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~isPartOf:"Journal of econometrics"
~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~subject:"Currency option"
~subject:"Derivative"
~subject:"Kapitaleinkommen"
~subject:"Monte Carlo simulation"
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Option Prices with Stochastic...
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Currency option
Derivative
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
Black-Scholes-Modell
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USA
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United States
36
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35
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Statistical distribution
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Hedging
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Yield curve
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Zinsstruktur
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ARCH model
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Estimation theory
16
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Interest rate derivative
15
Nichtparametrisches Verfahren
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Nonparametric statistics
15
Zinsderivat
15
Aktienoption
13
Stock option
13
Börsenkurs
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54
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Gouriéroux, Christian
3
Monfort, Alain
3
Xiu, Dacheng
3
Aït-Sahalia, Yacine
2
Bollerslev, Tim
2
Broadie, Mark
2
Park, Yang-Ho
2
Almeida, Caio
1
Amengual, Dante
1
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1
Barone-Adesi, Giovanni
1
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1
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1
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1
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1
Cheng, Ai-ru Meg
1
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1
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1
Chuang, Ming-Che
1
Clément, Emmanuelle
1
Dai, Tian-shyr
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
International journal of theoretical and applied finance
137
Applied mathematical finance
78
The journal of computational finance
72
Quantitative finance
69
The journal of futures markets
55
Review of derivatives research
53
Journal of banking & finance
50
European journal of operational research : EJOR
42
Mathematical finance : an international journal of mathematics, statistics and financial theory
38
Energy economics
37
Finance and stochastics
36
Journal of mathematical finance
36
International journal of financial engineering
35
Computational economics
32
Journal of economic dynamics & control
31
Risks : open access journal
31
The North American journal of economics and finance : a journal of financial economics studies
30
Finance research letters
29
The European journal of finance
28
Journal of financial economics
26
Journal of risk and financial management : JRFM
25
Insurance / Mathematics & economics
24
International review of financial analysis
22
The journal of derivatives : JOD
22
International review of economics & finance : IREF
20
Management science : journal of the Institute for Operations Research and the Management Sciences
19
Research paper series / Swiss Finance Institute
19
Applied economics letters
17
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
17
SpringerLink / Bücher
17
The journal of finance : the journal of the American Finance Association
17
Journal of financial and quantitative analysis : JFQA
15
Annals of finance
14
Applied economics
14
Asia-Pacific financial markets
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SFB 649 discussion paper
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The review of financial studies
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ECONIS (ZBW)
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1
Hermite polynomial based expansion of European option prices
Xiu, Dacheng
- In:
Journal of econometrics
179
(
2014
)
2
,
pp. 158-177
Persistent link: https://www.econbiz.de/10010372651
Saved in:
2
Learning, confidence, and option prices
Shaliastovich, Ivan
- In:
Journal of econometrics
187
(
2015
)
1
,
pp. 18-42
Persistent link: https://www.econbiz.de/10011498730
Saved in:
3
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:
4
A multivariate stochastic unit root model with an application to derivative pricing
Lieberman, Offer
;
Phillips, Peter C. B.
- In:
Journal of econometrics
196
(
2017
)
1
,
pp. 99-110
Persistent link: https://www.econbiz.de/10011743783
Saved in:
5
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:
6
Derivative pricing models with regime switching : a general approach
Edwards, Craig Steven
- In:
The journal of derivatives : the official publication …
13
(
2005
)
1
,
pp. 41-47
Persistent link: https://www.econbiz.de/10003159539
Saved in:
7
Econometric specification of stochastic discount factor models
Gouriéroux, Christian
;
Monfort, Alain
- In:
Journal of econometrics
136
(
2007
)
2
,
pp. 509-530
Persistent link: https://www.econbiz.de/10003412662
Saved in:
8
Credit spread options valuation under GARCH
Tahani, Nabil
- In:
The journal of derivatives : the official publication …
14
(
2006
)
1
,
pp. 27-39
Persistent link: https://www.econbiz.de/10003379106
Saved in:
9
Do lead-lag effects affect derivative pricing?
Korn, Olaf
;
Uhrig-Homburg, Marliese
- In:
The journal of derivatives : the official publication …
15
(
2007
)
1
,
pp. 34-51
Persistent link: https://www.econbiz.de/10003611417
Saved in:
10
Pricing and hedging volatility derivatives
Broadie, Mark
;
Jain, Ashish
- In:
The journal of derivatives : the official publication …
15
(
2008
)
3
,
pp. 7-24
Persistent link: https://www.econbiz.de/10003673338
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