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Implied volatility
option pricing
679
Option pricing
622
Optionspreistheorie
620
Option pricing theory
598
Volatilität
294
Volatility
290
Stochastischer Prozess
273
Stochastic process
269
Optionsgeschäft
175
Option trading
172
Monte Carlo methods
169
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164
Derivative
136
Derivat
135
Monte Carlo simulation
122
Black-Scholes model
115
Black-Scholes-Modell
114
Monte-Carlo-Simulation
99
stochastic volatility
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variance reduction
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Theorie
67
Stochastic volatility
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Statistische Verteilung
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CAPM
57
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Hedging
53
Estimation
51
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49
Theory
48
Portfolio-Management
46
Portfolio selection
45
Schätztheorie
43
ARCH-Modell
42
Markov chain
42
Estimation theory
41
implied volatility
41
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40
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Dotsis, George
2
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2
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1
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1
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1
Chance, Don M.
1
D'Addona, Stefano
1
Das, Sanjiv R.
1
Fabbri, Giorgio
1
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1
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1
Figueroa-López, José E.
1
Futami, Hidenori
1
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1
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1
Guidolin, Massimo
1
Hanson, Thomas A.
1
Hendrych, Radek
1
Houdré, Christian
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Jansen, Jeroen
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Kim, Hyun-Gyoon
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Kim, Jeong-Hoon
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Kopa, Miloš
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LINARAS, CHARILAOS E.
1
Li, Weiping
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Miao, Daniel Wei-Chung
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1
Takaoka, Koichiro
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Journal of economic dynamics & control
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ECONIS (ZBW)
10
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6
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1
Turbocharging Monte Carlo pricing for the rough Bergomi model
McCrickerd, Ryan
;
Pakkanen, Mikko S.
- In:
Quantitative finance
18
(
2018
)
11
,
pp. 1877-1886
Persistent link: https://www.econbiz.de/10012262858
Saved in:
2
A jump diffusion model for VIX volatility options and futures
Psychoyios, Dimitris
;
Dotsis, George
;
Markellos, Raphaēl N.
- In:
Review of quantitative finance and accounting
35
(
2010
)
3
,
pp. 245-269
Persistent link: https://www.econbiz.de/10009260276
Saved in:
3
Learning to smile : can rational learning explain predictable dynamics in the implied volatility surface?
Bernales, Alejandro
;
Guidolin, Massimo
- In:
Journal of financial markets
26
(
2015
),
pp. 1-37
Persistent link: https://www.econbiz.de/10011477269
Saved in:
4
Using Householder's method to improve the accuracy of the closed-form formulas for implied volatility
Miao, Daniel Wei-Chung
;
Lin, Xenos Chang-Shuo
;
Lin, …
- In:
Mathematical methods of operations research : ZOR
94
(
2021
)
3
,
pp. 493-528
Persistent link: https://www.econbiz.de/10012793592
Saved in:
5
Fractional stochastic volatility correction to CEV implied volatility
Kim, Hyun-Gyoon
;
Kwon, Se-Jin
;
Kim, Jeong-Hoon
- In:
Quantitative finance
21
(
2021
)
4
,
pp. 565-574
Persistent link: https://www.econbiz.de/10012483839
Saved in:
6
The options market reaction to bank loan announcements
Anagnostopoulou, Seraina C.
;
Ferentinou, Aikaterini C.
; …
- In:
Journal of financial services research : JFSR
53
(
2018
)
1
,
pp. 99-139
Persistent link: https://www.econbiz.de/10012023932
Saved in:
7
A bias in the volatility smile
Chance, Don M.
;
Hanson, Thomas A.
;
Li, Weiping
; …
- In:
Review of derivatives research
20
(
2017
)
1
,
pp. 47-90
Persistent link: https://www.econbiz.de/10011930559
Saved in:
8
Implied volantility and state price density estimation : arbitrage analysis
Kopa, Miloš
;
Vitali, Sebastiano
;
Tichý, Tomáš
; …
- In:
Computational Management Science : CMS
14
(
2017
)
4
,
pp. 559-583
Persistent link: https://www.econbiz.de/10011758973
Saved in:
9
Local volatility and the recovery rate of credit default swaps
Jansen, Jeroen
;
Das, Sanjiv R.
;
Fabozzi, Frank J.
- In:
Journal of economic dynamics & control
92
(
2018
),
pp. 1-29
Persistent link: https://www.econbiz.de/10011974230
Saved in:
10
Nonparametric estimates of option prices via Hermite basis functions
Marinelli, Carlo
;
D'Addona, Stefano
- In:
Annals of finance
19
(
2023
)
4
,
pp. 477-522
Persistent link: https://www.econbiz.de/10014448291
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