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~person:"Andersen, Torben"
~person:"Kim, Sol"
~subject:"Behavioural finance"
~subject:"Black-Scholes model"
~subject:"Index futures"
~subject:"Volatility"
~subject:"Volatilität"
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Behavioural finance
Black-Scholes model
Index futures
Volatility
Volatilität
Option trading
18
Optionsgeschäft
18
Option pricing theory
12
Optionspreistheorie
12
Stochastic process
7
Stochastischer Prozess
7
Risikoprämie
6
Risk premium
6
Index-Futures
5
Theorie
5
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5
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4
Scientific modelling
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Statistical distribution
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Derivat
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Hedging
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Aktienindex
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Kurtosis
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Panel study
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2
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15
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Andersen, Torben
Kim, Sol
Ryu, Doojin
19
Zhang, Jin E.
15
Todorov, Viktor
13
Thomsett, Michael C.
12
Carr, Peter
11
Fodor, Andy
11
Guirguis, Michel
11
Perrakis, Stylianos
11
Fusari, Nicola
10
Bernales, Alejandro
9
Wang, Xingchun
9
Giglio, Stefano
8
Kelly, Bryan T.
8
McAleer, Michael
8
Ruan, Xinfeng
8
Cui, Zhenyu
7
Farkas, Walter
7
Jackwerth, Jens Carsten
7
Lung, Peter P.
7
Orosi, Greg
7
Wang, Yaw-Huei
7
Wu, Liuren
7
Yang, Heejin
7
Alexander, Carol
6
Czerwonko, Michal
6
Dew-Becker, Ian
6
Diavatopoulos, Dean
6
Fusai, Gianluca
6
Gehricke, Sebastian A.
6
Guo, Biao
6
Jacquier, Antoine (Jack)
6
Kirkby, J. Lars
6
Madan, Dilip B.
6
Muck, Matthias
6
Muravyev, Dmitriy
6
Muzzioli, Silvia
6
Nguyen, Duy
6
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Asia-Pacific journal of financial studies
3
CREATES research paper
3
Journal of risk
2
Working paper / National Bureau of Economic Research, Inc.
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Global COE Hi-Stat discussion paper series
1
Journal of econometrics
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Review of Pacific Basin financial markets and policies
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ECONIS (ZBW)
15
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1
The risk premia embedded in index options
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
-
2018
Persistent link: https://www.econbiz.de/10011797609
Saved in:
2
The risk premia embedded in index options
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
-
2014
Persistent link: https://www.econbiz.de/10010442402
Saved in:
3
Parametric inference and dynamic state recovery from option panels
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
-
2012
Persistent link: https://www.econbiz.de/10009524097
Saved in:
4
Parametric inference and dynamic state recovery from option panels
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
-
2012
Persistent link: https://www.econbiz.de/10010202343
Saved in:
5
Pricing and hedging options with rollover parameters
Kim, Sol
- In:
Journal of risk
19
(
2017
)
5
,
pp. 1-40
Persistent link: https://www.econbiz.de/10011747093
Saved in:
6
Lead-lag relationship between returns and implied moments : evidence from KOSPI 200 intraday options data
Kim, Sol
;
Lee, Geul
- In:
Review of Pacific Basin financial markets and policies
20
(
2017
)
3
,
pp. 1-20
Persistent link: https://www.econbiz.de/10011752436
Saved in:
7
Skewness versus Kurtosis : implications for pricing and hedging options
Kim, Sol
;
Lee, Geul
;
Park, Yuen Jung
- In:
Asia-Pacific journal of financial studies
46
(
2017
)
6
,
pp. 903-933
Persistent link: https://www.econbiz.de/10011865909
Saved in:
8
Delta-hedged gains and risk-neutral moments
Kim, Dahea
;
Kim, Sol
- In:
Journal of risk
19
(
2016
)
2
,
pp. 31-59
Persistent link: https://www.econbiz.de/10013177077
Saved in:
9
The fine structure of equity-index option dynamics
Andersen, Torben
;
Bondarenko, Oleg
;
Todorov, Viktor
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 532-546
Persistent link: https://www.econbiz.de/10011499756
Saved in:
10
Parametric inference and dynamic state recovery from option panels
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
- In:
Econometrica : journal of the Econometric Society, an …
83
(
2015
)
3
,
pp. 1081-1145
Persistent link: https://www.econbiz.de/10011378591
Saved in:
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