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~isPartOf:"Journal of econometrics"
~isPartOf:"Journal of financial economics"
~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~subject:"Currency option"
~subject:"Kapitaleinkommen"
~subject:"Monte Carlo simulation"
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Option Prices with Stochastic...
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Currency option
Kapitaleinkommen
Monte Carlo simulation
Option pricing theory
348
Optionspreistheorie
348
Theorie
147
Theory
147
Volatility
108
Volatilität
108
Option trading
85
Optionsgeschäft
85
Stochastic process
62
Stochastischer Prozess
62
USA
51
United States
51
Estimation
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46
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Statistische Verteilung
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Aktienoption
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Stock option
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Risk premium
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ARCH-Modell
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Interest rate derivative
18
Zinsderivat
18
Börsenkurs
16
Estimation theory
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Nichtparametrisches Verfahren
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Bollerslev, Tim
3
Todorov, Viktor
3
Ornthanalai, Chayawat
2
Wu, Liuren
2
Ai, Hengjie
1
Almeida, Caio
1
Andersen, Torben
1
Aït-Sahalia, Yacine
1
Babsiri, Mohamed el
1
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1
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1
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1
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1
Bennett, Michael N.
1
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1
Breedon, Francis J.
1
Buraschi, Andrea
1
Byun, Suk Joon
1
Büchner, Matthias
1
Carr, Peter
1
Chateauneuf, Alain
1
Chen, Qiang
1
Cheng, Ai-ru Meg
1
Choi, Seung-mook S.
1
Christoffersen, Peter F.
1
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Duan, Jin-Chuan
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Gao, Xiaohui
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1
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1
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Journal of econometrics
Journal of financial economics
The journal of derivatives : the official publication of the International Association of Financial Engineers
The journal of computational finance
46
International journal of theoretical and applied finance
39
Quantitative finance
34
The journal of futures markets
26
Journal of banking & finance
20
Applied mathematical finance
19
Computational economics
19
Finance and stochastics
18
Mathematical finance : an international journal of mathematics, statistics and financial theory
16
European journal of operational research : EJOR
15
Journal of risk and financial management : JRFM
15
Energy economics
14
Finance research letters
14
The North American journal of economics and finance : a journal of financial economics studies
14
Journal of economic dynamics & control
12
Review of derivatives research
12
Working paper series / Centre for Practical Quantitative Finance
12
International journal of financial engineering
11
Management science : journal of the Institute for Operations Research and the Management Sciences
11
Risks : open access journal
11
Insurance / Mathematics & economics
10
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
10
Journal of financial and quantitative analysis : JFQA
9
Research paper series / Swiss Finance Institute
9
Review of quantitative finance and accounting
9
The European journal of finance
9
The journal of finance : the journal of the American Finance Association
9
International review of financial analysis
8
Journal of empirical finance
8
Applied economics
7
Asia-Pacific financial markets
7
Decisions in economics and finance : DEF ; a journal of applied mathematics
7
Journal of mathematical finance
7
The review of financial studies
7
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Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
7
International journal of economics and finance
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1
Empirical pricing kernels
Rosenberg, Joshua V.
;
Engle, Robert F.
- In:
Journal of financial economics
64
(
2002
)
3
,
pp. 341-372
Persistent link: https://www.econbiz.de/10001687813
Saved in:
2
Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
Bollerslev, Tim
;
Gibson, Michael S.
;
Zhou, Hao
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 235-245
Persistent link: https://www.econbiz.de/10009242522
Saved in:
3
A Gaussian approximation scheme for computation of option prices in stochastic volatility models
Cheng, Ai-ru Meg
;
Gallant, A. Ronald
;
Ji, Chuanshu
; …
- In:
Journal of econometrics
146
(
2008
)
1
,
pp. 44-58
Persistent link: https://www.econbiz.de/10003778206
Saved in:
4
Cross-section of option returns and volatility
Goyal, Amit
;
Saretto, Alessio
- In:
Journal of financial economics
94
(
2009
)
2
,
pp. 310-326
Persistent link: https://www.econbiz.de/10003906353
Saved in:
5
Differences in beliefs and currency risk premiums
Beber, Alessandro
;
Breedon, Francis J.
;
Buraschi, Andrea
- In:
Journal of financial economics
98
(
2010
)
3
,
pp. 415-438
Persistent link: https://www.econbiz.de/10008827023
Saved in:
6
Gas storage valuation using a Monte Carlo method
Boogert, Alexander
;
Jong, Cyriel de
- In:
The journal of derivatives : the official publication …
15
(
2008
)
3
,
pp. 81-98
Persistent link: https://www.econbiz.de/10003673367
Saved in:
7
Stochastic skew in currency options
Carr, Peter
;
Wu, Liuren
- In:
Journal of financial economics
86
(
2007
)
1
,
pp. 213-247
Persistent link: https://www.econbiz.de/10003546310
Saved in:
8
Efficient Monte Carlo barrier option pricing when the underlying security price follows a jump-diffusion process
Ross, Sheldon M.
;
Ghamami, Samim
- In:
The journal of derivatives : the official publication …
17
(
2009/10
)
3
,
pp. 45-52
Persistent link: https://www.econbiz.de/10003961017
Saved in:
9
Jump risk, stock returns, and slope of implied volatility smile
Yan, Shu
- In:
Journal of financial economics
99
(
2011
)
1
,
pp. 216-233
Persistent link: https://www.econbiz.de/10009242390
Saved in:
10
Variance dynamics : joint evidence from options and high-frequency returns
Wu, Liuren
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 280-287
Persistent link: https://www.econbiz.de/10009242518
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