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~isPartOf:"Journal of financial economics"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~subject:"Option pricing theory"
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Option pricing theory
Yield curve
172
Zinsstruktur
172
Theorie
58
Theory
58
Risikoprämie
52
Risk premium
52
Estimation
46
Schätzung
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Lin, Shih-kuei
2
Bai, Jennie
1
Bakshi, Gurdip S.
1
Chen, Carl R.
1
Christoffersen, Peter F.
1
Crosby, John
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Deng, Dongya
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Filipović, Damir
1
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Journal of financial economics
The North American journal of economics and finance : a journal of financial economics studies
International journal of theoretical and applied finance
40
Mathematical finance : an international journal of mathematics, statistics and financial theory
33
Journal of banking & finance
23
The journal of computational finance
23
Applied mathematical finance
21
Finance and stochastics
18
Review of derivatives research
18
The journal of derivatives : the official publication of the International Association of Financial Engineers
18
Quantitative finance
17
The journal of fixed income
15
The journal of futures markets
14
International journal of financial engineering
13
Risks : open access journal
10
Finance research letters
8
The review of financial studies
8
Asia-Pacific financial markets
7
The European journal of finance
7
The journal of finance : the journal of the American Finance Association
7
Insurance / Mathematics & economics
6
Journal of mathematical finance
6
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
6
Research paper series / Swiss Finance Institute
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SpringerLink / Bücher
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5
European journal of operational research : EJOR
5
Lecture notes in economics and mathematical systems : LNEMS
5
Mathematics and financial economics
5
Working paper
5
Annals of finance
4
Annals of financial economics
4
Journal of economic dynamics & control
4
Journal of financial and quantitative analysis : JFQA
4
Management science : journal of the Institute for Operations Research and the Management Sciences
4
Mathematical finance : an international journal of mathematics, statistics and financial economics
4
Série de trabalhos para discussão
4
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
4
Advanced modelling in mathematical finance : in honour of Ernst Eberlein
3
Advances in futures and options research : a research annual
3
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1
Treasury option returns and models with unspanned risks
Bakshi, Gurdip S.
;
Crosby, John
;
Gao, Xiaohui
;
Hansen, …
- In:
Journal of financial economics
150
(
2023
)
3
,
pp. 1-30
Persistent link: https://www.econbiz.de/10014462650
Saved in:
2
Valuation of callable accreting interest rate swaps : least squares Monte-Carlo method under Hull-White interest rate model
Tang, Kin Boon
;
Zheng, Wen-Jie
;
Lin, Chao-Yang
;
Lin, …
- In:
The North American journal of economics and finance : a …
56
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012821303
Saved in:
3
Term structure dynamics in a monetary economy with learning
Ono, Sadayuki
- In:
The North American journal of economics and finance : a …
48
(
2019
),
pp. 730-745
Persistent link: https://www.econbiz.de/10012120324
Saved in:
4
Stochastic interest rates under rational inattention
Zhang, Yuhua
;
Niu, Yingjie
;
Wu, Ting
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012664614
Saved in:
5
The leverage effect and the basket-index put spread
Bai, Jennie
;
Goldstein, Robert S.
;
Yang, Fan
- In:
Journal of financial economics
131
(
2019
)
1
,
pp. 186-205
Persistent link: https://www.econbiz.de/10012130889
Saved in:
6
Pricing range accrual interest rate swap employing LIBOR market models with jump risks
Lin, Shih-kuei
;
Wang, Shin-yun
;
Chen, Carl R.
;
Xu, Lian-Wen
- In:
The North American journal of economics and finance : a …
42
(
2017
),
pp. 359-373
Persistent link: https://www.econbiz.de/10011938138
Saved in:
7
Quadratic variance swap models
Filipović, Damir
;
Gourier, Elise
;
Mancini, Loriano
- In:
Journal of financial economics
119
(
2016
)
1
,
pp. 44-68
Persistent link: https://www.econbiz.de/10011589703
Saved in:
8
Explicit approximate analytic formulas for timer option pricing with stochastic interest rates
Ma, Jingtang
;
Deng, Dongya
;
Lai, Yongzeng
- In:
The North American journal of economics and finance : a …
34
(
2015
),
pp. 1-21
Persistent link: https://www.econbiz.de/10011539653
Saved in:
9
Time-changed Lévy LIBOR market model : pricing and joint estimation of the cap surface and swaption cube
Leippold, Markus
;
Strømberg, Jacob
- In:
Journal of financial economics
111
(
2014
)
1
,
pp. 224-250
Persistent link: https://www.econbiz.de/10010255531
Saved in:
10
Valuation of VIX derivatives
Mencía, Javier
;
Sentana, Enrique
- In:
Journal of financial economics
108
(
2013
)
2
,
pp. 367-391
Persistent link: https://www.econbiz.de/10009749334
Saved in:
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