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~isPartOf:"Journal of economic dynamics & control"
~subject:"Optionspreistheorie"
~type:"article"
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Optionspreistheorie
Volatility
147
Volatilität
147
Theorie
70
Theory
70
Stochastic process
46
Stochastischer Prozess
46
Option pricing theory
35
Estimation
30
Schätzung
30
Börsenkurs
24
Share price
24
Business cycle
22
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Stochastic volatility
22
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Capital income
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Kapitaleinkommen
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Portfolio selection
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Portfolio-Management
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Time series analysis
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Zeitreihenanalyse
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Schock
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Shock
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Geldpolitik
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Risk
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ARCH-Modell
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Risiko
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Aktienmarkt
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Option trading
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Optionsgeschäft
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Branger, Nicole
3
Chang, Chien-hung
3
Lin, Yueh-neng
3
Cai, Ning
2
Cheng, Jun
2
Cui, Zhenyu
2
Ibraimi, Meriton
2
Kim, Bara
2
Kim, Jerim
2
Leippold, Markus
2
Li, Chenxu
2
Wan, Xiangwei
2
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2
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2
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1
Badescu, Alexandru
1
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1
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1
Chen, Nan
1
Chen, Zheng
1
Chiarella, Carl
1
Choi, Jaehyuk
1
Da Foncesca, José
1
Dai, Min
1
Das, Sanjiv R.
1
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Journal of economic dynamics & control
International journal of theoretical and applied finance
156
Quantitative finance
104
The journal of futures markets
84
Journal of banking & finance
74
Applied mathematical finance
72
The journal of computational finance
65
Mathematical finance : an international journal of mathematics, statistics and financial theory
60
Review of derivatives research
49
International journal of financial engineering
47
Finance research letters
45
European journal of operational research : EJOR
42
Finance and stochastics
40
Journal of econometrics
39
The North American journal of economics and finance : a journal of financial economics studies
38
Computational economics
37
The journal of derivatives : the official publication of the International Association of Financial Engineers
36
Journal of mathematical finance
35
Risks : open access journal
28
Insurance / Mathematics & economics
26
Journal of financial economics
26
Review of quantitative finance and accounting
26
Annals of finance
25
International review of economics & finance : IREF
23
Applied economics
21
The European journal of finance
21
Management science : journal of the Institute for Operations Research and the Management Sciences
20
Energy economics
19
Journal of empirical finance
19
Decisions in economics and finance : DEF ; a journal of applied mathematics
18
Journal of risk and financial management : JRFM
18
Economic modelling
17
Asia-Pacific financial markets
16
International review of financial analysis
16
Journal of financial and quantitative analysis : JFQA
15
The journal of finance : the journal of the American Finance Association
15
Asia-Pacific journal of financial studies
14
Mathematics and financial economics
14
Applied financial economics
12
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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ECONIS (ZBW)
35
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1
The stock implied volatility and the implied dividend volatility
Quaye, Enoch Nii Boi
;
Tunaru, Radu
- In:
Journal of economic dynamics & control
134
(
2022
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013383766
Saved in:
2
Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps
Wan, Xiangwei
;
Yang, Nian
- In:
Journal of economic dynamics & control
125
(
2021
),
pp. 1-37
Persistent link: https://www.econbiz.de/10012666952
Saved in:
3
Pricing discretely monitored barrier options : When Malliavin calculus expansions meet Hilbert transforms
Cai, Ning
;
Li, Chenxu
;
Shi, Chao
- In:
Journal of economic dynamics & control
127
(
2021
),
pp. 1-41
Persistent link: https://www.econbiz.de/10012668507
Saved in:
4
The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model
Choi, Jaehyuk
;
Wu, Lixin
- In:
Journal of economic dynamics & control
128
(
2021
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012628256
Saved in:
5
CTMC integral equation method for American options under stochastic local volatility models
Ma, Jingtang
;
Yang, Wensheng
;
Cui, Zhenyu
- In:
Journal of economic dynamics & control
128
(
2021
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012628259
Saved in:
6
Pricing and exercising American options : an asymptotic expansion approach
Li, Chenxu
;
Ye, Yongxin
- In:
Journal of economic dynamics & control
107
(
2019
),
pp. 1-32
Persistent link: https://www.econbiz.de/10012312643
Saved in:
7
Stochastic volatility implies fourth-degree risk dominance : applications to asset pricing
Gollier, Christian
- In:
Journal of economic dynamics & control
95
(
2018
),
pp. 155-171
Persistent link: https://www.econbiz.de/10012004921
Saved in:
8
Level and slope of volatility smiles in long-run risk models
Branger, Nicole
;
Rodrigues, Paulo Jorge Maurício
; …
- In:
Journal of economic dynamics & control
86
(
2018
),
pp. 95-122
Persistent link: https://www.econbiz.de/10011973857
Saved in:
9
Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
Zeng, Yan
;
Li, Danping
;
Chen, Zheng
;
Yang, Zhou
- In:
Journal of economic dynamics & control
88
(
2018
),
pp. 70-103
Persistent link: https://www.econbiz.de/10011973926
Saved in:
10
Local volatility and the recovery rate of credit default swaps
Jansen, Jeroen
;
Das, Sanjiv R.
;
Fabozzi, Frank J.
- In:
Journal of economic dynamics & control
92
(
2018
),
pp. 1-29
Persistent link: https://www.econbiz.de/10011974230
Saved in:
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