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~isPartOf:"Journal of econometrics"
~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~subject:"ARCH model"
~subject:"Currency option"
~subject:"Kapitaleinkommen"
~subject:"Monte Carlo simulation"
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Option Prices with Stochastic...
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ARCH model
Currency option
Kapitaleinkommen
Monte Carlo simulation
Option pricing theory
269
Optionspreistheorie
269
Theorie
119
Theory
119
Volatility
81
Volatilität
81
Option trading
64
Optionsgeschäft
64
Stochastic process
45
Stochastischer Prozess
45
Black-Scholes model
40
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Nichtparametrisches Verfahren
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Aktienoption
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Stock option
13
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Bollerslev, Tim
3
Christoffersen, Peter F.
2
Jacobs, Kris
2
Mazzoni, Thomas
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Xiu, Dacheng
2
Almeida, Caio
1
Amengual, Dante
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Aït-Sahalia, Yacine
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1
Boogert, Alexander
1
Caporin, Massimiliano
1
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1
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1
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1
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1
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1
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1
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1
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1
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Journal of econometrics
The journal of derivatives : the official publication of the International Association of Financial Engineers
The journal of computational finance
48
International journal of theoretical and applied finance
45
Quantitative finance
39
The journal of futures markets
39
Journal of banking & finance
33
Computational economics
23
The North American journal of economics and finance : a journal of financial economics studies
23
Finance research letters
21
Journal of financial economics
21
Applied mathematical finance
19
Mathematical finance : an international journal of mathematics, statistics and financial theory
19
European journal of operational research : EJOR
18
Finance and stochastics
18
Journal of risk and financial management : JRFM
17
Review of derivatives research
17
Journal of economic dynamics & control
16
Energy economics
14
Review of quantitative finance and accounting
14
International journal of financial engineering
13
Journal of empirical finance
13
Management science : journal of the Institute for Operations Research and the Management Sciences
13
Risks : open access journal
13
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
12
Working paper series / Centre for Practical Quantitative Finance
12
Applied economics
11
International review of financial analysis
11
Research paper series / Swiss Finance Institute
11
The European journal of finance
11
The review of financial studies
11
Insurance / Mathematics & economics
10
International review of economics & finance : IREF
10
Journal of financial and quantitative analysis : JFQA
10
The journal of finance : the journal of the American Finance Association
10
Asia-Pacific financial markets
9
Decisions in economics and finance : DEF ; a journal of applied mathematics
9
Applied financial economics
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CREATES research paper
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1
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:
2
Option valuation with conditional skewness
Christoffersen, Peter F.
;
Heston, Steven L.
;
Jacobs, Kris
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 253-284
Persistent link: https://www.econbiz.de/10003298580
Saved in:
3
Long-term equity anticipation securities and stock market volatility dynamics
Bollerslev, Tim
;
Mikkelsen, Hans Ole Æ.
- In:
Journal of econometrics
92
(
1999
)
1
,
pp. 75-99
Persistent link: https://www.econbiz.de/10001400092
Saved in:
4
Simulating path-dependent options : a new approach
Babsiri, Mohamed el
;
Noel, Gerald
- In:
The journal of derivatives : the official publication …
6
(
1998
)
2
,
pp. 65-83
Persistent link: https://www.econbiz.de/10001355631
Saved in:
5
Volatility patterns : theory and some evidence from the dollar-mark option market
Gesser, Vincent
- In:
The journal of derivatives : the official publication …
5
(
1997
)
2
,
pp. 46-61
Persistent link: https://www.econbiz.de/10001232635
Saved in:
6
Model-based pricing for financial derivatives
Zhu, Ke
;
Ling, Shiqing
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 447-457
Persistent link: https://www.econbiz.de/10011499705
Saved in:
7
Option pricing with non-Gaussian scaling and infinite-state switching volatility
Baldovin, Fulvio
;
Caporin, Massimiliano
;
Caraglio, Michele
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 486-497
Persistent link: https://www.econbiz.de/10011499748
Saved in:
8
COMFORT: a common market factor non-Gaussian returns model
Paolella, Marc S.
;
Polak, Pawel
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 593-605
Persistent link: https://www.econbiz.de/10011499783
Saved in:
9
Time-varying jump tails
Bollerslev, Tim
;
Todorov, Viktor
- In:
Journal of econometrics
183
(
2014
)
2
,
pp. 168-180
Persistent link: https://www.econbiz.de/10010506069
Saved in:
10
Comonotonic Monte Carlo simulation and its applications in option pricing and quantification of risk
Chateauneuf, Alain
;
Mostoufi, Mina
;
Vyncke, David
- In:
The journal of derivatives : the official publication …
24
(
2016
)
1
,
pp. 18-28
Persistent link: https://www.econbiz.de/10011687326
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