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~isPartOf:"Journal of mathematical finance"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~isPartOf:"Working paper"
~subject:"Option pricing theory"
~subject:"Stochastic process"
~type:"article"
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Search: subject_exact:"Volatility"
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Option pricing theory
Stochastic process
Volatility
395
Volatilität
395
Börsenkurs
125
Share price
125
ARCH model
113
ARCH-Modell
113
Estimation
111
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111
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Ezepue, Patrick Oseloka
3
Labuschagne, Coenraad C. A.
3
Li, Shaoyu
3
Urama, Thomas Chinwe
3
Jagannathan, Raj
2
Lin, Shih-kuei
2
Ma, Jingtang
2
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Pairote Sattayatham
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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 mathematical finance
The North American journal of economics and finance : a journal of financial economics studies
Working paper
International journal of theoretical and applied finance
178
Journal of econometrics
122
Quantitative finance
119
Journal of banking & finance
90
Applied mathematical finance
87
The journal of futures markets
77
Mathematical finance : an international journal of mathematics, statistics and financial theory
73
The journal of computational finance
70
Finance and stochastics
60
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
59
Journal of economic dynamics & control
54
Finance research letters
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Computational economics
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International journal of financial engineering
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European journal of operational research : EJOR
46
Econometric reviews
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43
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Risks : open access journal
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Energy economics
37
The journal of derivatives : the official publication of the International Association of Financial Engineers
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Annals of finance
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Economics letters
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Journal of risk and financial management : JRFM
29
The European journal of finance
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International review of economics & finance : IREF
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Review of quantitative finance and accounting
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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International review of financial analysis
24
Asia-Pacific financial markets
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Management science : journal of the Institute for Operations Research and the Management Sciences
23
The journal of finance : the journal of the American Finance Association
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ECONIS (ZBW)
88
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88
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1
Analytically pricing variance and volatility swaps under a Markov-modulated model with liquidity risks
He, Xin-Jiang
;
Lin, Sha
- In:
The North American journal of economics and finance : a …
67
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014483995
Saved in:
2
Robust optimal reinsurance-investment for αmaxmin mean-variance utility under Heston's SV model
Chen, Dengsheng
;
He, Yong
;
Li, Ziqiang
- In:
The North American journal of economics and finance : a …
67
(
2023
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014484002
Saved in:
3
Psychological barriers and option pricing in a local volatility model
Li, Dan
;
Liu, Lixin
;
Xu, Guangli
- In:
The North American journal of economics and finance : a …
64
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014246900
Saved in:
4
Jump dynamics, spillover effect and option valuation
Pan, Zhiyuan
;
Shuai, Jiangyu
;
Liang, Zhilei
;
Sun, Xianchao
- In:
The North American journal of economics and finance : a …
62
(
2022
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013534098
Saved in:
5
Consistent pricing of VIX options with the Hawkes jump-diffusion model
Jing, Bo
;
Li, Shenghong
;
Ma, Yong
- In:
The North American journal of economics and finance : a …
56
(
2021
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012821987
Saved in:
6
Jump Interdependencies : stochastic linkages among international stock markets
Kshatriya, Saranya
;
Prasanna, Krishna
- In:
The North American journal of economics and finance : a …
57
(
2021
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012822184
Saved in:
7
Valuation of options on the maximum of two prices with default risk under GARCH models
Wang, Xingchun
- In:
The North American journal of economics and finance : a …
57
(
2021
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012822187
Saved in:
8
A closed-form exact solution for pricing fixed-income variance swaps with affine-jump model
Li, Shaoyu
;
Zhang, Yuanyuan
;
Zhu, Chunhui
- In:
The North American journal of economics and finance : a …
58
(
2021
),
pp. 1-19
Persistent link: https://www.econbiz.de/10013188207
Saved in:
9
Impact of volatility jumps in a mean-reverting model : derivative pricing and empirical evidence
Chiu, Hsin-Yu
;
Chen, Ting-Fu
- In:
The North American journal of economics and finance : a …
52
(
2020
),
pp. 1-22
Persistent link: https://www.econbiz.de/10012656907
Saved in:
10
Valuing spread options with counterparty risk and jump risk
Li, Zelei
;
Wang, Xingchun
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012665103
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