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Option pricing theory
Volatility
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Stochastischer Prozess
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Risikoprämie
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Cui, Zhenyu
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Carr, Peter
26
Jacobs, Kris
26
Jacquier, Antoine (Jack)
25
Chiarella, Carl
24
Härdle, Wolfgang
24
Gatheral, Jim
22
Madan, Dilip B.
21
Nguyen, Duy
21
Alòs, Elisa
20
Lorig, Matthew
20
Takahashi, Akihiko
20
Zhang, Jin E.
20
Christoffersen, Peter F.
19
Fengler, Matthias R.
19
Guyon, Julien
19
Escobar, Marcos
16
Fabozzi, Frank J.
16
Wang, Xingchun
16
Benth, Fred Espen
15
Grasselli, Martino
15
Schoutens, Wim
15
Skiadopoulos, George
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Wu, Liuren
15
Elliott, Robert J.
14
Engle, Robert F.
14
Forde, Martin
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Fouque, Jean-Pierre
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Heston, Steven L.
14
Jacquier, Antoine
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Kang, Boda
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Le Floc'h, Fabien
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Oosterlee, Cornelis W.
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Todorov, Viktor
14
Ewald, Christian-Oliver
13
Grzelak, Lech A.
13
Kim, Young Shin
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Wong, Hoi Ying
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Zheng, Wendong
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Kwok, Yue-Kuen
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Centre for Analytical Finance <Århus>
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American Finance Association
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1
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1
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1
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International journal of theoretical and applied finance
158
Quantitative finance
108
Journal of banking & finance
80
The journal of futures markets
80
Applied mathematical finance
74
The journal of computational finance
67
Mathematical finance : an international journal of mathematics, statistics and financial theory
61
Review of derivatives research
51
Finance research letters
49
International journal of financial engineering
48
European journal of operational research : EJOR
42
Finance and stochastics
42
Journal of econometrics
41
Computational economics
39
Journal of economic dynamics & control
38
The North American journal of economics and finance : a journal of financial economics studies
38
The journal of derivatives : the official publication of the International Association of Financial Engineers
37
Journal of mathematical finance
36
Journal of financial economics
35
Research paper series / Swiss Finance Institute
32
Risks : open access journal
31
Insurance / Mathematics & economics
30
Annals of finance
26
Review of quantitative finance and accounting
26
The European journal of finance
25
International review of economics & finance : IREF
23
Applied economics
22
Journal of risk and financial management : JRFM
22
Management science : journal of the Institute for Operations Research and the Management Sciences
22
Journal of empirical finance
21
Energy economics
20
Decisions in economics and finance : DEF ; a journal of applied mathematics
19
The journal of finance : the journal of the American Finance Association
18
Economic modelling
17
Journal of financial and quantitative analysis : JFQA
17
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
17
Asia-Pacific financial markets
16
International review of financial analysis
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Swiss Finance Institute Research Paper
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Asia-Pacific journal of financial studies
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ECONIS (ZBW)
4,066
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1
Default risk and option returns
Vasquez, Aurelio
;
Xiao, Xiao
- In:
Management science : journal of the Institute for …
70
(
2024
)
4
,
pp. 2144-2167
Persistent link: https://www.econbiz.de/10014519915
Saved in:
2
Exploring time-varying jump intensities : evidence from S&P500 returns and options
Christoffersen, Peter F.
;
Jacobs, Kris
;
Ornthanalai, …
-
2008
Persistent link: https://www.econbiz.de/10003861266
Saved in:
3
Cross-section of option returns and
volatility
Goyal, Amit
;
Saretto, Alessio
- In:
Journal of financial economics
94
(
2009
)
2
,
pp. 310-326
Persistent link: https://www.econbiz.de/10003906353
Saved in:
4
Levy processes : theory and financial applications
Raccuglia, Benedetto
-
2006
Persistent link: https://www.econbiz.de/10003413591
Saved in:
5
Implications for asset returns in the implied
volatility
skew
Doran, James S.
;
Krieger, Kevin
- In:
Financial analysts' journal : FAJ
66
(
2010
)
1
,
pp. 65-76
Persistent link: https://www.econbiz.de/10003952065
Saved in:
6
The Heston stochastic
volatility
model for single assets and for asset portfolios: parameter estimation and an application to the Italian financial market
Ballestra, Luca Vincenzo
;
Ferri, Roberto
;
Pacelli, Graziella
- In:
The international journal of business and finance …
1
(
2007
)
2
,
pp. 11-23
Persistent link: https://www.econbiz.de/10003955535
Saved in:
7
Deviations from put-call parity and stock return predictability
Cremers, Martijn
;
Weinbaum, David
- In:
Journal of financial and quantitative analysis : JFQA
45
(
2010
)
2
,
pp. 335-367
Persistent link: https://www.econbiz.de/10003990691
Saved in:
8
Valuation of guaranteed annuity options using a stochastic
volatility
model for equity prices
van Haastrecht, Alexander
;
Plat, Richard
;
Pelsser, …
- In:
Insurance / Mathematics & economics
47
(
2010
)
3
,
pp. 266-277
Persistent link: https://www.econbiz.de/10008747073
Saved in:
9
Investor expectations of
volatility
increases around large stock splits as implied in call option premia
Klein, Linda S.
;
Peterson, David R.
- In:
The journal of financial research
11
(
1988
)
1
,
pp. 71-80
Persistent link: https://www.econbiz.de/10003602801
Saved in:
10
Essays on the term structure of interest rates and the pricing of equity options
Ono, Sadayuki
-
2004
Persistent link: https://www.econbiz.de/10003387315
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