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~isPartOf:"Journal of econometrics"
~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~subject:"Börsenkurs"
~subject:"Currency option"
~subject:"Kapitaleinkommen"
~subject:"Monte Carlo simulation"
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Option Prices with Stochastic...
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Börsenkurs
Currency option
Kapitaleinkommen
Monte Carlo simulation
Option pricing theory
272
Optionspreistheorie
272
Theorie
119
Theory
119
Volatility
82
Volatilität
82
Option trading
65
Optionsgeschäft
65
Stochastic process
45
Stochastischer Prozess
45
Black-Scholes model
40
Black-Scholes-Modell
40
Estimation
37
Schätzung
37
USA
36
United States
36
Derivat
33
Derivative
33
Statistical distribution
29
Statistische Verteilung
29
Hedging
27
Yield curve
23
Zinsstruktur
23
Estimation theory
17
Nichtparametrisches Verfahren
17
Nonparametric statistics
17
Schätztheorie
17
ARCH model
16
ARCH-Modell
16
Interest rate derivative
15
Zinsderivat
15
Aktienoption
13
Stock option
13
CAPM
12
Share price
12
Swap
12
Index futures
10
Index-Futures
10
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31
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Bollerslev, Tim
2
Gallant, A. Ronald
2
Almeida, Caio
1
Aït-Sahalia, Yacine
1
Babsiri, Mohamed el
1
Baldovin, Fulvio
1
Bennett, Michael N.
1
Bondarenko, Oleg
1
Boogert, Alexander
1
Caporin, Massimiliano
1
Caraglio, Michele
1
Chateauneuf, Alain
1
Chen, Qiang
1
Chen, Son-nan
1
Cheng, Ai-ru Meg
1
Chernov, Mikhail
1
Choi, Seung-mook S.
1
Duan, Jin-Chuan
1
Duck, Peter W.
1
Dutt, Samir K.
1
Forbes, Catherine Scipione
1
Gesser, Vincent
1
Ghamami, Samim
1
Ghysels, Eric
1
Gibson, Michael S.
1
Graveline, Jeremy J.
1
Ji, Chuanshu
1
Jong, Cyriel de
1
Joslin, Scott
1
Kennedy, Joanne E.
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Lee, Beom S.
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Lehnert, Thorsten
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Leung, Yan
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Lin, Yuehao
1
Luo, Junwen
1
López, José A.
1
Maneesoonthorn, Worapree
1
Marcozzi, Michael D.
1
Martelin, Nicolas
1
Martin, Gael M.
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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
46
International journal of theoretical and applied finance
45
Quantitative finance
39
The journal of futures markets
39
Journal of banking & finance
26
Finance research letters
23
Mathematical finance : an international journal of mathematics, statistics and financial theory
23
Journal of financial economics
22
Applied mathematical finance
20
Finance and stochastics
20
Computational economics
19
Research paper series / Swiss Finance Institute
19
European journal of operational research : EJOR
17
The North American journal of economics and finance : a journal of financial economics studies
17
Journal of risk and financial management : JRFM
16
Review of derivatives research
15
Energy economics
14
International journal of financial engineering
14
Journal of economic dynamics & control
14
Risks : open access journal
14
Management science : journal of the Institute for Operations Research and the Management Sciences
13
The journal of finance : the journal of the American Finance Association
13
Journal of financial and quantitative analysis : JFQA
12
The European journal of finance
12
Working paper series / Centre for Practical Quantitative Finance
12
Journal of empirical finance
11
Journal of mathematical finance
11
Review of quantitative finance and accounting
11
The review of financial studies
11
Applied economics
10
Insurance / Mathematics & economics
10
International review of financial analysis
10
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
10
Swiss Finance Institute Research Paper
9
Working paper
9
International review of economics & finance : IREF
8
Asia-Pacific financial markets
7
Decisions in economics and finance : DEF ; a journal of applied mathematics
7
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ECONIS (ZBW)
31
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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
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:
3
Cross-currency equity swaps in the BGM model
Wu, Ting-pin
;
Chen, Son-nan
- In:
The journal of derivatives : the official publication …
15
(
2007
)
2
,
pp. 60-76
Persistent link: https://www.econbiz.de/10003673317
Saved in:
4
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:
5
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:
6
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
Saved in:
7
Asymptotically distribution-free tests for the volatility function of a diffusion
Chen, Qiang
;
Zheng, Xu
;
Pan, Zhiyuan
- In:
Journal of econometrics
184
(
2015
)
1
,
pp. 124-144
Persistent link: https://www.econbiz.de/10011326801
Saved in:
8
Relative option prices and risk-neutral skew as predictors of index returns
Ratcliff, Ryan
- In:
The journal of derivatives : the official publication …
21
(
2013
)
2
,
pp. 89-105
Persistent link: https://www.econbiz.de/10010358117
Saved in:
9
Variance trading and market price of variance risk
Bondarenko, Oleg
- In:
Journal of econometrics
180
(
2014
)
1
,
pp. 81-97
Persistent link: https://www.econbiz.de/10010379480
Saved in:
10
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
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