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Option pricing theory
116
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116
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103
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103
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54
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54
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47
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7
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Finance research letters
International journal of theoretical and applied finance
538
Journal of banking & finance
406
NBER working paper series
334
The journal of futures markets
310
Mathematical finance : an international journal of mathematics, statistics and financial theory
291
Working paper / National Bureau of Economic Research, Inc.
286
Applied mathematical finance
273
The journal of computational finance
260
Finance and stochastics
251
NBER Working Paper
246
MPRA Paper
241
The journal of derivatives : the official publication of the International Association of Financial Engineers
230
Quantitative finance
213
Journal of economic dynamics & control
195
Journal of financial economics
190
Review of derivatives research
182
ECB Working Paper
164
Research paper series / Swiss Finance Institute
164
The journal of fixed income
161
Insurance / Mathematics & economics
158
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157
European journal of operational research : EJOR
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145
Working paper series / European Central Bank
140
International review of economics & finance : IREF
134
The North American journal of economics and finance : a journal of financial economics studies
134
Journal of international money and finance
132
Finance and economics discussion series
127
International journal of financial engineering
127
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127
The review of financial studies
127
The journal of finance : the journal of the American Finance Association
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Applied economics
124
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121
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ECONIS (ZBW)
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1
Higher order asymptotic bond price valuation for interest rates with non-Gaussian dependent innovations
Honda, Tetsuhiro
;
Tamaki, Kenichiro
;
Shiohama, Takayuki
- In:
Finance research letters
7
(
2010
)
1
,
pp. 60-69
Persistent link: https://www.econbiz.de/10003972397
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2
Fast approximations of bond option prices under CKLS models
Tangman, D. Y.
;
Thakoor, N.
;
Dookhitram, K.
;
Bhuruth, M.
- In:
Finance research letters
8
(
2011
)
4
,
pp. 206-212
Persistent link: https://www.econbiz.de/10009425850
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3
Credit-implied forward volatility and volatility expectations
Byström, Hans N. E.
- In:
Finance research letters
16
(
2016
),
pp. 132-138
Persistent link: https://www.econbiz.de/10011655141
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4
Value-at-risk estimation with stochastic interest rate models for option-bond portfolios
Wang, Xiaoyu
;
Xie, Dejun
;
Jiang, Jingjing
;
Wu, Xiaoxia
; …
- In:
Finance research letters
21
(
2017
),
pp. 10-20
Persistent link: https://www.econbiz.de/10011807256
Saved in:
5
Estimation of bid-ask prices for options on LIBOR based instruments
Sonono, Masimba Energy
;
Mashele, Hopolang Phillip
- In:
Finance research letters
19
(
2016
),
pp. 33-41
Persistent link: https://www.econbiz.de/10011657436
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6
Valuation of quanto options in a Markovian regime-switching market : a Markov-modulated Gaussian HJM model
Chen, Son-nan
;
Chiang, Mi-hsiu
;
Hsu, Pao-peng
;
Li, Chang-yi
- In:
Finance research letters
11
(
2014
)
2
,
pp. 161-172
Persistent link: https://www.econbiz.de/10010441191
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7
Information content and market liquidity in the fixed income market : evidence from the swaption market
Hattori, Takahiro
- In:
Finance research letters
45
(
2022
),
pp. 1-5
Persistent link: https://www.econbiz.de/10014574914
Saved in:
8
The international integration of the term structure of expected market risk premia
Rubio, Gonzalo
;
Serrano, Pedro
;
Vaello-Sebastià, Antoni
- In:
Finance research letters
58
(
2023
)
4
,
pp. 1-9
Persistent link: https://www.econbiz.de/10014633420
Saved in:
9
Valuation of chooser options with state-dependent risks
Lian, Yu-Min
;
Chen, Jun-Home
- In:
Finance research letters
52
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014471998
Saved in:
10
On the qualitative effect of volatility and duration on prices of Asian options
Carr, Peter
;
Ewald, Christian-Oliver
;
Xiao, Yajun
- In:
Finance research letters
5
(
2008
)
3
,
pp. 162-171
Persistent link: https://www.econbiz.de/10003769897
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