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~subject:"Anlageverhalten"
~subject:"Risiko"
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THREE-POINT VOLATILITY SMILE C...
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Anlageverhalten
Risiko
Volatility
Option pricing theory
10
Optionspreistheorie
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10
implied volatility
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Applied mathematical finance
Research paper series / Swiss Finance Institute
55
Journal of banking & finance
33
Swiss Finance Institute Research Paper
32
Discussion paper / Tinbergen Institute
28
Quantitative finance
28
International journal of theoretical and applied finance
22
Journal of risk and financial management : JRFM
21
Working paper
21
International review of financial analysis
19
Staff reports / Federal Reserve Bank of New York
19
Finance research letters
18
Cogent economics & finance
16
International Journal of Financial Studies : open access journal
16
Journal of financial economics
16
Working paper / Centre for Financial Research
16
SFB 649 discussion paper
15
Applied economics
14
The North American journal of economics and finance : a journal of financial economics studies
14
CFS working paper series
13
ECB Working Paper
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Energy economics
13
Risks : open access journal
13
CESifo working papers
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International review of economics & finance : IREF
12
The journal of futures markets
12
International journal of financial engineering
11
NBER working paper series
11
Working paper series / European Central Bank
11
FEDS Working Paper
10
Journal of empirical finance
10
MPRA Paper
10
SAFE working paper
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9
Finance and economics discussion series
9
Management science : journal of the Institute for Operations Research and the Management Sciences
9
Review of quantitative finance and accounting
9
Annals of finance
8
Asia-Pacific journal of financial studies
8
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1
Regime-switching stochastic volatility model : estimation and calibration to VIX
options
Goutte, Stéphane
;
Ismail, Amine
;
Pham, Huyên
- In:
Applied mathematical finance
24
(
2017
)
1/2
,
pp. 38-75
Persistent link: https://www.econbiz.de/10011746993
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2
Forward variance dynamics : Bergomi's model revisited
Aly, Sidi Mohamed Ould
- In:
Applied mathematical finance
21
(
2014
)
1/2
,
pp. 84-107
Persistent link: https://www.econbiz.de/10010351856
Saved in:
3
Small-maturity asymptotics for the at-the-money implied volatility Slope in Lévy Models
Gerhold, Stefan
;
Gülüm, I. Cetin
;
Pinter, Arpad
- In:
Applied mathematical finance
23
(
2016
)
1/2
,
pp. 135-157
Persistent link: https://www.econbiz.de/10011547000
Saved in:
4
Implied volatility of leveraged ETF
options
Leung, Tim
;
Sircar, Kaushik Ronnie
- In:
Applied mathematical finance
22
(
2015
)
1/2
,
pp. 162-188
Persistent link: https://www.econbiz.de/10010505139
Saved in:
5
Effect of volatility clustering on indifference pricing of
options
by convex risk measures
Kumar, Rohini
- In:
Applied mathematical finance
22
(
2015
)
1/2
,
pp. 63-82
Persistent link: https://www.econbiz.de/10010505169
Saved in:
6
Third-order short-time expansions for close-to-the-money option prices under the CGMY model
Figueroa-López, José E.
;
Gong, Ruoting
;
Houdré, Christian
- In:
Applied mathematical finance
24
(
2017
)
5/6
,
pp. 547-574
Persistent link: https://www.econbiz.de/10011815299
Saved in:
7
On a neural network to extract implied information from american
options
Liu, Shuaiqiang
;
Leitao, Álvaro
;
Borovykh, Anastasia
; …
- In:
Applied mathematical finance
28
(
2021
)
5
,
pp. 449-475
Persistent link: https://www.econbiz.de/10013411712
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8
Simulation of arbitrage-free implied volatility surfaces
Cont, Rama
;
Vuletić, Milena
- In:
Applied mathematical finance
30
(
2023
)
2
,
pp. 94-121
Persistent link: https://www.econbiz.de/10014443387
Saved in:
9
Short-time asymptotics for non-self-similar stochastic volatility models
Giorgio, Giacomo
;
Pacchiarotti, Barbara
;
Pigato, Paolo
- In:
Applied mathematical finance
30
(
2023
)
3
,
pp. 123-152
Persistent link: https://www.econbiz.de/10015051230
Saved in:
10
On the implied volatility of Asian
options
under stochastic volatility models
Alòs, Elisa
;
Nualart, Eulalia
;
Pravosud, Makar
- In:
Applied mathematical finance
30
(
2023
)
5
,
pp. 249-274
Persistent link: https://www.econbiz.de/10015051248
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