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Option pricing theory
467
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467
Volatility
245
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245
Stochastic process
235
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235
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175
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Benth, Fred Espen
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Levendorskij, Sergej Z.
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7
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7
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6
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6
Gapeev, Pavel V.
6
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5
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5
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5
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5
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5
Pallavicini, Andrea
5
Račev, Svetlozar T.
5
Siu, Tak Kuen
5
Arai, Takuji
4
Ekström, Erik
4
Hess, Markus
4
Hui, Cho H.
4
Kim, Young Shin
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Liu, Rui Hua
4
Lo, C. F.
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Macrina, Andrea
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Madan, Dilip B.
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Rebonato, Riccardo
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Wilmott, Paul
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3
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Brody, Dorje C.
3
Carr, Peter
3
Cui, Zhenyu
3
Ehrhardt, Matthias
3
Forde, Martin
3
Fouque, Jean-Pierre
3
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International journal of theoretical and applied finance
Finance research letters
767
Energy economics
744
Journal of banking & finance
597
Journal of econometrics
583
NBER working paper series
582
The journal of futures markets
581
Working paper / National Bureau of Economic Research, Inc.
550
Applied economics
500
International review of financial analysis
500
NBER Working Paper
495
Economic modelling
443
International review of economics & finance : IREF
427
Economics letters
421
The North American journal of economics and finance : a journal of financial economics studies
403
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360
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356
Insurance / Mathematics & economics
352
Applied financial economics
350
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347
Journal of empirical finance
345
Research in international business and finance
339
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318
Mathematical finance : an international journal of mathematics, statistics and financial theory
300
Applied mathematical finance
295
Journal of international financial markets, institutions & money
286
Discussion paper / Centre for Economic Policy Research
285
Journal of economic dynamics & control
277
The journal of computational finance
273
The European journal of finance
272
Journal of international money and finance
269
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
265
Finance and stochastics
264
Journal of risk and financial management : JRFM
261
The journal of derivatives : the official publication of the International Association of Financial Engineers
256
Journal of financial economics
251
Risks : open access journal
247
International journal of forecasting
245
Computational economics
237
European journal of operational research : EJOR
231
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ECONIS (ZBW)
593
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1
A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions
Badescu, Alexandru
;
Elliott, Robert J.
;
Kulperger, Reg
; …
- In:
International journal of theoretical and applied finance
14
(
2011
)
5
,
pp. 669-708
Persistent link: https://www.econbiz.de/10009298478
Saved in:
2
Dynamic probabilistic forecasting with uncertainty
Benth, Fred Espen
;
Kutrolli, Gleda
;
Stefani, Silvana
- In:
International journal of theoretical and applied finance
24
(
2021
)
6/7
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012807773
Saved in:
3
Historical
volatility
distribution in Gaussian and GARCH (1,1) models
Molgedey, Lutz
- In:
International journal of theoretical and applied finance
3
(
2000
)
3
,
pp. 417
Persistent link: https://www.econbiz.de/10001522909
Saved in:
4
Probability distribution and option pricing for drawdown in a stochastic
volatility
environment
Yamamoto, Kyo
;
Sato, Seisho
;
Takahashi, Akihiko
- In:
International journal of theoretical and applied finance
13
(
2010
)
2
,
pp. 335-354
Persistent link: https://www.econbiz.de/10008860388
Saved in:
5
Lower bound approximation to basket option values for local
volatility
jump-diffusion models
Xu, Guoping
;
Zheng, Harry
- In:
International journal of theoretical and applied finance
17
(
2014
)
1
,
pp. 1-15
Persistent link: https://www.econbiz.de/10010363942
Saved in:
6
Switching to nonaffine stochastic
volatility
: a closed-form expansion for the inverse gamma model
Langrené, Nicolas
;
Lee, Geoffrey
;
Zhu, Zili
- In:
International journal of theoretical and applied finance
19
(
2016
)
5
,
pp. 1-37
Persistent link: https://www.econbiz.de/10011525109
Saved in:
7
Skew and implied leverage effect : smile dynamics revisited
Vargas, Vincent
;
Dao, Tung-Lam
;
Bouchaud, Jean-Philippe
- In:
International journal of theoretical and applied finance
18
(
2015
)
4
,
pp. 1-15
Persistent link: https://www.econbiz.de/10011403762
Saved in:
8
Credit modeling under jump diffusions with exponentially distributed jumps : stable calibration, dynamics and GAP risk
Hellmich, Martin
;
Kassberger, Stefan
;
Schmidt, Wolfgang M.
- In:
International journal of theoretical and applied finance
16
(
2013
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10009779752
Saved in:
9
Skewed Lévy models and implied
volatility
skew
Olivera, Federico de
;
Barbachan, José Santiago Fajardo
; …
- In:
International journal of theoretical and applied finance
21
(
2018
)
2
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011854458
Saved in:
10
Index options and
volatility
derivatives in a Gaussian random field risk-neutral density model
Han, Xixuan
;
Wei, Boyu
;
Yang, Hailiang
- In:
International journal of theoretical and applied finance
21
(
2018
)
4
,
pp. 1-41
Persistent link: https://www.econbiz.de/10011891885
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