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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:"Estimation theory"
~subject:"Kapitaleinkommen"
~subject:"Monte Carlo simulation"
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Option Prices with Stochastic...
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Currency option
Estimation theory
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
40
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36
Estimation
35
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Hedging
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Yield curve
23
Zinsstruktur
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ARCH model
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ARCH-Modell
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Schätztheorie
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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
12
CAPM
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Todorov, Viktor
4
Bollerslev, Tim
2
Wang, Bin
2
Zheng, Xu
2
Almeida, Caio
1
Aït-Sahalia, Yacine
1
Babsiri, Mohamed el
1
Bandi, Federico M.
1
Bennett, Michael N.
1
Boogert, Alexander
1
Bossaerts, Peter L.
1
Chateauneuf, Alain
1
Chen, Qiang
1
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1
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1
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1
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1
Duan, Jin-Chuan
1
Duck, Peter W.
1
Dutt, Samir K.
1
Fengler, Matthias R.
1
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1
Gallant, A. Ronald
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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
50
The journal of computational finance
48
Quantitative finance
41
The journal of futures markets
30
Journal of banking & finance
25
Finance and stochastics
23
Applied mathematical finance
21
Computational economics
21
Journal of financial economics
20
Mathematical finance : an international journal of mathematics, statistics and financial theory
20
European journal of operational research : EJOR
18
International journal of financial engineering
17
Journal of risk and financial management : JRFM
17
Finance research letters
16
Journal of economic dynamics & control
16
Review of derivatives research
15
The North American journal of economics and finance : a journal of financial economics studies
15
Energy economics
14
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
12
Risks : open access journal
12
Working paper series / Centre for Practical Quantitative Finance
12
Asia-Pacific financial markets
11
Decisions in economics and finance : DEF ; a journal of applied mathematics
11
Insurance / Mathematics & economics
11
Journal of empirical finance
11
Journal of financial and quantitative analysis : JFQA
11
Management science : journal of the Institute for Operations Research and the Management Sciences
11
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
11
International review of financial analysis
10
Research paper series / Swiss Finance Institute
10
Review of quantitative finance and accounting
10
SFB 649 discussion paper
10
The European journal of finance
10
The journal of finance : the journal of the American Finance Association
10
Journal of mathematical finance
9
Working paper
9
Working paper series / New York University, Salomon Center, Leonard N. Stern School of Business
9
Applied economics
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ECONIS (ZBW)
37
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1
On implied volatility for options : some reasons to smile and more to correct
Chen, Song Xi
;
Xu, Zheng
- In:
Journal of econometrics
179
(
2014
)
1
,
pp. 1-15
Persistent link: https://www.econbiz.de/10010258291
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
Local parametric analysis of hedging in discrete time
Bossaerts, Peter L.
- In:
Journal of econometrics
81
(
1997
)
1
,
pp. 243-272
Persistent link: https://www.econbiz.de/10001336795
Saved in:
4
Realized volatility forecasting and option pricing
Bandi, Federico M.
;
Russell, Jeffrey R.
;
Yang, Chen
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 34-46
Persistent link: https://www.econbiz.de/10003783782
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
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
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:
8
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:
9
Realized Laplace transforms for estimation of jump diffusive volatility models
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
- In:
Journal of econometrics
164
(
2011
)
2
,
pp. 367-381
Persistent link: https://www.econbiz.de/10009301899
Saved in:
10
Robust estimation of shape-constrained state price density surfaces
Ludwig, Markus
- In:
The journal of derivatives : the official publication …
22
(
2015
)
3
,
pp. 56-72
Persistent link: https://www.econbiz.de/10011399679
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