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~isPartOf:"Research paper series / Swiss Finance Institute"
~subject:"Börsenkurs"
~subject:"Option pricing theory"
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Börsenkurs
Option pricing theory
Volatility
118
Volatilität
118
Optionspreistheorie
87
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60
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60
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46
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43
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Filipović, Damir
14
Barone-Adesi, Giovanni
12
Sornette, Didier
9
Leippold, Markus
8
Sala, Carlo
7
Malamud, Semyon
6
Farkas, Walter
5
Goyal, Amit
5
Scaillet, Olivier
5
Soner, Halil Mete
5
Larsson, Martin
4
Legnazzi, Chiara
4
Trojani, Fabio
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Wehrli, Alexander
4
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3
Dolinsky, Yan
3
Franzoni, Francesco
3
Fusari, Nicola
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Gibson, Rajna
3
Necula, Ciprian
3
Beckmeyer, Heiner
2
Ben-David, Itzhak
2
Berrada, Tony
2
Chesney, Marc
2
Collin-Dufresne, Pierre
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Cosma, Antonio
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Drimus, Gabriel
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Eisdorfer, Assaf
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Ewald, Christian-Oliver
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Mancini, Loriano
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2
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Pulido, Sergio
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Research paper series / Swiss Finance Institute
International journal of theoretical and applied finance
480
Finance research letters
339
The journal of futures markets
334
Journal of banking & finance
320
Mathematical finance : an international journal of mathematics, statistics and financial theory
261
The journal of computational finance
257
Applied mathematical finance
249
Quantitative finance
229
Finance and stochastics
221
The North American journal of economics and finance : a journal of financial economics studies
217
The journal of derivatives : the official publication of the International Association of Financial Engineers
210
Energy economics
207
International review of financial analysis
203
NBER working paper series
193
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178
International review of economics & finance : IREF
176
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173
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158
Journal of economic dynamics & control
155
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154
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149
Insurance / Mathematics & economics
141
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140
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135
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134
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134
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132
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128
Journal of risk and financial management : JRFM
126
International journal of financial engineering
124
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123
Risks : open access journal
123
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122
Research in international business and finance
119
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115
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
109
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102
Journal of international financial markets, institutions & money
101
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ECONIS (ZBW)
122
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1
A two-factor cointegrated commodity price model with an application to spread option pricing
Farkas, Walter
;
Gourier, Elise
;
Huitema, Robert
; …
-
2016
-
This version: May 20, 2016
retaining the exponential affine structure of previous approaches, our model allows for an arbitrary number of
cointegration
… relationships. We show that the
cointegration
component allows capturing well-known features of commodity prices, i.e., upward … provide compelling evidence of
cointegration
in the data. Implications for the prices of futures and options written on common …
Persistent link: https://www.econbiz.de/10011507774
Saved in:
2
Realizing smiles: pricing options with realized
volatility
Corsi, Fulvio
;
Fusari, Nicola
;
Vecchia, Davide la
-
2010
We develop a discrete-time stochastic
volatility
option pricing model, which exploits the information contained in high …-frequency data. The Realized
Volatility
(RV) is used as a proxy of the unobservable log-returns
volatility
. We model its dynamics by … competing time-varying (i.e. GARCH-type) and stochastic
volatility
pricing models. The pricing improvement can be ascribed to …
Persistent link: https://www.econbiz.de/10003973052
Saved in:
3
Conditional density models for asset pricing
Filipović, Damir
;
Hughston, Lane P.
;
Macrina, Andrea
-
2010
along with the specification of (a) the initial density, and (b) the
volatility
structure of the density. The
volatility
…
Persistent link: https://www.econbiz.de/10008797695
Saved in:
4
Stochastic
volatility
: risk minimization and model risk
Ewald, Christian-Oliver
(
contributor
); …
-
2007
Persistent link: https://www.econbiz.de/10003549908
Saved in:
5
Closed-form solutions for European and digital calls in the Hull and White stochastic
volatility
model and their relation to locally R-minimizing and Delta hedges
Ewald, Christian-Oliver
(
contributor
); …
-
2007
Persistent link: https://www.econbiz.de/10003549952
Saved in:
6
Implied
volatility
at expiration
Medvedev, Alexey N.
-
2008
under a broad class of stochastic
volatility
models. Based on this formula, we propose a closed-form approximation of the … implied
volatility
smile. Numerical examples suggest that our approximation is accurate in the absence of mean-reversion in … stochastic
volatility
…
Persistent link: https://www.econbiz.de/10003961401
Saved in:
7
Collateral Smile
Leippold, Markus
;
Su, Lujing
-
2011
prices, which translates into skew and smile patterns for implied
volatility
curves even under constant volatilities … the market. collateral requirements, funding costs,
volatility
smile, option pricing …
Persistent link: https://www.econbiz.de/10009375107
Saved in:
8
A remark on Lin and Chang's paper "Consistent modeling of S&P 500 and VIX derivatives"
Cheng, Jun
;
Ibraimi, Meriton
;
Leippold, Markus
;
Zhang, …
-
2011
stochastic
volatility
process with asset return and
volatility
jumps. In this note, we prove that Lin and Chang's formula is not …
Persistent link: https://www.econbiz.de/10009554553
Saved in:
9
Smooth and bid-offer compliant
volatility
surfaces under general dividend streams
Bachem, Olivier
;
Drimus, Gabriel
;
Farkas, Walter
-
2013
-
This version: July, 2013
controls the trade-off between smoothness and bid-offer compliance of the resulting
volatility
surface. Unlike previous …
Persistent link: https://www.econbiz.de/10010258577
Saved in:
10
Inferring
volatility
dynamics and risk premia from the S&P 500 and VIX markets
Bardgett, Chris
;
Gourier, Elise
;
Leippold, Markus
-
2013
of the parameters driving the risk-neutral conditional distributions and term structure of
volatility
, thereby enhancing …
Persistent link: https://www.econbiz.de/10010256394
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