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Option pricing theory
Volatility
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Cui, Zhenyu
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22
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Lorig, Matthew
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Takahashi, Akihiko
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International journal of theoretical and applied finance
157
Quantitative finance
107
The journal of futures markets
80
Applied mathematical finance
74
Journal of banking & finance
74
The journal of computational finance
65
Mathematical finance : an international journal of mathematics, statistics and financial theory
60
Finance research letters
50
Review of derivatives research
50
International journal of financial engineering
47
European journal of operational research : EJOR
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Finance and stochastics
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Journal of econometrics
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Computational economics
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The North American journal of economics and finance : a journal of financial economics studies
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Journal of economic dynamics & control
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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Journal of mathematical finance
35
Risks : open access journal
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Research paper series / Swiss Finance Institute
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Journal of financial economics
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Insurance / Mathematics & economics
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Review of quantitative finance and accounting
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Annals of finance
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International review of economics & finance : IREF
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The European journal of finance
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Applied economics
22
Journal of empirical finance
21
Energy economics
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Decisions in economics and finance : DEF ; a journal of applied mathematics
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Journal of risk and financial management : JRFM
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Economic modelling
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International review of financial analysis
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Asia-Pacific financial markets
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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Journal of financial and quantitative analysis : JFQA
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The journal of finance : the journal of the American Finance Association
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Asia-Pacific journal of financial studies
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ECONIS (ZBW)
3,912
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1
Volatility
uncertainty, time decay, and option bid-ask spreads in an incomplete market
Hsieh, PeiLin
;
Jarrow, Robert A.
- In:
Management science : journal of the Institute for …
65
(
2019
)
4
,
pp. 1833-1854
Persistent link: https://www.econbiz.de/10012022670
Saved in:
2
Empirical research on the German capital market : with 60 tables
Bühler, Wolfgang
(
ed.
);
Hax, Herbert
(
contributor
); …
-
1999
Persistent link: https://www.econbiz.de/10001350842
Saved in:
3
Realized
volatility
forecasting and option pricing
Bandi, Federico M.
;
Russell, Jeffrey R.
;
Yang, Chen
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 34-46
Persistent link: https://www.econbiz.de/10003783782
Saved in:
4
Is there price discovery in equity options?
Muravyev, Dmitriy
;
Pearson, Neil D.
;
Broussard, John Paul
- In:
Journal of financial economics
107
(
2013
)
2
,
pp. 259-283
Persistent link: https://www.econbiz.de/10009719741
Saved in:
5
Noise trading, central bank interventions, and the informational content of foreign currency options
Pierdzioch, Christian
-
2001
Persistent link: https://www.econbiz.de/10001626608
Saved in:
6
Understanding jumps in high frequency digital asset markets
Saef, Danial
;
Nagy, Odett
;
Sizov, Sergej
;
Härdle, Wolfgang
-
2021
digital asset returns are driven by high frequency jumps clustered around black swan events, resembling
volatility
and trading …
Persistent link: https://www.econbiz.de/10012657696
Saved in:
7
Vega-informed trading and options market reform
Ryu, Doojin
;
Ryu, Doowon
;
Yang, Heejin
- In:
Applied economics letters
27
(
2020
)
1
,
pp. 19-24
Persistent link: https://www.econbiz.de/10012205363
Saved in:
8
Jumps in option prices and their determinants : real-time evidence from the E-mini S&P 500 options market
Kapetanios, George
;
Konstantinidi, Eirini
;
Neumann, Michael
- In:
Journal of financial markets
46
(
2019
),
pp. 1-26
Persistent link: https://www.econbiz.de/10012317888
Saved in:
9
Testing for jumps based on high-frequency data : a method exploiting microstructure noise
Liu, Guangying
;
Xiang, Jing
;
Cang, Yuquan
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1795-1809
Persistent link: https://www.econbiz.de/10012313515
Saved in:
10
Information loss in
volatility
measurement with flat price trading
Phillips, Peter C. B.
;
Yu, Jun
- In:
Empirical economics : a quarterly journal of the …
64
(
2023
)
6
,
pp. 2957-2999
Persistent link: https://www.econbiz.de/10014329021
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