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~isPartOf:"Journal of economic dynamics & control"
~isPartOf:"Review of derivatives research"
~subject:"Option pricing theory"
~subject:"Theory"
~subject:"Volatility"
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Search: subject_exact:"Finanzderivat"
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Option pricing theory
Theory
Volatility
Derivat
107
Derivative
107
Optionspreistheorie
65
Theorie
37
Volatilität
29
Option trading
25
Optionsgeschäft
25
Stochastic process
25
Stochastischer Prozess
25
Hedging
18
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17
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Yield curve
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Derivatives
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Option pricing
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Black-Scholes model
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Options
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Risikomanagement
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Risikoprämie
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Risk management
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Risk premium
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Credit derivative
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Kreditderivat
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Analysis of variance
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93
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94
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English
94
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Kijima, Masaaki
3
Muck, Matthias
3
Branger, Nicole
2
Chiarella, Carl
2
Escobar, Marcos
2
Fabozzi, Frank J.
2
Gao, Bin
2
Jarrow, Robert A.
2
Joshi, Mark S.
2
Kim, Young Shin
2
Koziol, Christian
2
Li, Lingfei
2
Lioui, Abraham
2
Mahayni, Antje
2
Poncet, Patrice
2
Račev, Svetlozar T.
2
Rösch, Daniel
2
Subrahmanyam, Marti G.
2
Tang, Robert
2
Wang, Xingchun
2
Zhang, Gongqiu
2
Zhang, Jin E.
2
Amzelek, Philippe
1
Augustin, Patrick
1
Backhaus, Jochen
1
Badescu, Alexandru
1
Barletta, Andrea
1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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Journal of economic dynamics & control
Review of derivatives research
The journal of futures markets
188
International journal of theoretical and applied finance
155
Journal of banking & finance
93
Applied mathematical finance
76
Energy economics
70
Quantitative finance
52
European journal of operational research : EJOR
47
International review of financial analysis
44
Finance and stochastics
43
Mathematical finance : an international journal of mathematics, statistics and financial theory
43
The journal of computational finance
42
Finance research letters
41
The European journal of finance
40
International review of economics & finance : IREF
38
The journal of finance : the journal of the American Finance Association
37
Journal of mathematical finance
36
The journal of derivatives : the official publication of the International Association of Financial Engineers
35
Journal of financial and quantitative analysis : JFQA
34
NBER working paper series
34
Advances in futures and options research : a research annual
33
The North American journal of economics and finance : a journal of financial economics studies
33
SpringerLink / Bücher
30
Applied financial economics
29
Economics letters
29
Journal of financial economics
29
The review of financial studies
29
International journal of financial engineering
28
NBER Working Paper
27
The journal of derivatives : JOD
27
Risks : open access journal
26
Applied economics letters
24
Insurance / Mathematics & economics
24
Working paper / National Bureau of Economic Research, Inc.
24
The journal of credit risk : published quarterly by Incisive Media
23
Journal of risk and financial management : JRFM
21
Applied economics
20
Journal of econometrics
20
The journal of fixed income
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ECONIS (ZBW)
94
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94
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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
Deep calibration of financial models : turning theory into practice
Büchel, Patrick
;
Kratochwil, Michael
;
Nagl, Maximilian
; …
- In:
Review of derivatives research
25
(
2022
)
2
,
pp. 109-136
Persistent link: https://www.econbiz.de/10013457606
Saved in:
3
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:
4
Optimal exercise of American put options near maturity : a new economic perspective
Battauz, Anna
;
De Donno, Marzia
;
Gajda, Janusz
;
Sbuelz, …
- In:
Review of derivatives research
25
(
2022
)
1
,
pp. 23-46
Persistent link: https://www.econbiz.de/10013191376
Saved in:
5
Does model complexity improve pricing accuracy? : the case of CoCos
Koziol, Christian
;
Weitz, Sebastian Georg
- In:
Review of derivatives research
24
(
2021
)
3
,
pp. 261-284
Persistent link: https://www.econbiz.de/10012659679
Saved in:
6
Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model
Godin, Frédéric
;
Eghbalzadeh, Ramin
;
Gaillardetz, Patrice
- In:
Review of derivatives research
26
(
2023
)
2/3
,
pp. 171-206
Persistent link: https://www.econbiz.de/10014423872
Saved in:
7
A general method for analysis and valuation of drawdown risk
Zhang, Gongqiu
;
Li, Lingfei
- In:
Journal of economic dynamics & control
152
(
2023
),
pp. 1-37
Persistent link: https://www.econbiz.de/10014427618
Saved in:
8
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:
9
Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
Hu, Yuan
;
Lindquist, W. Brent
;
Račev, Svetlozar T.
; …
- In:
Journal of economic dynamics & control
137
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013464578
Saved in:
10
Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk : application of Mellin transform methods
Ma, Zonggang
;
Ma, Chaoqun
;
Wu, Zhijian
- In:
Review of derivatives research
25
(
2022
)
1
,
pp. 47-91
Persistent link: https://www.econbiz.de/10013191382
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