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~isPartOf:"Quantitative finance"
~subject:"Behavioural finance"
~subject:"Black-Scholes model"
~subject:"Experiment"
~subject:"Index futures"
~subject:"Theory"
~subject:"USA"
~subject:"Volatility"
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Behavioural finance
Black-Scholes model
Experiment
Index futures
Theory
USA
Volatility
Option trading
56
Optionsgeschäft
56
Option pricing theory
51
Optionspreistheorie
51
Stochastic process
22
Stochastischer Prozess
22
Volatilität
22
Derivat
13
Derivative
13
Hedging
11
Black-Scholes-Modell
8
Option pricing
8
Implied volatility
7
Monte Carlo simulation
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Monte-Carlo-Simulation
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American options
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Analysis
4
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4
Mathematical analysis
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Options
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Schätzung
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Asian options
3
Börsenkurs
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Capital income
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Delta hedging
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Electronic trading
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Elektronisches Handelssystem
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Machine learning
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Neural networks
3
Neuronale Netze
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Portfolio selection
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Portfolio-Management
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Bayer, Christian
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1
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Quantitative finance
The journal of futures markets
126
Journal of banking & finance
67
International journal of theoretical and applied finance
63
The journal of derivatives : the official publication of the International Association of Financial Engineers
54
Review of derivatives research
42
Mathematical finance : an international journal of mathematics, statistics and financial theory
39
Applied mathematical finance
37
The journal of computational finance
34
Finance and stochastics
31
The review of financial studies
29
Finance research letters
27
Journal of economic dynamics & control
27
Journal of financial economics
27
Journal of financial and quantitative analysis : JFQA
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Working paper / National Bureau of Economic Research, Inc.
26
International review of economics & finance : IREF
23
Journal of financial markets
23
International review of financial analysis
20
The journal of finance : the journal of the American Finance Association
20
Wiley trading series
20
Computational economics
19
Management science : journal of the Institute for Operations Research and the Management Sciences
19
The North American journal of economics and finance : a journal of financial economics studies
19
International journal of financial engineering
17
Applied economics
15
Review of quantitative finance and accounting
15
Applied financial economics
13
Journal of econometrics
13
NBER working paper series
13
Research paper series / Swiss Finance Institute
13
Asia-Pacific financial markets
12
Decisions in economics and finance : DEF ; a journal of applied mathematics
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Finanzmarkt und Portfolio-Management
12
Journal of risk and financial management : JRFM
12
European journal of operational research : EJOR
11
Finance : revue de l'Association Française de Finance
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Journal of mathematical finance
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Swiss Finance Institute Research Paper
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The European journal of finance
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ECONIS (ZBW)
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1
Principled pasting : attaching tails to risk-neutral probability density functions recovered from option prices
Bollinger, Thomas R.
;
Melick, William Robert
;
Thomas, …
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1751-1768
Persistent link: https://www.econbiz.de/10014452468
Saved in:
2
The role of fleeting orders on option expiration days
Figueiredo, Antonio
;
Jain, Pankaj K.
;
Mishra, Suchismita
- In:
Quantitative finance
23
(
2023
)
10
,
pp. 1511-1529
Persistent link: https://www.econbiz.de/10014419175
Saved in:
3
Delta hedging bitcoin options with a smile
Alexander, Carol
;
Imeraj, Arben
- In:
Quantitative finance
23
(
2023
)
5
,
pp. 799-817
Persistent link: https://www.econbiz.de/10014304354
Saved in:
4
Short-dated smile under rough volatility : asymptotics and numerics
Friz, Peter K.
;
Gassiat, Paul
;
Pigato, Paolo
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 463-480
Persistent link: https://www.econbiz.de/10013167770
Saved in:
5
Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets
Rømer, Sigurd Emil
- In:
Quantitative finance
22
(
2022
)
10
,
pp. 1805-1838
Persistent link: https://www.econbiz.de/10013367949
Saved in:
6
Asymptotics for short maturity Asian options in jump-diffusion models with local volatility
Pirjol, Dan
;
Zhu, Lingjiong
- In:
Quantitative finance
24
(
2024
)
3/4
,
pp. 433-449
Persistent link: https://www.econbiz.de/10014552074
Saved in:
7
Implied volatility directional forecasting : a machine learning approach
Vrontos, Spyridon D.
;
Galakis, John
;
Vrontos, Ioannis D.
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1687-1706
Persistent link: https://www.econbiz.de/10012653707
Saved in:
8
Smiles in delta
Mingone, Arianna
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1713-1728
Persistent link: https://www.econbiz.de/10014452438
Saved in:
9
Weak approximations and VIX option price expansions in forward variance curve models
Bourgey, F.
;
De Marco, Stefano
;
Gobet, Emmanuel
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1259-1283
Persistent link: https://www.econbiz.de/10014339914
Saved in:
10
Efficient pricing and hedging of high-dimensional American options using deep recurrent networks
Na, Andrew S.
;
Wan, Justin W. L.
- In:
Quantitative finance
23
(
2023
)
4
,
pp. 631-651
Persistent link: https://www.econbiz.de/10014304288
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