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EMPIRICAL LAWS OF A STOCK PRIC...
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Option pricing theory
Volatility
40,723
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39,628
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Cui, Zhenyu
44
Carr, Peter
26
Jacquier, Antoine (Jack)
25
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24
Jacobs, Kris
24
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22
Härdle, Wolfgang
21
Nguyen, Duy
21
Lorig, Matthew
20
Takahashi, Akihiko
20
Zhang, Jin E.
20
Alòs, Elisa
19
Guyon, Julien
19
Christoffersen, Peter F.
18
Fengler, Matthias R.
18
Wang, Xingchun
16
Benth, Fred Espen
15
Escobar, Marcos
15
Grasselli, Martino
15
Elliott, Robert J.
14
Forde, Martin
14
Fouque, Jean-Pierre
14
Jacquier, Antoine
14
Kang, Boda
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Le Floc'h, Fabien
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Grzelak, Lech A.
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Fabozzi, Frank J.
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Berliner Wissenschafts-Verlag
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1
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1
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International journal of theoretical and applied finance
156
Quantitative finance
104
The journal of futures markets
78
Journal of banking & finance
74
Applied mathematical finance
72
The journal of computational finance
65
Mathematical finance : an international journal of mathematics, statistics and financial theory
60
Review of derivatives research
49
International journal of financial engineering
47
Finance research letters
45
European journal of operational research : EJOR
42
Finance and stochastics
40
Journal of econometrics
39
Computational economics
38
The North American journal of economics and finance : a journal of financial economics studies
38
Journal of economic dynamics & control
36
The journal of derivatives : the official publication of the International Association of Financial Engineers
36
Journal of mathematical finance
35
Risks : open access journal
31
Research paper series / Swiss Finance Institute
27
Insurance / Mathematics & economics
26
Journal of financial economics
26
Review of quantitative finance and accounting
26
Annals of finance
25
International review of economics & finance : IREF
23
The European journal of finance
23
Applied economics
21
Energy economics
20
Management science : journal of the Institute for Operations Research and the Management Sciences
20
Decisions in economics and finance : DEF ; a journal of applied mathematics
19
Journal of empirical finance
19
Journal of risk and financial management : JRFM
18
Economic modelling
17
Asia-Pacific financial markets
16
International review of financial analysis
16
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
16
Journal of financial and quantitative analysis : JFQA
15
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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Discussion paper / Tinbergen Institute
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ECONIS (ZBW)
3,817
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1
Option pricing in the variance-gamma model under the drift jump
Ivanov, Roman V.
- In:
International journal of theoretical and applied finance
21
(
2018
)
4
,
pp. 1-19
Persistent link: https://www.econbiz.de/10011892547
Saved in:
2
Underlying assets distribution in derivatives : the BRIC case
Núñez, José A.
;
Contreras-Valdez, Mario I.
; …
- In:
Theoretical economics letters
8
(
2018
)
3
,
pp. 502-513
Persistent link: https://www.econbiz.de/10011822832
Saved in:
3
Relativistic option pricing
Carvalho, Vítor Hugo Ferreira
;
Gaspar, Raquel M.
- In:
International Journal of Financial Studies : open …
9
(
2021
)
2
,
pp. 1-24
into maturity and
volatility
relativistic effects. …
Persistent link: https://www.econbiz.de/10012545327
Saved in:
4
Essays on pricing kernel estimation, option data filtering and risk-neutral density tail estimation
Meier, Pirmin
-
2015
Persistent link: https://www.econbiz.de/10010511452
Saved in:
5
A credit-risk valuation under the variance-gamma asset return
Ivanov, Roman V.
- In:
Risks : open access journal
6
(
2018
)
2
,
pp. 1-25
exponential distribution. We suggest that the
returns
on stock are variance-gamma distributed. The value at risk, the expected …
Persistent link: https://www.econbiz.de/10011867389
Saved in:
6
Super-exponential growth expectations and the global financial crisis
Leiss, Matthias
;
Nax, Heinrich H.
;
Sornette, Didier
- In:
Journal of economic dynamics & control
55
(
2015
),
pp. 1-13
Persistent link: https://www.econbiz.de/10011587105
Saved in:
7
Forecasting stock
returns
using option-implied state prices
Metaxoglou, Konstantinos
;
Smith, Aaron D.
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
3
,
pp. 427-473
Persistent link: https://www.econbiz.de/10011987539
Saved in:
8
The optimal hedge ratio in option pricing : the case of exponentially truncated Lévy stable distribution
Busca, Gigel
;
Haven, Emmanuel E.
;
Jovanovic, Franck
; …
- In:
Theoretical economics letters
4
(
2014
)
9
,
pp. 760-766
Persistent link: https://www.econbiz.de/10010531252
Saved in:
9
Stochastic processes : from physics to finance
Paul, Wolfgang
;
Baschnagel, Jörg
-
1999
Persistent link: https://www.econbiz.de/10001421520
Saved in:
10
Modeling and valuation of energy structures : analylsis., econometrics, and numerics
Mahoney, Daniel
-
2016
Persistent link: https://www.econbiz.de/10011399615
Saved in:
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