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Statistical distribution
Volatility
40,965
Volatilität
40,697
Theorie
28,340
Theory
27,697
Stochastischer Prozess
17,229
Stochastic process
16,788
Optionspreistheorie
14,815
Option pricing theory
14,356
Derivat
13,964
Derivative
13,930
Börsenkurs
10,966
Share price
10,802
Schätzung
10,732
Estimation
10,492
Statistische Verteilung
8,511
Kapitaleinkommen
8,352
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8,321
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7,129
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7,021
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6,938
United States
6,907
Aktienmarkt
6,323
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6,250
Welt
6,102
World
5,988
Portfolio-Management
5,870
Portfolio selection
5,829
Prognoseverfahren
5,327
Forecasting model
5,251
Optionsgeschäft
5,131
Option trading
4,922
Wechselkurs
4,892
Exchange rate
4,786
Risk
4,606
Zeitreihenanalyse
4,600
Risiko
4,577
Time series analysis
4,473
Hedging
3,942
Schätztheorie
3,745
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Dijk, Herman K. van
49
Ravazzolo, Francesco
44
Fabozzi, Frank J.
42
Härdle, Wolfgang
39
Račev, Svetlozar T.
38
Lucas, André
32
Opschoor, Anne
31
McAleer, Michael
30
Mitchell, James
30
Paolella, Marc S.
30
Casarin, Roberto
29
Einmahl, John H. J.
29
Nadarajah, Saralees
27
Phillips, Peter C. B.
27
Landsman, Zinoviy
25
Griffiths, William E.
23
Hoogerheide, Lennart
23
Hoogerheide, Lennart F.
23
Linton, Oliver
23
Perote, Javier
20
Diebold, Francis X.
19
Fischer, Matthias
19
Kotz, Samuel
19
Swanson, Norman R.
19
Ardia, David
18
Bollerslev, Tim
18
Corradi, Valentina
18
Dijk, Dick van
18
Furman, Edward
18
Grassi, Stefano
18
Kim, Young Shin
18
Madan, Dilip B.
18
Segers, Johan
18
Wu, Ximing
18
Bottazzi, Giulio
17
van Dijk, H. K.
17
Harvey, Andrew C.
16
Koopman, Siem Jan
16
Sornette, Didier
16
Stoyanov, Stoyan V.
16
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National Bureau of Economic Research
50
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
17
Center for Economic Research <Tilburg>
7
London School of Economics and Political Science
6
European University Institute / Department of Economics
5
Centre for Analytical Finance <Århus>
4
Econometrisch Instituut <Rotterdam>
4
Rutgers University / Department of Economics
4
Scuola superiore Sant'Anna di studi universitari e di perfezionamento / Laboratory of Economics and Management
4
Deutschland <Bundesrepublik> / Bundeswehr / Hochschule Hamburg / Fachbereich Wirtschafts- und Organisationswissenschaften
3
Federal Reserve Bank of Cleveland
3
Federal Reserve Bank of St. Louis
3
Robert Schuman Centre for Advanced Studies
3
State University of New York at Albany / Department of Economics
3
University of California Davis / Department of Economics
3
University of Cambridge / Department of Applied Economics
3
University of Cambridge / Faculty of Economics
3
University of Canterbury / Dept. of Economics and Finance
3
University of York / Department of Economics and Related Studies
3
World Bank
3
Boston College / Department of Economics
2
California Agricultural Experiment Station / Department of Agricultural and Resource Economics
2
Centre for Microdata Methods and Practice <London>
2
Chamber of Commerce of the United States of America
2
Deutsches Institut für Wirtschaftsforschung
2
Federal Reserve Bank of Chicago
2
Federal Reserve Bank of New York
2
International Center for Financial Asset Management and Engineering
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OECD
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Suntory-Toyota International Centre for Economics and Related Disciplines
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Technische Universität Dresden / Fakultät Wirtschaftswissenschaften
2
The Wharton Financial Institutions Center
2
Trinity College Dublin / Department of Economics
2
Umeå Universitet / Institutionen för Nationalekonomi
2
Universitat Pompeu Fabra / Departament d'Economia i Empresa
2
University of California, San Diego / Department of Economics
2
University of New England / Department of Econometrics
2
University of Southampton / Department of Economics
2
University of Warwick / Department of Economics
2
Arbeitsmarktservice Österreich
1
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Insurance / Mathematics & economics
195
Journal of econometrics
168
Discussion paper / Tinbergen Institute
115
Economics letters
97
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
84
International journal of forecasting
83
Risks : open access journal
79
European journal of operational research : EJOR
67
International journal of theoretical and applied finance
62
Econometric reviews
59
Journal of banking & finance
56
Finance research letters
53
Applied economics
51
Econometric theory
51
Working paper
44
Discussion paper / Center for Economic Research, Tilburg University
43
Economic modelling
43
Journal of forecasting
43
NBER Working Paper
43
Applied economics letters
42
NBER working paper series
42
CEMMAP working papers / Centre for Microdata Methods and Practice
41
Quantitative finance
41
The journal of operational risk
41
Working paper / National Bureau of Economic Research, Inc.
41
Computational economics
40
Journal of empirical finance
40
Working papers
40
Scandinavian actuarial journal
38
International review of financial analysis
37
Statistical papers
37
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
35
Journal of applied econometrics
34
Journal of the American Statistical Association : JASA
34
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
34
The European journal of finance
33
Journal of economic dynamics & control
31
Management science : journal of the Institute for Operations Research and the Management Sciences
31
Research paper series / Swiss Finance Institute
31
SFB 649 discussion paper
31
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ECONIS (ZBW)
8,287
RePEc
10
Other ZBW resources
4
EconStor
1
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1
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10
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8,302
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date (newest first)
date (oldest first)
1
Testing the Implied
Volatility
Smile of a Lognormal Distribution on a 3 – Month Danske Bank Call Option Contract Using the Option Delta
Guirguis, Michel
-
2019
We analyze the implied
volatility
smile of a lognormal distribution on a 3 – month Danske bank call option contract … using the option delta. There is significant time variation in the implied
volatility
smile and the traditional Black … adjusted measure. Deep in or out of the money contract has higher implied
volatility
. We have found that the 3– month Danske …
Persistent link: https://www.econbiz.de/10012890742
Saved in:
2
Nonparametric estimates of option prices via Hermite basis functions
Marinelli, Carlo
;
D'Addona, Stefano
- In:
Annals of finance
19
(
2023
)
4
,
pp. 477-522
Persistent link: https://www.econbiz.de/10014448291
Saved in:
3
A general closed form option pricing formula
Necula, Ciprian
;
Drimus, Gabriel
;
Farkas, Walter
-
2016
-
This version: 10 March 2016
that the resulting implied
volatility
curves provide an accurate approximation for a wide range of strike prices. Based on …
Persistent link: https://www.econbiz.de/10011506359
Saved in:
4
A mean bound financial model and options pricing
Li, Yu
- In:
International journal of financial engineering
4
(
2017
)
4
,
pp. 1-31
Persistent link: https://www.econbiz.de/10011807105
Saved in:
5
Testing the Implied
Volatility
Smile of a Lognormal Distribution on a 3 – Month Lundbeck Option Call Option Contract Using the Brownian Motion
Guirguis, Michel
-
2019
We analyze the implied
volatility
smile of a lognormal distribution on a 3 – month Lundbeck call option contract using … the Brownian motion. There is significant time variation in the implied
volatility
smile and the traditional Black … and get better estimates of a risk adjusted measure. Deep in or out of the money contract has higher implied
volatility
…
Persistent link: https://www.econbiz.de/10012890737
Saved in:
6
Index options and
volatility
derivatives in a Gaussian random field risk-neutral density model
Han, Xixuan
;
Wei, Boyu
;
Yang, Hailiang
- In:
International journal of theoretical and applied finance
21
(
2018
)
4
,
pp. 1-41
Persistent link: https://www.econbiz.de/10011891885
Saved in:
7
Variance trading and market price of variance risk
Bondarenko, Oleg
- In:
Journal of econometrics
180
(
2014
)
1
,
pp. 81-97
Persistent link: https://www.econbiz.de/10010379480
Saved in:
8
A general closed form option pricing formula
Necula, Ciprian
;
Drimus, Gabriel
;
Farkas, Walter
- In:
Review of derivatives research
22
(
2019
)
1
,
pp. 1-40
Persistent link: https://www.econbiz.de/10012311636
Saved in:
9
Nonparametric predictive inference for European option pricing based on the binomial tree model
He, Ting
;
Coolen, Frank P. A.
;
Coolen-Maturi, Tahani
- In:
Journal of the Operational Research Society
70
(
2019
)
10
,
pp. 1692-1708
Persistent link: https://www.econbiz.de/10012214368
Saved in:
10
Option pricing with a dynamic fat-tailed model
Aboura, Sofiane
;
Valeyre, Sebastien
;
Wagner, Niklas F.
- In:
Journal of derivatives & hedge funds
20
(
2014
)
3
,
pp. 131-155
Persistent link: https://www.econbiz.de/10010462976
Saved in:
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