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~isPartOf:"Journal of empirical finance"
~subject:"Risk premium"
~subject:"United States"
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Option Prices with Stochastic...
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Risk premium
United States
Option pricing theory
40
Optionspreistheorie
40
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19
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19
Estimation
11
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11
ARCH model
8
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Ammann, Manuel
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Aretz, Kevin
1
Chourdakis, Kyriakos
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Dendramis, Yiannis
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Fleming, Jeff
1
Guan, Zhengfei
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Journal of empirical finance
The journal of futures markets
48
Journal of banking & finance
37
The journal of derivatives : the official publication of the International Association of Financial Engineers
36
The review of financial studies
31
Journal of financial economics
26
The journal of finance : the journal of the American Finance Association
24
Journal of financial and quantitative analysis : JFQA
19
Working paper / National Bureau of Economic Research, Inc.
19
Review of derivatives research
17
International journal of theoretical and applied finance
15
The journal of computational finance
11
The journal of fixed income
11
The journal of real estate finance and economics
11
International review of economics & finance : IREF
10
Real estate economics : journal of the American Real Estate and Urban Economics Association
10
Research paper series / Swiss Finance Institute
10
Finance and economics discussion series
8
Management science : journal of the Institute for Operations Research and the Management Sciences
8
Review of quantitative finance and accounting
8
Working paper
8
Insurance / Mathematics & economics
7
Journal of economic dynamics & control
7
Quantitative finance
7
Working paper series / New York University, Salomon Center, Leonard N. Stern School of Business
7
Advances in futures and options research : a research annual
6
American journal of agricultural economics
6
Applied mathematical finance
6
CREATES research paper
6
Finance research letters
6
Journal of financial markets
6
Journal of international money and finance
6
Mathematical finance : an international journal of mathematics, statistics and financial theory
6
SFB 649 discussion paper
6
The journal of business : B
6
Annals of finance
5
Asia-Pacific financial markets
5
Discussion paper / Centre for Economic Policy Research
5
Energy economics
5
European journal of operational research : EJOR
5
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1
Pricing American options when the underlying asset follows GARCH processes
Stentoft, Lars
- In:
Journal of empirical finance
12
(
2005
)
4
,
pp. 576-611
Persistent link: https://www.econbiz.de/10003144806
Saved in:
2
Simulation-based pricing of convertible bonds
Ammann, Manuel
;
Kind, Axel
;
Wilde, Christian
- In:
Journal of empirical finance
15
(
2008
)
2
,
pp. 310-331
Persistent link: https://www.econbiz.de/10003699167
Saved in:
3
The role of time-varying jump risk premia in pricing stock index options
Yun, Jaeho
- In:
Journal of empirical finance
18
(
2011
)
5
,
pp. 833-846
Persistent link: https://www.econbiz.de/10009492529
Saved in:
4
Are regime-shift sources of risk priced in the market?
Chourdakis, Kyriakos
;
Dendramis, Yiannis
;
Tzavalis, Elias
- In:
Journal of empirical finance
28
(
2014
),
pp. 151-170
Persistent link: https://www.econbiz.de/10011285074
Saved in:
5
No-arbitrage implied volatility functions : empirical evidence from KOSPI 200 index options
Kim, Namhyoung
;
Lee, Jaewook
- In:
Journal of empirical finance
21
(
2013
),
pp. 36-53
Persistent link: https://www.econbiz.de/10009745311
Saved in:
6
Risk-adjusted implied volatility and its performance in forecasting realized volatility in corn futures prices
Wu, Feng
;
Myers, Robert J.
;
Guan, Zhengfei
;
Wang, Zhiguang
- In:
Journal of empirical finance
34
(
2015
),
pp. 260-274
Persistent link: https://www.econbiz.de/10011557143
Saved in:
7
A generalized partially linear model of asymmetric volatility
Wu, Guojun
;
Xiao, Zhijie
- In:
Journal of empirical finance
9
(
2002
)
3
,
pp. 287-319
Persistent link: https://www.econbiz.de/10001705438
Saved in:
8
The quality of market volatility forecasts implied by S&P 100 index option prices
Fleming, Jeff
- In:
Journal of empirical finance
5
(
1998
)
4
,
pp. 317-345
Persistent link: https://www.econbiz.de/10001375188
Saved in:
9
Isolating the disaster risk premium with equity options
Horvath, Jaroslav
- In:
Journal of empirical finance
51
(
2019
),
pp. 138-148
Persistent link: https://www.econbiz.de/10012170406
Saved in:
10
Consumption risks in option returns
Yang, Shuwen
;
Aretz, Kevin
;
Liu, Hening
;
Zhang, Yuzhao
- In:
Journal of empirical finance
69
(
2022
),
pp. 285-302
Persistent link: https://www.econbiz.de/10013478527
Saved in:
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