and applied finance
467
The journal of futures markets
260
Mathematical finance : an international journal of mathematics, statistics and financial theory
255
The journal of computational finance
251
Applied mathematical finance
240
Finance and stochastics
218
Journal of banking & finance
206
The journal of derivatives : the official publication of the International Association of Financial Engineers
203
Quantitative finance
196
Review of derivatives research
170
Insurance / Mathematics & economics
139
European journal of operational research : EJOR
132
Journal of economic dynamics & control
129
International journal of financial engineering
116
Finance research letters
109
Journal of mathematical finance
107
Computational economics
106
Risks : open access journal
93
Research paper series / Swiss Finance Institute
87
The North American journal of economics and finance : a journal of financial economics studies
83
The European journal of finance
81
Journal of financial economics
78
Asia-Pacific financial markets
77
Journal of financial and quantitative analysis : JFQA
58
Energy economics
55
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
55
Review of quantitative finance and accounting
55
Annals of finance
52
Journal of risk and financial management : JRFM
50
The journal of finance : the journal of the American Finance Association
50
The journal of real estate finance and economics
50
The review of financial studies
50
Economic modelling
49
Decisions in economics and finance : DEF ; a journal of applied mathematics
47
International review of economics & finance : IREF
47
Management science : journal of the Institute for Operations Research and the Management Sciences
46
International review of financial analysis
44
Mathematics and financial economics
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Applied economics
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ECONIS (ZBW)
66
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1
Bias reduction in spot volatility estimation from options
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 53-81
Persistent link: https://www.econbiz.de/10014364661
Saved in:
2
A discrete-time hedging framework with multiple factors and fat tails : on what matters
Augustyniak, Maciej
;
Badescu, Alexandru
;
Bégin, …
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 416-444
Persistent link: https://www.econbiz.de/10014339997
Saved in:
3
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
Saved in:
4
Testing for the presence of jump components in jump diffusion models
Wang, Bin
;
Zheng, Xu
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 483-509
Persistent link: https://www.econbiz.de/10013464085
Saved in:
5
Closed-form implied volatility surfaces for stochastic volatility models with jumps
Aït-Sahalia, Yacine
;
Li, Chenxu
;
Li, Chen Xu
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 364-392
Persistent link: https://www.econbiz.de/10012619431
Saved in:
6
Nonparametric estimation of jump diffusion models
Park, Joon Y.
;
Wang, Bin
- In:
Journal of econometrics
222
(
2021
)
1,3
,
pp. 688-715
Persistent link: https://www.econbiz.de/10012619778
Saved in:
7
The likelihood of mixed hitting times
Abbring, Jaap H.
;
Salimans, Tim
- In:
Journal of econometrics
223
(
2021
)
2
,
pp. 361-375
Persistent link: https://www.econbiz.de/10012619975
Saved in:
8
Sieve estimation of option-implied state price density
Luo, Junwen
;
Qu, Zhongjun
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 88-112
Persistent link: https://www.econbiz.de/10013275364
Saved in:
9
Nonparametric filtering of conditional state-price densities
Dalderop, Jeroen
- In:
Journal of econometrics
214
(
2020
)
2
,
pp. 295-325
Persistent link: https://www.econbiz.de/10012438391
Saved in:
10
Variance disparity and market frictions
Park, Yang-Ho
- In:
Journal of econometrics
214
(
2020
)
2
,
pp. 326-348
Persistent link: https://www.econbiz.de/10012438393
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