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~person:"Gehricke, Sebastian A."
~person:"Hsu, Wei-tze"
~person:"Singh, Vipul Kumar"
~person:"Zhang, Jin E."
~subject:"Index derivative"
~subject:"Jump-diffusion process"
~subject:"Option trading strategy"
~subject:"Option trading"
~subject:"VXX"
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Index derivative
Jump-diffusion process
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VXX
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Option pricing theory
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Optionspreistheorie
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Gehricke, Sebastian A.
Hsu, Wei-tze
Singh, Vipul Kumar
Zhang, Jin E.
Kühn, Christoph
5
Wystup, Uwe
5
Zanette, Antonino
5
Chance, Don M.
4
Fusai, Gianluca
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Griebsch, Susanne
4
Ko, Bangwon
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Lee, Hangsuck
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4
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Zhu, Lingjiong
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3
Alghalith, Moawia
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Chan, Leunglung
3
Frey, Rüdiger
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Fukasawa, Masaaki
3
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Jackwerth, Jens Carsten
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Kōnstantinidēs, Giōrgos
3
Necula, Ciprian
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Orosi, Greg
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Perrakis, Stylianos
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Reisinger, Christoph
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Brooks, Robert
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The North American journal of economics and finance : a journal of financial economics studies
1
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The journal of asset management : a major new, international quarterly journal for the financial community
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ECONIS (ZBW)
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1
Effectiveness of deterministic option pricing models : new evidence from Nifty and Bank Nifty Index options
Singh, Vipul Kumar
;
Kumar, Pawan
- In:
The journal of asset management : a major new, …
25
(
2024
)
2
,
pp. 172-189
Persistent link: https://www.econbiz.de/10014511683
Saved in:
2
The implied volatility smirk in SPY options
Guo, Wei
;
Gehricke, Sebastian A.
;
Ruan, Xinfeng
;
Zhang, …
- In:
Applied economics
53
(
2021
)
23
,
pp. 2671-2692
Persistent link: https://www.econbiz.de/10012501393
Saved in:
3
The implied volatility smirk in the Chinese equity options market
Yue, Tian
;
Gehricke, Sebastian A.
;
Zhang, Jin E.
;
Pan, …
- In:
Pacific-Basin finance journal
69
(
2021
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013369869
Saved in:
4
The implied volatility smirk in the VXX options market
Gehricke, Sebastian A.
;
Zhang, Jin E.
- In:
Applied economics
52
(
2020
)
8
,
pp. 769-788
Persistent link: https://www.econbiz.de/10012197465
Saved in:
5
Compound option pricing under a double exponential Jump-diffusion model
Liu, Yu-hong
;
Jiang, I-Ming
;
Hsu, Wei-tze
- In:
The North American journal of economics and finance : a …
43
(
2018
),
pp. 30-53
Persistent link: https://www.econbiz.de/10012036254
Saved in:
6
Pricing and hedging competitiveness of the tree option pricing models : evidence from India
Singh, Vipul Kumar
- In:
The journal of asset management
17
(
2016
)
6
,
pp. 453-475
Persistent link: https://www.econbiz.de/10011648199
Saved in:
7
Conjoint analysis of option and volatility models : empirical evidence from recent financial upheavals in India
Singh, Vipul Kumar
- In:
Journal of emerging market finance
14
(
2015
)
3
,
pp. 258-289
Persistent link: https://www.econbiz.de/10011430608
Saved in:
8
Modeling volatility smile : empirical evidence from India
Singh, Vipul Kumar
- In:
Journal of derivatives & hedge funds
19
(
2013
)
3
,
pp. 208-240
Persistent link: https://www.econbiz.de/10010259418
Saved in:
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