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~isPartOf:"International journal of theoretical and applied finance"
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Option pricing theory
466
Optionspreistheorie
466
Stochastic process
323
Stochastischer Prozess
323
Theorie
255
Theory
255
Volatility
244
Volatilität
244
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125
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95
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85
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option pricing
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Elliott, Robert J.
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Levendorskij, Sergej Z.
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Kwok, Yue-Kuen
9
Benth, Fred Espen
8
Fabozzi, Frank J.
8
Gapeev, Pavel V.
7
Takahashi, Akihiko
7
Avellaneda, Marco
6
Brigo, Damiano
6
Liu, Rui Hua
6
Arai, Takuji
5
Bojarčenko, Svetlana I.
5
Chiarella, Carl
5
Jaimungal, Sebastian
5
Joshi, Mark S.
5
Macrina, Andrea
5
Oosterlee, Cornelis W.
5
Račev, Svetlozar T.
5
Siu, Tak Kuen
5
Wu, Lixin
5
Bielecki, Tomasz R.
4
Brody, Dorje C.
4
Cartea, Álvaro
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Hui, Cho H.
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Lo, C. F.
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Rebonato, Riccardo
4
Schoutens, Wim
4
Stoyanov, Stoyan V.
4
Wilmott, Paul
4
Antonelli, Fabio
3
Aurell, Erik
3
Bayraktar, Erhan
3
Bernard, Carole
3
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International journal of theoretical and applied finance
European journal of operational research : EJOR
919
Energy economics
762
Finance research letters
739
NBER working paper series
738
Working paper / National Bureau of Economic Research, Inc.
693
NBER Working Paper
613
Journal of econometrics
576
Journal of banking & finance
573
The journal of futures markets
566
Economic modelling
502
International review of financial analysis
487
Applied economics
477
Journal of economic dynamics & control
465
Economics letters
443
International review of economics & finance : IREF
425
Working paper
425
Discussion paper / Centre for Economic Policy Research
414
Insurance / Mathematics & economics
401
The North American journal of economics and finance : a journal of financial economics studies
396
Finance and stochastics
393
Mathematical finance : an international journal of mathematics, statistics and financial theory
380
Discussion paper / Tinbergen Institute
379
Applied economics letters
351
Quantitative finance
349
Journal of empirical finance
318
Applied mathematical finance
317
Applied financial economics
314
Research in international business and finance
314
CESifo working papers
297
The journal of computational finance
286
Computational economics
280
Journal of international money and finance
280
Risks : open access journal
272
Journal of financial economics
265
Journal of risk and financial management : JRFM
262
Operations research letters
261
Journal of international financial markets, institutions & money
260
Working Paper
258
The journal of derivatives : the official publication of the International Association of Financial Engineers
255
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ECONIS (ZBW)
696
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696
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1
Variance and
volatility
swaps under a two-factor stochastic
volatility
model with regime switching
He, Xin-Jiang
;
Zhu, Song-Ping
- In:
International journal of theoretical and applied finance
22
(
2019
)
4
,
pp. 1-19
Persistent link: https://www.econbiz.de/10012030900
Saved in:
2
On some functionals of the first passage times in models with switching stochastic
volatility
Gapeev, Pavel V.
;
Brockhaus, Oliver
;
Dubois, Mathieu
- In:
International journal of theoretical and applied finance
21
(
2018
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011845962
Saved in:
3
Hedging (co)variance risk with variance swaps
Fonseca, José da
;
Grasselli, Martino
;
Ielpo, Florian
- In:
International journal of theoretical and applied finance
14
(
2011
)
6
,
pp. 899-943
Persistent link: https://www.econbiz.de/10009380996
Saved in:
4
Volatility
derivatives in market models with jumps
Lo, Harry
;
Mijatovi´c, Aleksandar
- In:
International journal of theoretical and applied finance
14
(
2011
)
7
,
pp. 1159-1193
Persistent link: https://www.econbiz.de/10009407653
Saved in:
5
A recombining tree method for option pricing with state-dependent switching rates
Jiang, J. X.
;
Liu, Rui Hua
;
Nguyen, D.
- In:
International journal of theoretical and applied finance
19
(
2016
)
2
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011455022
Saved in:
6
Decomposition formula for rough Volterra stochastic
volatility
models
Merino, Raúl
;
Pospíšil, Jan
;
Sobotka, Tomáš
; …
- In:
International journal of theoretical and applied finance
24
(
2021
)
2
,
pp. 1-47
Persistent link: https://www.econbiz.de/10012650356
Saved in:
7
Efficient, almost exact simulation of the heston stochastic
volatility
model
van Haastrecht, Alexander
;
Pelsser, Antoon André Jean
- In:
International journal of theoretical and applied finance
13
(
2010
)
1
,
pp. 1-43
Persistent link: https://www.econbiz.de/10008860425
Saved in:
8
Computation of
volatility
in stochastic
volatility
models with high frequency data
Barucci, Emilio
;
Mancino, Maria Elvira
- In:
International journal of theoretical and applied finance
13
(
2010
)
5
,
pp. 767-787
Persistent link: https://www.econbiz.de/10008904328
Saved in:
9
Regime-switching recombining tree for option pricing
Liu, Rui Hua
- In:
International journal of theoretical and applied finance
13
(
2010
)
3
,
pp. 479-499
Persistent link: https://www.econbiz.de/10008904355
Saved in:
10
Exact pricing with stochastic
volatility
and jumps
D'Ippoliti, Fernanda
;
Moretto, Enrico
;
Pasquali, Sara
; …
- In:
International journal of theoretical and applied finance
13
(
2010
)
6
,
pp. 901-929
Persistent link: https://www.econbiz.de/10008905110
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