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~isPartOf:"Review of derivatives research"
~subject:"Option pricing theory"
~subject:"Stochastic process"
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Option pricing theory
Stochastic process
Volatility
70
Volatilität
70
Optionspreistheorie
49
Option trading
24
Optionsgeschäft
24
Stochastischer Prozess
24
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Wang, Xingchun
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Review of derivatives research
International journal of theoretical and applied finance
178
Quantitative finance
125
Journal of econometrics
122
Journal of banking & finance
90
Applied mathematical finance
89
The journal of futures markets
84
Mathematical finance : an international journal of mathematics, statistics and financial theory
73
The journal of computational finance
71
Discussion paper / Tinbergen Institute
65
Finance and stochastics
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Finance research letters
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Computational economics
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Journal of economic dynamics & control
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International journal of financial engineering
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European journal of operational research : EJOR
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The journal of derivatives : the official publication of the International Association of Financial Engineers
37
Journal of financial econometrics : official journal of the Society for Financial Econometrics
36
Applied economics
34
Economics letters
34
Journal of financial economics
33
The European journal of finance
32
CREATES research paper
31
Economic modelling
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International review of economics & finance : IREF
29
Journal of risk and financial management : JRFM
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Review of quantitative finance and accounting
27
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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International review of financial analysis
25
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Implied volatility surfaces : a comprehensive analysis using half a billion option prices
Ulrich, Maxim
;
Zimmer, Lukas
;
Merbecks, Constantin
- In:
Review of derivatives research
26
(
2023
)
2/3
,
pp. 135-169
Persistent link: https://www.econbiz.de/10014423871
Saved in:
2
Hedging cryptocurrency options
Matic, Jovanka Lili
;
Packham, Natalie
;
Härdle, Wolfgang
- In:
Review of derivatives research
26
(
2023
)
1
,
pp. 91-133
Persistent link: https://www.econbiz.de/10014266383
Saved in:
3
Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities
Muck, Matthias
- In:
Review of derivatives research
25
(
2022
)
3
,
pp. 293-314
Persistent link: https://www.econbiz.de/10013457626
Saved in:
4
Asymptotic extrapolation of model-free implied variance : exploring structural underestimation in the VIX Index
Stahl, Philip
- In:
Review of derivatives research
25
(
2022
)
3
,
pp. 315-339
Persistent link: https://www.econbiz.de/10013457627
Saved in:
5
The impact of the leverage effect on the implied volatility smile : evidence for the German option market
Rathgeber, A. W.
;
Stadler, Johannes
;
Stöckl, S.
- In:
Review of derivatives research
24
(
2021
)
2
,
pp. 95-133
Persistent link: https://www.econbiz.de/10012549093
Saved in:
6
Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model
Godin, Frédéric
;
Eghbalzadeh, Ramin
;
Gaillardetz, Patrice
- In:
Review of derivatives research
26
(
2023
)
2/3
,
pp. 171-206
Persistent link: https://www.econbiz.de/10014423872
Saved in:
7
Valuing fade-in options with default risk in Heston-Nandi GARCH models
Wang, Xingchun
- In:
Review of derivatives research
25
(
2022
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10013191374
Saved in:
8
Oil futures volatility smiles in 2020 : why the Bachelier smile is flatter
Galeeva, Roza
;
Ronn, Ehud I.
- In:
Review of derivatives research
25
(
2022
)
2
,
pp. 173-187
Persistent link: https://www.econbiz.de/10013457610
Saved in:
9
Bayesian estimation of the stochastic volatility model with double exponential jumps
Li, Jinzhi
- In:
Review of derivatives research
24
(
2021
)
2
,
pp. 157-172
Persistent link: https://www.econbiz.de/10012549106
Saved in:
10
Pricing vulnerable options with jump risk and liquidity risk
Wang, Xingchun
- In:
Review of derivatives research
24
(
2021
)
3
,
pp. 243-260
Persistent link: https://www.econbiz.de/10012659671
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