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~isPartOf:"Journal of empirical finance"
~isPartOf:"Journal of risk and financial management : JRFM"
~isPartOf:"The European journal of finance"
~subject:"Option trading"
~subject:"Volatilität"
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Option trading
Volatilität
CAPM
294
Capital income
173
Kapitaleinkommen
173
Option pricing theory
171
Optionspreistheorie
171
Theorie
171
Theory
171
Estimation
113
Schätzung
113
Portfolio selection
105
Portfolio-Management
105
Volatility
104
Börsenkurs
103
Share price
103
Risk premium
69
Risikoprämie
68
Risiko
59
Risk
59
Stochastic process
56
Stochastischer Prozess
56
Aktienmarkt
46
Stock market
46
Derivat
43
Derivative
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USA
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United States
43
Optionsgeschäft
40
Forecasting model
38
Prognoseverfahren
38
Beta risk
31
Betafaktor
31
Asset pricing
29
Anlageverhalten
28
Behavioural finance
28
ARCH model
27
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English
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Stentoft, Lars
6
Wang, Xingchun
3
Zhu, Song-Ping
3
Ballotta, Laura
2
Chan, Leunglung
2
Coakley, Jerry
2
Dunis, Christian
2
Floros, Christos
2
Liu, Xiaoquan
2
Reesor, R. Mark
2
Romagnoli, Silvia
2
Schoutens, Wim
2
Song, Shiyu
2
Wang, Guanying
2
Abad Díaz, David
1
Aboulamer, Anas
1
Abraham, Rebecca
1
Agapova, Anna
1
Ahlip, Rehez
1
Al-Hadad, Jonas
1
Alexeev, Vitali
1
Alireza Zarei
1
Anderson, Scott
1
Aragó Manzana, Vicent
1
Aretz, Kevin
1
Arratia, Argimiro
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Bhargava, Vivek
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Bhattacharjee, Arnab
1
Bhatti, Muhammad Ishaq
1
Blitz, David
1
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Journal of empirical finance
Journal of risk and financial management : JRFM
The European journal of finance
International journal of theoretical and applied finance
237
The journal of futures markets
147
Quantitative finance
142
Journal of banking & finance
139
The journal of computational finance
112
Applied mathematical finance
111
Mathematical finance : an international journal of mathematics, statistics and financial theory
110
Finance research letters
109
Review of derivatives research
94
The journal of derivatives : the official publication of the International Association of Financial Engineers
88
Journal of financial economics
85
The North American journal of economics and finance : a journal of financial economics studies
80
Finance and stochastics
77
Journal of economic dynamics & control
76
International journal of financial engineering
68
Journal of econometrics
68
European journal of operational research : EJOR
65
International review of economics & finance : IREF
61
Computational economics
60
Research paper series / Swiss Finance Institute
60
Journal of mathematical finance
59
NBER working paper series
58
Working paper / National Bureau of Economic Research, Inc.
55
Energy economics
51
Economic modelling
49
NBER Working Paper
46
International review of financial analysis
44
Management science : journal of the Institute for Operations Research and the Management Sciences
44
Risks : open access journal
44
Review of quantitative finance and accounting
41
Annals of finance
40
Insurance / Mathematics & economics
40
Swiss Finance Institute Research Paper
38
Applied economics
36
Asia-Pacific financial markets
36
The review of financial studies
36
The journal of finance : the journal of the American Finance Association
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ECONIS (ZBW)
133
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1
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133
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1
Predictors of excess return in a green energy equity portfolio : market risk, market return, value-at-risk and or expected shortfall?
Abraham, Rebecca
;
El-Chaarani, Hani
;
Tao, Zhi
- In:
Journal of risk and financial management : JRFM
15
(
2022
)
2
,
pp. 1-31
(beta), as indicated by the single-factor Capital Asset
Pricing
Model (CAPM), and the multifactor Fama-French Three …
Persistent link: https://www.econbiz.de/10012872607
Saved in:
2
Do the underlying portfolios matter? : a comparative study of equity-linked pay-at-maturity principal protected notes in Canada and the UK
Li, Yuanshun
;
Anderson, Scott
;
McGraw, Patricia A.
- In:
Journal of risk and financial management : JRFM
15
(
2022
)
10
,
pp. 1-20
This study examines the relationship between the return and the holding cost of equity-linked pay-at-maturity principal protected notes (EL-PAM-PPNs) and the mean return and volatility of the underlying portfolio using 1568 EL-PAM-PPNs issued in the UK and Canada between 2003 and 2015. We find...
Persistent link: https://www.econbiz.de/10013471220
Saved in:
3
Computational finance
Stentoft, Lars
- In:
Journal of risk and financial management : JRFM
13
(
2020
)
7/145
,
pp. 1-4
of numerical methods for
pricing
, hedging, and risk management of financial instruments. …
Persistent link: https://www.econbiz.de/10012309311
Saved in:
4
An investigation of the beta anomaly in emerging markets : a South African case
Segojane, Mabekebeke
;
Ndlovu, Godfrey
- In:
Journal of risk and financial management : JRFM
15
(
2022
)
5
,
pp. 1-18
High-risk stocks tend to provide lower returns than low-risk stocks on a risk-adjusted basis. These results (referred to as the low-beta anomaly) run counter to theoretical expectations. This paper examines the beta anomaly in one of the largest emerging markets in Africa, the Johannesburg Stock...
Persistent link: https://www.econbiz.de/10013273464
Saved in:
5
The
pricing
of jump and diffusive risks in the cross-section of cryptocurrency returns
Leong, Minhao
;
Kwok, Simon Sai Man
- In:
Journal of empirical finance
74
(
2023
),
pp. 1-21
Persistent link: https://www.econbiz.de/10014477057
Saved in:
6
Maximum likelihood estimation of the Hull-White model
Kladívko, Kamil
;
Rusý, Tomáš
- In:
Journal of empirical finance
70
(
2023
),
pp. 227-247
Persistent link: https://www.econbiz.de/10014423686
Saved in:
7
The
pricing
of unexpected volatility in the currency market
Lu, Wenna
;
Copeland, Laurence S.
;
Xu, Yongdeng
- In:
The European journal of finance
29
(
2023
)
17
,
pp. 2032-2046
Persistent link: https://www.econbiz.de/10014388546
Saved in:
8
Statistical arbitrage with mean-reverting overnight price gaps on high-frequency data of the S&P 500
Stübinger, Johannes
;
Schneider, Lucas
- In:
Journal of risk and financial management : JRFM
12
(
2019
)
2/51
,
pp. 1-19
This paper develops a fully-fledged statistical arbitrage strategy based on a mean-reverting jump-diffusion model and applies it to high-frequency data of the S&P 500 constituents from January 1998-December 2015. In particular, the established stock selection and trading framework identifies...
Persistent link: https://www.econbiz.de/10012022240
Saved in:
9
Generalized mean-reverting 4/2 Factor Model
Cheng, Yuyang
;
Escobar, Marcos
;
Gong, Zhenxian
- In:
Journal of risk and financial management : JRFM
12
(
2019
)
4/159
,
pp. 121
functions in closed-form, which help with
pricing
and risk measure calculations. In a numerical example, we demonstrate the …
Persistent link: https://www.econbiz.de/10012172988
Saved in:
10
Time-varying risk and the relation between idiosyncratic risk and stock return
Fu, Chengbo
- In:
Journal of risk and financial management : JRFM
14
(
2021
)
9
,
pp. 1-16
This paper studies the historical time-varying dynamics of risk for individual stocks in the U.S. market. Total risk of an individual stock is decomposed into two components, systematic risk and idiosyncratic risk, and both components are studied separately. We start from the historical trend in...
Persistent link: https://www.econbiz.de/10012628441
Saved in:
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