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Option pricing theory
Optionspreistheorie
5
Volatility
5
Volatilität
5
Implied volatility surfaces
3
Volatility modelling
3
Volatility surfaces
3
implied volatility surfaces
3
Estimation
2
Forecasting model
2
Prognoseverfahren
2
Schätzung
2
Stochastic volatility
2
Volatility smile fitting
2
Aktienmarkt
1
Black-Scholes model
1
Black-Scholes-Modell
1
Causality
1
Commodity finance
1
Commodity market
1
Convex regularization
1
Currency derivative
1
Currency option
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Derivat
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Derivative
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Devisenoption
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Estimation theory
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Euro
1
Exchange rate
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Extended Girsanov Principle
1
Factor model
1
Forecasting
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Greece
1
Greeks
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Griechenland
1
Hidden Markov Models
1
IVSs
1
Implied volatilities
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Libor rate
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Markov chain
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English
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Godin, Frédéric
2
Albani, Vinícius
1
Cezaro, Adriano de
1
Chalamandaris, Georgios
1
François, Pascal
1
Galarneau-Vincent, Rémi
1
Gauthier, Geneviève
1
Kearney, Fearghal
1
Shang, Han Lin
1
Sheenan, Lisa
1
Trottier, Denis-Alexandre
1
Tsekrekos, Andrianos E.
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Zubelli, Jorge P.
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Insurance / Mathematics & economics
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International journal of theoretical and applied finance
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Journal of banking & finance
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The European journal of finance
1
The journal of futures markets
1
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ECONIS (ZBW)
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Venturing into uncharted territory : an extensible implied volatility surface model
François, Pascal
;
Galarneau-Vincent, Rémi
;
Gauthier, …
- In:
The journal of futures markets
42
(
2022
)
10
,
pp. 1912-1940
Persistent link: https://www.econbiz.de/10013465829
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2
Option pricing in regime-switching frameworks with the Extended Girsanov Principle
Godin, Frédéric
;
Trottier, Denis-Alexandre
- In:
Insurance / Mathematics & economics
99
(
2021
),
pp. 116-129
Persistent link: https://www.econbiz.de/10012649213
Saved in:
3
Implied volatility surface predictability : the case of commodity markets
Kearney, Fearghal
;
Shang, Han Lin
;
Sheenan, Lisa
- In:
Journal of banking & finance
108
(
2019
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012224756
Saved in:
4
Convex regularization of local volatility estimation
Albani, Vinícius
;
Cezaro, Adriano de
;
Zubelli, Jorge P.
- In:
International journal of theoretical and applied finance
20
(
2017
)
1
,
pp. 1-37
Persistent link: https://www.econbiz.de/10011686808
Saved in:
5
Predictability in implied
volatility
surfaces
: evidence from the euro OTC FX market
Chalamandaris, Georgios
;
Tsekrekos, Andrianos E.
- In:
The European journal of finance
20
(
2014
)
1/3
,
pp. 33-58
Persistent link: https://www.econbiz.de/10010462211
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