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~person:"Ryu, Doojin"
~person:"Stentoft, Lars"
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Option trading
45
Optionsgeschäft
45
Option pricing theory
35
Optionspreistheorie
35
Volatility
18
Volatilität
18
Börsenkurs
17
Share price
17
Monte Carlo simulation
11
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11
VKOSPI
11
American options
10
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10
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9
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KOSPI 200 options
9
ARCH model
8
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Derivat
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Estimation theory
7
Schätztheorie
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6
Aktienoption
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Asymmetric information
6
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KOSPI200 options
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implied volatility index
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Ryu, Doojin
Stentoft, Lars
Chen, Yu-Fu
117
Moretto, Michele
115
Funke, Michael
95
Kort, Peter M.
54
Madlener, Reinhard
54
Trigeorgis, Lenos
49
Panteghini, Paolo
47
Nishihara, Michi
42
Di Corato, Luca
41
Carr, Peter
40
Yang, Zhaojun
40
Niemann, Rainer
38
Vergalli, Sergio
37
Mußhoff, Oliver
33
Shibata, Takashi
33
Wang, Xingchun
32
Schwartz, Eduardo S.
31
Wystup, Uwe
31
Chesney, Marc
30
Ewald, Christian-Oliver
30
Hull, John
30
McAleer, Michael
30
Musshoff, Oliver
30
Chiarella, Carl
29
Sureth, Caren
29
Perrakis, Stylianos
28
Jackwerth, Jens Carsten
26
Lukas, Elmar
26
Madan, Dilip B.
26
Bahaji, Hamza
25
Cui, Zhenyu
25
Jacobs, Kris
25
Huisman, Kuno J. M.
24
Kit, Pong Wong
24
Thijssen, Jacco J. J.
24
Thomsett, Michael C.
24
Fleten, Stein-Erik
23
Kwok, Yue-Kuen
23
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School of Economics and Management, University of Aarhus
3
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1
Institut für Weltwirtschaft (IfW)
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The journal of futures markets
6
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Handbook of research methods and applications in empirical finance
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1
Journal of international financial markets, institutions & money
1
Management Science
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Operations research letters
1
Pacific-Basin finance journal
1
Physica A: Statistical Mechanics and its Applications
1
Quantitative finance
1
The European journal of finance
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The North American journal of economics and finance : a journal of financial economics studies
1
The journal of derivatives : the official publication of the International Association of Financial Engineers
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ECONIS (ZBW)
57
RePEc
10
EconStor
4
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31
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40
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71
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31
Bootstrapping the early exercise boundary in the least-squares monte carlo method
Létourneau, Pascal
;
Stentoft, Lars
- In:
Journal of Risk and Financial Management
12
(
2019
)
4
,
pp. 1-21
maturity
options
. Numerical results demonstrate the improvements from our method and show that these are robust to the choice …
Persistent link: https://www.econbiz.de/10012611193
Saved in:
32
Bootstrapping the early exercise boundary in the least-squares monte carlo method
Létourneau, Pascal
;
Stentoft, Lars
- In:
Journal of risk and financial management : JRFM
12
(
2019
)
4/190
,
pp. 1-21
maturity
options
. Numerical results demonstrate the improvements from our method and show that these are robust to the choice …
Persistent link: https://www.econbiz.de/10012170988
Saved in:
33
Volatility information trading in the index
options
market : an intraday analysis
Yang, Heejin
;
Kutan, Ali Mustafa
;
Ryu, Doojin
- In:
International review of economics & finance : IREF
64
(
2019
),
pp. 412-426
Persistent link: https://www.econbiz.de/10012372813
Saved in:
34
What We Can Learn from Pricing 139,879 Individual Stock
Options
Stentoft, Lars
-
2019
of the underlying distribution. However, until now the empirical applications have been limited to index
options
or …
options
on only a few stocks and this using only few potential distributions and variance specifications. In this paper we …
Persistent link: https://www.econbiz.de/10012905772
Saved in:
35
Asymmetric mispricing and regime-dependent dynamics in index futures and
options
markets
Lee, Jaeram
;
Ryu, Doojin
- In:
Asian economic journal : journal of the East Asian …
30
(
2016
)
1
,
pp. 47-65
Persistent link: https://www.econbiz.de/10011525887
Saved in:
36
Common deviation and regime-dependent dynamics in the index derivatives markets
Lee, Jaeram
;
Kang, Jangkoo
;
Ryu, Doojin
- In:
Pacific-Basin finance journal
33
(
2015
),
pp. 1-22
Persistent link: https://www.econbiz.de/10011474037
Saved in:
37
Are the KOSPI 200 implied volatilities useful in value-at-risk models?
Kim, Jun Sik
;
Ryu, Doojin
- In:
Emerging markets review
22
(
2015
),
pp. 43-64
Persistent link: https://www.econbiz.de/10011304192
Saved in:
38
The value of multivariate model sophistication : an application to pricing Dow Jones Industrial Average
options
Rombouts, Jeroen V. K.
;
Stentoft, Lars
;
Violante, Francesco
-
2012
Persistent link: https://www.econbiz.de/10009504643
Saved in:
39
The value of multivariate model sophistication : an application to pricing Dow Jones industrial average
options
Rombouts, Jeroen V. K.
;
Stentoft, Lars
;
Violante, Francesco
-
2012
Persistent link: https://www.econbiz.de/10009485768
Saved in:
40
Value Function Approximation or Stopping Time Approximation : A Comparison of Two Recent Numerical Methods for American Option Pricing using Simulation and Regression
Stentoft, Lars
-
2012
In Longstaff and Schwartz (2001) a method for American option pricing using simulation and regression is suggested, and since then the method has rapidly gained importance. However, the idea of using regression and simulation for American option pricing was used at least as early as in Carriere...
Persistent link: https://www.econbiz.de/10014212073
Saved in:
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