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~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~isPartOf:"The journal of finance : the journal of the American Finance Association"
~source:"econis"
~subject:"ARCH-Modell"
~subject:"Currency option"
~subject:"Kapitaleinkommen"
~subject:"Monte Carlo simulation"
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Option Prices with Stochastic...
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ARCH-Modell
Currency option
Kapitaleinkommen
Monte Carlo simulation
Option pricing theory
258
Optionspreistheorie
258
Theorie
146
Theory
146
Option trading
59
Optionsgeschäft
59
Volatility
56
Volatilität
56
USA
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United States
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Black-Scholes model
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Swap
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9
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Jacobs, Kris
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Mazzoni, Thomas
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Andersen, Torben
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Babsiri, Mohamed el
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Bakshi, Gurdip S.
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Bennett, Michael N.
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Benzoni, Luca
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
Eldor, Rafi
1
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The journal of derivatives : the official publication of the International Association of Financial Engineers
The journal of finance : the journal of the American Finance Association
The journal of computational finance
48
International journal of theoretical and applied finance
45
Quantitative finance
39
The journal of futures markets
39
Journal of banking & finance
33
Computational economics
24
The North American journal of economics and finance : a journal of financial economics studies
23
Finance research letters
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Journal of financial economics
21
Applied mathematical finance
20
Mathematical finance : an international journal of mathematics, statistics and financial theory
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European journal of operational research : EJOR
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Finance and stochastics
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Journal of risk and financial management : JRFM
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Review of derivatives research
17
Journal of economic dynamics & control
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Energy economics
15
Journal of econometrics
14
Review of quantitative finance and accounting
14
International journal of financial engineering
13
Journal of empirical finance
13
Management science : journal of the Institute for Operations Research and the Management Sciences
13
Risks : open access journal
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Applied economics
12
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
12
Working paper series / Centre for Practical Quantitative Finance
12
International review of financial analysis
11
Research paper series / Swiss Finance Institute
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The European journal of finance
11
The review of financial studies
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Insurance / Mathematics & economics
10
International review of economics & finance : IREF
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Journal of financial and quantitative analysis : JFQA
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Asia-Pacific financial markets
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Decisions in economics and finance : DEF ; a journal of applied mathematics
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CREATES research paper
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ECONIS (ZBW)
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1
An empirical investigation of continuous-time equity return models
Andersen, Torben
;
Benzoni, Luca
;
Lund, Jesper
- In:
The journal of finance : the journal of the American …
57
(
2002
)
3
,
pp. 1239-1284
Persistent link: https://www.econbiz.de/10001684993
Saved in:
2
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:
3
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:
4
Fast analytic option valuation with GARCH
Mazzoni, Thomas
- In:
The journal of derivatives : the official publication …
18
(
2010
)
1
,
pp. 18-38
Persistent link: https://www.econbiz.de/10008655530
Saved in:
5
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
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6
A GARCH parameterization of the volatility surface
Mazzoni, Thomas
- In:
The journal of derivatives : the official publication …
23
(
2015
)
1
,
pp. 9-24
Persistent link: https://www.econbiz.de/10011399795
Saved in:
7
Relative option prices and risk-neutral skew as predictors of index returns
Ratcliff, Ryan
- In:
The journal of derivatives : the official publication …
21
(
2013
)
2
,
pp. 89-105
Persistent link: https://www.econbiz.de/10010358117
Saved in:
8
GARCH option valuation : theory and evidence
Christoffersen, Peter F.
;
Jacobs, Kris
;
Ornthanalai, …
- In:
The journal of derivatives : the official publication …
21
(
2013
)
2
,
pp. 8-41
Persistent link: https://www.econbiz.de/10010358127
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9
A guide to FX options quoting conventions
Reiswich, Dimitri
;
Wystup, Uwe
- In:
The journal of derivatives : the official publication …
18
(
2010
)
2
,
pp. 58-68
Persistent link: https://www.econbiz.de/10008771850
Saved in:
10
Just-in-time Monte Carlo for path-dependent American options
Dutt, Samir K.
;
Welke, Gerd M.
- In:
The journal of derivatives : the official publication …
15
(
2008
)
4
,
pp. 29-47
Persistent link: https://www.econbiz.de/10003733222
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