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~subject:"Optionspreistheorie"
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Optionspreistheorie
Volatility
40,945
Volatilität
40,677
Theorie
18,064
Theory
17,563
Option pricing theory
14,355
ARCH-Modell
10,588
Schätzung
10,536
ARCH model
10,407
Börsenkurs
10,317
Estimation
10,288
Share price
10,156
Statistische Verteilung
8,510
Kapitaleinkommen
8,341
Capital income
8,306
Statistical distribution
8,301
Aktienmarkt
6,489
Stock market
6,419
Stochastischer Prozess
5,802
Stochastic process
5,693
USA
5,573
United States
5,389
Welt
5,315
World
5,201
Prognoseverfahren
5,144
Forecasting model
5,071
Wechselkurs
4,878
Exchange rate
4,778
Zeitreihenanalyse
4,434
Time series analysis
4,314
Portfolio-Management
4,077
Portfolio selection
4,045
Risk
3,772
Risiko
3,734
Schätztheorie
3,634
Estimation theory
3,566
Optionsgeschäft
3,347
Derivat
3,345
Derivative
3,335
Option trading
3,325
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Online availability
All
Free
4,644
Undetermined
2,974
Type of publication
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Article
7,978
Book / Working Paper
6,816
Journal
20
Type of publication (narrower categories)
All
Article in journal
7,374
Aufsatz in Zeitschrift
7,374
Graue Literatur
1,777
Non-commercial literature
1,777
Working Paper
1,758
Arbeitspapier
1,606
Hochschulschrift
569
Aufsatz im Buch
539
Book section
539
Thesis
450
Lehrbuch
184
Textbook
172
Collection of articles of several authors
121
Sammelwerk
121
Dissertation u.a. Prüfungsschriften
81
Collection of articles written by one author
80
Sammlung
80
Bibliografie enthalten
77
Bibliography included
77
Aufsatzsammlung
73
Conference paper
44
Konferenzbeitrag
44
Forschungsbericht
40
Glossar enthalten
31
Glossary included
31
Konferenzschrift
28
Handbook
27
Handbuch
27
Systematic review
21
Übersichtsarbeit
21
Amtsdruckschrift
18
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18
Reprint
16
Bibliografie
15
Conference proceedings
15
Einführung
12
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11
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English
14,089
German
636
French
39
Undetermined
20
Spanish
19
Italian
14
Portuguese
5
Croatian
1
Hungarian
1
Dutch
1
Polish
1
Russian
1
Swedish
1
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Author
All
Madan, Dilip B.
90
Cui, Zhenyu
73
Härdle, Wolfgang
71
Fabozzi, Frank J.
68
Joshi, Mark S.
66
Carr, Peter
60
Takahashi, Akihiko
59
Schoutens, Wim
57
Chiarella, Carl
53
Stentoft, Lars
52
Elliott, Robert J.
49
Jacobs, Kris
46
Hull, John
42
Wystup, Uwe
40
Benth, Fred Espen
38
Kwok, Yue-Kuen
37
Oosterlee, Cornelis W.
36
Jarrow, Robert A.
35
Schlögl, Erik
35
Belomestny, Denis
34
Lee, Cheng F.
34
Chesney, Marc
33
Kim, Young Shin
33
Fusai, Gianluca
32
Wang, Xingchun
32
Christoffersen, Peter F.
31
Korn, Ralf
31
Račev, Svetlozar T.
31
Siu, Tak Kuen
31
Zhang, Jin E.
31
Barone-Adesi, Giovanni
30
Ewald, Christian-Oliver
30
Platen, Eckhard
30
Schwartz, Eduardo S.
30
Jacquier, Antoine (Jack)
28
Nguyen, Duy
28
Perrakis, Stylianos
28
Schoenmakers, John
28
Wilmott, Paul
28
Wong, Hoi Ying
28
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Institution
All
National Bureau of Economic Research
60
Centre for Analytical Finance <Århus>
24
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
20
Sonderforschungsbereich Ökonomisches Risiko <Berlin>
19
Institut für Schweizerisches Bankwesen <Zürich>
14
Chambre de commerce et d'industrie de Paris
10
Ekonomiska forskningsinstitutet <Stockholm>
10
Svenska Handelshögskolan <Helsinki>
10
Center for Economic Research <Tilburg>
9
Weierstraß-Institut für Angewandte Analysis und Stochastik
6
Deutsche Forschungsgemeinschaft
5
Sonderforschungsbereich 303 - Information und die Koordination Wirtschaftlicher Aktivitäten, Universität Bonn
5
Universitat Pompeu Fabra / Departament d'Economia i Empresa
5
Verlag Dr. Kovač
5
Bonn Graduate School of Economics
4
Centre of Financial Studies
4
Institut for Finansiering <Frederiksberg>
4
Johannes Gutenberg-Universität Mainz
4
Springer Fachmedien Wiesbaden
4
Centre for Economic Policy Research
3
Institute of Finance and Accounting <London>
3
International Center for Financial Asset Management and Engineering
3
Karlsruher Institut für Technologie
3
Universiteit Antwerpen / Faculteit Toegepaste Economische Wetenschappen
3
World Bank
3
Associazione Operatori Bancari in Titoli
2
Banque de France / Direction des Etudes Economiques et de la Recherche
2
Birkbeck College / Department of Economics
2
Cambridge University Press
2
Centre for Quantitative Economics & Computing
2
Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
2
Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
2
Eberhard Karls Universität Tübingen
2
Econometrisch Instituut <Rotterdam>
2
Erasmus Research Institute of Management
2
Federal Reserve Bank of Cleveland
2
Federal Reserve Bank of St. Louis
2
Federal Reserve System / Board of Governors
2
Hochschule für Bankwirtschaft
2
Indien / Central Board of Irrigation and Power
2
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Published in...
All
International journal of theoretical and applied finance
467
The journal of futures markets
261
Mathematical finance : an international journal of mathematics, statistics and financial theory
255
The journal of computational finance
254
Applied mathematical finance
244
Finance and stochastics
218
Journal of banking & finance
208
The journal of derivatives : the official publication of the International Association of Financial Engineers
203
Quantitative finance
199
Review of derivatives research
170
Insurance / Mathematics & economics
139
European journal of operational research : EJOR
133
Journal of economic dynamics & control
131
Finance research letters
116
International journal of financial engineering
116
Computational economics
107
Journal of mathematical finance
107
Risks : open access journal
99
Research paper series / Swiss Finance Institute
87
The North American journal of economics and finance : a journal of financial economics studies
83
The European journal of finance
81
Journal of financial economics
79
Asia-Pacific financial markets
77
Journal of econometrics
66
Energy economics
59
Journal of financial and quantitative analysis : JFQA
58
NBER working paper series
58
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
57
Review of quantitative finance and accounting
55
The journal of finance : the journal of the American Finance Association
55
SFB 649 discussion paper
54
Annals of finance
52
Journal of risk and financial management : JRFM
50
The journal of real estate finance and economics
50
The review of financial studies
50
Working paper / National Bureau of Economic Research, Inc.
50
Economic modelling
48
International review of economics & finance : IREF
48
Decisions in economics and finance : DEF ; a journal of applied mathematics
47
Management science : journal of the Institute for Operations Research and the Management Sciences
46
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Source
All
ECONIS (ZBW)
14,413
USB Cologne (EcoSocSci)
169
EconStor
154
USB Cologne (business full texts)
67
OLC EcoSci
6
BASE
5
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1
Option valuation with
volatility
components, fat tails, and nonlinear pricing kernels
Babaoğlu, Kadir
;
Christoffersen, Peter F.
;
Heston, …
-
2015
Persistent link: https://www.econbiz.de/10011398641
Saved in:
2
Skewed generalized error distribution of financial assets and option pricing
Theodossiou, Panayiotis
- In:
Multinational finance journal : MF ; quarterly …
19
(
2015
)
3/4
,
pp. 223-266
Persistent link: https://www.econbiz.de/10011434223
Saved in:
3
Model-based pricing for financial derivatives
Zhu, Ke
;
Ling, Shiqing
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 447-457
Persistent link: https://www.econbiz.de/10011499705
Saved in:
4
COMFORT: a common market factor non-Gaussian returns model
Paolella, Marc S.
;
Polak, Pawel
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 593-605
Persistent link: https://www.econbiz.de/10011499783
Saved in:
5
Option Valuation with
Volatility
Components, Fat Tails, and Non-Monotonic Pricing Kernels
Babaoglu, Kadir
-
2017
We nest multiple
volatility
components, fat tails and a U-shaped pricing kernel in a single option model and compare … two-factor models. A second
volatility
component improves the option fit by 9% on average. Fat tails improve option fit by …
Persistent link: https://www.econbiz.de/10012970627
Saved in:
6
Can risk-neutral skewness and kurtosis subsume the information content of historical jumps?
Pan, Ging-Ginq
;
Shiu, Yung-Ming
;
Wu, Tu-Cheng
- In:
Journal of financial markets
57
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013188762
Saved in:
7
Comparison of utility indifference pricing and mean-variance approach under a normal mixture distribution with time-varying
volatility
Hodoshima, Jiro
;
Yamawake, Toshiyuki
- In:
Finance research letters
28
(
2019
),
pp. 74-81
Persistent link: https://www.econbiz.de/10012388014
Saved in:
8
Option valuation with
volatility
components, fat tails, and nonmonotonic pricing Kernels
Babaoğlu, Kadir
;
Christoffersen, Peter F.
;
Heston, …
- In:
Review of asset pricing studies
8
(
2018
)
2
,
pp. 183-231
Persistent link: https://www.econbiz.de/10012002169
Saved in:
9
Calibrating the Italian smile with time-varying
volatility
and heavy-tailed models
Bianchi, Michele Leonardo
;
Račev, Svetlozar T.
; …
- In:
Computational economics
51
(
2018
)
3
,
pp. 339-378
Persistent link: https://www.econbiz.de/10011963681
Saved in:
10
Moments expansion densities for quantifying financial risk
Ñíguez, Trino-Manuel
;
Perote, Javier
- In:
The North American journal of economics and finance : a …
42
(
2017
),
pp. 53-69
Persistent link: https://www.econbiz.de/10011938073
Saved in:
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