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Option pricing theory
GARCH
2,449
Volatility
1,113
ARCH-Modell
1,071
Volatilität
1,038
ARCH model
1,029
option pricing
678
Optionspreistheorie
676
Option pricing
623
Schätzung
484
Estimation
475
Börsenkurs
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Share price
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Stochastischer Prozess
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volatility
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Option trading
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Schätztheorie
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Derivative
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Derivat
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Option Pricing
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Estimation theory
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Risk measure
162
Risikomaß
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stochastic volatility
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Exchange rate
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Lee, Hangsuck
10
Fabozzi, Frank J.
8
Elliott, Robert J.
7
Kim, Young Shin
7
Leippold, Markus
6
Račev, Svetlozar T.
6
Siu, Tak Kuen
6
Aguilar, Jean-Philippe
5
Godin, Frédéric
5
Lian, Yu-Min
5
Liao, Szu-Lang
5
Maré, E.
5
Vives, Josep
5
Ballestra, Luca Vincenzo
4
Bayer, Christian
4
Bormetti, Giacomo
4
Chen, Jun-Home
4
Corsi, Fulvio
4
Cui, Zhenyu
4
Filipović, Damir
4
Howison, Sam
4
Kim, Junseok
4
Ko, Bangwon
4
Lee, Minha
4
Song, Seongjoo
4
Venter, Pierre J.
4
Zhu, Song-Ping
4
Ackerer, Damien
3
Almeida, Caio
3
Badescu, Alexandru
3
Carr, Peter
3
Ciocan, Dragos Florin
3
Dapena, José P.
3
Fengler, Matthias
3
Fusari, Nicola
3
Gourier, Elise
3
Gruber, Peter H.
3
Guégan, Dominique
3
Hao, Wenyan
3
He, Xin-Jiang
3
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International journal of theoretical and applied finance
39
Quantitative finance
31
Computational economics
25
The North American journal of economics and finance : a journal of financial economics studies
22
International journal of financial engineering
20
European journal of operational research : EJOR
19
Finance research letters
16
Journal of mathematical finance
16
Review of derivatives research
16
Risks : open access journal
16
Journal of banking & finance
12
Journal of risk and financial management : JRFM
12
The journal of futures markets
12
Applied mathematical finance
11
The journal of computational finance
11
Research paper series / Swiss Finance Institute
10
Applied economics
9
Insurance / Mathematics & economics
8
Review of quantitative finance and accounting
8
Journal of econometrics
7
Journal of financial economics
7
Finance and stochastics
6
Journal of economic dynamics & control
6
Journal of empirical finance
6
Journal of financial econometrics
6
Management science : journal of the Institute for Operations Research and the Management Sciences
6
Mathematical finance
6
Asia-Pacific financial markets
5
Economic modelling
5
Energy economics
5
International Journal of Financial Studies : open access journal
5
International review of economics & finance : IREF
5
Mathematical finance : an international journal of mathematics, statistics and financial theory
5
Annals of finance
4
Discussion paper / Tinbergen Institute
4
Economics letters
4
International Journal of Financial Markets and Derivatives : IJFMD
4
International review of financial analysis
4
Journal of financial markets
4
Swiss Finance Institute Research Paper
4
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ECONIS (ZBW)
652
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1
A comparison of pricing kernels for
GARCH
option pricing with generalized hyperbolic distributions
Badescu, Alexandru
;
Elliott, Robert J.
;
Kulperger, Reg
; …
- In:
International journal of theoretical and applied finance
14
(
2011
)
5
,
pp. 669-708
Persistent link: https://www.econbiz.de/10009298478
Saved in:
2
Option pricing in regime-switching frameworks with the Extended Girsanov Principle
Godin, Frédéric
;
Trottier, Denis-Alexandre
- In:
Insurance / Mathematics & economics
99
(
2021
),
pp. 116-129
Persistent link: https://www.econbiz.de/10012649213
Saved in:
3
Option pricing and hedging under a stochastic volatility Lévy process model
Kim, Young Shin
;
Fabozzi, Frank J.
;
Lin, Zuodong
; …
- In:
Review of derivatives research
15
(
2012
)
1
,
pp. 81-97
Persistent link: https://www.econbiz.de/10009627431
Saved in:
4
GARCH
option pricing models with Meixner innovations
Fengler, Matthias
;
Melnikov, Alexander
-
2017
Persistent link: https://www.econbiz.de/10011718747
Saved in:
5
GARCH
option pricing models with Meixner innovations
Fengler, Matthias
;
Melnikov, Alexander
- In:
Review of derivatives research
21
(
2018
)
3
,
pp. 277-305
Persistent link: https://www.econbiz.de/10012055743
Saved in:
6
Option pricing under regime-switching models : novel approaches removing path-dependence
Godin, Frédéric
;
Lai, Van Son
;
Trottier, Denis-Alexandre
- In:
Insurance / Mathematics & economics
87
(
2019
),
pp. 130-142
Persistent link: https://www.econbiz.de/10012058933
Saved in:
7
Importance sampling applied to Greeks for jump : diffusion models with stochastic volatility
De Diego, Sergio
;
Ferreira, Eva
;
Nualart, Eulàlia
- In:
The journal of computational finance
22
(
2018
)
1
,
pp. 79-105
Persistent link: https://www.econbiz.de/10011890181
Saved in:
8
Insurance guaranty premiums and exchange options
Lee, Hangsuck
;
Song, Seongjoo
;
Lee, Gaeun
- In:
Mathematics and financial economics
17
(
2023
)
1
,
pp. 49-77
Persistent link: https://www.econbiz.de/10014226252
Saved in:
9
Option pricing under truncated Gram-Charlier expansion
Lin, Shin-Hung
;
Huang, Hung-Hsi
;
Li, Sheng-Han
- In:
The North American journal of economics and finance : a …
32
(
2015
),
pp. 77-97
Persistent link: https://www.econbiz.de/10011514435
Saved in:
10
Option pricing with non-Gaussian scaling and infinite-state switching volatility
Baldovin, Fulvio
;
Caporin, Massimiliano
;
Caraglio, Michele
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 486-497
Persistent link: https://www.econbiz.de/10011499748
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