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~isPartOf:"Review of derivatives research"
~subject:"Option pricing theory"
~type_genre:"Article in journal"
~type_genre:"Bibliography included"
~type_genre:"Non-commercial literature"
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Option pricing theory
Optionspreistheorie
170
Option trading
58
Optionsgeschäft
58
Theorie
52
Theory
52
Volatility
49
Volatilität
49
Derivat
44
Derivative
44
Stochastic process
40
Stochastischer Prozess
40
Yield curve
18
Zinsstruktur
18
Black-Scholes model
17
Black-Scholes-Modell
17
Option pricing
16
Credit risk
15
Kreditrisiko
15
Hedging
14
Risiko
11
Risk
11
Statistical distribution
11
Statistische Verteilung
11
USA
11
United States
11
Interest rate derivative
10
Zinsderivat
10
CAPM
9
Estimation
8
Schätzung
8
Portfolio selection
7
Portfolio-Management
7
American options
6
Calibration
6
Experiment
6
Index futures
6
Index-Futures
6
Numerical analysis
6
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Article
169
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1
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Article in journal
Bibliography included
Non-commercial literature
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170
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1
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English
170
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Jarrow, Robert A.
4
Ritchken, Peter H.
4
Wang, Xingchun
4
Zhang, Jin E.
4
Escobar, Marcos
3
Guillaume, Florence
3
Schoutens, Wim
3
Bondarenko, Oleg
2
Carr, Peter
2
Chance, Don M.
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Clewlow, Les
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Das, Sanjiv R.
2
Dias, José Carlos
2
Dorfleitner, Gregor
2
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2
Düring, Bertram
2
Forsyth, Peter A.
2
Gerer, Johannes
2
Hieber, Peter
2
Hodges, Stewart D.
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Hung, Mao-Wei
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Itkin, Andrey
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Li, Minqiang
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Ronn, Ehud I.
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2
Ulrich, Maxim
2
Vitiello, Luiz
2
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2
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2
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2
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Review of derivatives research
International journal of theoretical and applied finance
467
The journal of futures markets
260
Mathematical finance : an international journal of mathematics, statistics and financial theory
255
The journal of computational finance
251
Applied mathematical finance
240
Finance and stochastics
218
Journal of banking & finance
206
The journal of derivatives : the official publication of the International Association of Financial Engineers
203
Quantitative finance
196
Insurance / Mathematics & economics
139
European journal of operational research : EJOR
132
Journal of economic dynamics & control
129
International journal of financial engineering
116
Finance research letters
109
Journal of mathematical finance
107
Computational economics
106
Risks : open access journal
93
Research paper series / Swiss Finance Institute
87
The North American journal of economics and finance : a journal of financial economics studies
83
The European journal of finance
81
Journal of financial economics
78
Asia-Pacific financial markets
77
Journal of econometrics
66
Journal of financial and quantitative analysis : JFQA
58
Energy economics
55
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
55
Review of quantitative finance and accounting
55
Annals of finance
52
Journal of risk and financial management : JRFM
50
The journal of finance : the journal of the American Finance Association
50
The journal of real estate finance and economics
50
The review of financial studies
50
Economic modelling
49
Decisions in economics and finance : DEF ; a journal of applied mathematics
47
International review of economics & finance : IREF
47
Management science : journal of the Institute for Operations Research and the Management Sciences
46
International review of financial analysis
44
Mathematics and financial economics
44
Applied economics
42
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ECONIS (ZBW)
170
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1
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
Continuity correction : on the pricing of discrete double barrier options
Luo, Sheng-Feng
;
Wong, Hsin-Chieh
- In:
Review of derivatives research
26
(
2023
)
1
,
pp. 51-90
Persistent link: https://www.econbiz.de/10014266376
Saved in:
3
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:
4
Deep calibration of financial models : turning theory into practice
Büchel, Patrick
;
Kratochwil, Michael
;
Nagl, Maximilian
; …
- In:
Review of derivatives research
25
(
2022
)
2
,
pp. 109-136
Persistent link: https://www.econbiz.de/10013457606
Saved in:
5
Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators : a Gram-Charlier density approach
Aschakulporn, Pakorn
;
Zhang, Jin E.
- In:
Review of derivatives research
25
(
2022
)
3
,
pp. 233-281
Persistent link: https://www.econbiz.de/10013457619
Saved in:
6
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:
7
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:
8
Optimal exercise of American put options near maturity : a new economic perspective
Battauz, Anna
;
De Donno, Marzia
;
Gajda, Janusz
;
Sbuelz, …
- In:
Review of derivatives research
25
(
2022
)
1
,
pp. 23-46
Persistent link: https://www.econbiz.de/10013191376
Saved in:
9
Does model complexity improve pricing accuracy? : the case of CoCos
Koziol, Christian
;
Weitz, Sebastian Georg
- In:
Review of derivatives research
24
(
2021
)
3
,
pp. 261-284
Persistent link: https://www.econbiz.de/10012659679
Saved in:
10
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
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