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Option pricing formulas based...
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Stochastic process
226
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226
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136
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129
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129
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77
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Todorov, Viktor
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Aït-Sahalia, Yacine
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Bollerslev, Tim
7
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6
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5
Asai, Manabu
4
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4
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4
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3
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3
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3
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Journal of econometrics
European journal of operational research : EJOR
1,001
NBER working paper series
668
Insurance / Mathematics & economics
650
International journal of theoretical and applied finance
649
Finance research letters
617
Working paper / National Bureau of Economic Research, Inc.
579
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558
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482
Economics letters
473
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395
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392
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378
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365
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286
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282
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270
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267
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257
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The journal of derivatives : the official publication of the International Association of Financial Engineers
243
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236
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230
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226
The review of financial studies
220
The North American journal of economics and finance : a journal of financial economics studies
219
Computers & operations research : and their applications to problems of world concern ; an international journal
217
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ECONIS (ZBW)
310
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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
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:
4
Exponential stock models driven by tempered stable processes
Küchler, Uwe
;
Tappe, Stefan
- In:
Journal of econometrics
181
(
2014
)
1
,
pp. 53-63
Persistent link: https://www.econbiz.de/10010473381
Saved in:
5
What is beneath the surface? : option pricing with multifrequency latent states
Calvet, Laurent E.
;
Fearnley, Marcus
;
Fisher, Adlai
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 498-511
Persistent link: https://www.econbiz.de/10011499779
Saved in:
6
Closed-form implied volatility surfaces for stochastic volatility models with jumps
Aït-Sahalia, Yacine
;
Li, Chenxu
;
Li, Chen Xu
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 364-392
Persistent link: https://www.econbiz.de/10012619431
Saved in:
7
Estimation of partial differential equations with applications in finance
Kristensen, Dennis
- In:
Journal of econometrics
144
(
2008
)
2
,
pp. 392-408
Persistent link: https://www.econbiz.de/10003774651
Saved in:
8
Quasi-likelihood estimation of a threshold diffusion process
Su, Fei
;
Chan, Kung-sik
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 473-484
Persistent link: https://www.econbiz.de/10011504631
Saved in:
9
Volatility
analysis
with realized GARCH-Itô models
Song, Xinyu
;
Kim, Donggyu
;
Yuan, Huiling
;
Cui, Xiangyu
; …
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 393-410
Persistent link: https://www.econbiz.de/10012619433
Saved in:
10
Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
Kim, Donggyu
;
Wang, Yazhen
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 220-230
Persistent link: https://www.econbiz.de/10011705111
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