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~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
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Option pricing theory
203
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Chen, Son-nan
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The journal of derivatives : the official publication of the International Association of Financial Engineers
Finance research letters
731
Energy economics
729
The journal of futures markets
568
Journal of banking & finance
562
International journal of theoretical and applied finance
561
NBER working paper series
543
Working paper / National Bureau of Economic Research, Inc.
514
International review of financial analysis
479
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462
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445
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418
International review of economics & finance : IREF
418
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388
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333
Research in international business and finance
331
Economics letters
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Journal of empirical finance
326
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314
Quantitative finance
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Mathematical finance : an international journal of mathematics, statistics and financial theory
294
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289
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270
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Discussion paper / Centre for Economic Policy Research
264
Journal of international money and finance
262
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Finance and stochastics
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The European journal of finance
252
Journal of risk and financial management : JRFM
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Journal of financial economics
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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Computational economics
206
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
199
CESifo working papers
196
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193
Pacific-Basin finance journal
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1
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:
2
Is implied correlation worth calculating? : Evidence from foering exchange options
Walter, Christian A.
;
López, José A.
- In:
The journal of derivatives : the official publication …
7
(
2000
)
3
,
pp. 65-81
Persistent link: https://www.econbiz.de/10001497759
Saved in:
3
Explaining smiles : GARCH option pricing with conditional leptokurtosis and skewness
Lehnert, Thorsten
- In:
The journal of derivatives : the official publication …
10
(
2002
)
3
,
pp. 27-39
Persistent link: https://www.econbiz.de/10001770062
Saved in:
4
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:
5
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:
6
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
Saved in:
7
Ensuring more is better : on the simultaneous application of stock and options data to estimate the GARCH options pricing model
Chang, Charles
;
Cheng, Hung-Wen
;
Fuh, Cheng-Der
- In:
The journal of derivatives : the official publication …
26
(
2018
)
1
,
pp. 7-25
Persistent link: https://www.econbiz.de/10011968669
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8
An empirical characteristic function approach to VaR under a mixture-of-normal distribution with time-varying
volatility
Xu, Dinghai
;
Wirjanto, Tony S.
- In:
The journal of derivatives : the official publication …
18
(
2010
)
1
,
pp. 39-58
Persistent link: https://www.econbiz.de/10008655519
Saved in:
9
Implied
volatility
indexes and daily value at risk models
Giot, Pierre
- In:
The journal of derivatives : the official publication …
12
(
2004
)
4
,
pp. 54-64
Persistent link: https://www.econbiz.de/10003010792
Saved in:
10
Implied
volatility
across geographical markets and asset classes
Velev, Julian P.
;
Payne, Brian C.
;
Trešl, Jiří
; …
- In:
The journal of derivatives : the official publication …
25
(
2018
)
4
,
pp. 7-23
Persistent link: https://www.econbiz.de/10011965366
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