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~subject:"Optionspreistheorie"
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Search: subject:"volatility"
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Optionspreistheorie
Volatility
40,063
Volatilität
39,276
Arbeitsmobilität
13,219
Labour mobility
13,216
Theorie
11,749
Theory
11,598
Schätzung
9,664
Estimation
9,565
Börsenkurs
9,238
Share price
9,156
Kapitaleinkommen
6,982
Capital income
6,971
ARCH-Modell
6,238
ARCH model
6,188
Aktienmarkt
5,712
Stock market
5,697
USA
5,653
United States
5,566
Welt
4,894
World
4,844
Wechselkurs
4,529
Exchange rate
4,516
Stochastischer Prozess
3,816
Option pricing theory
3,792
Stochastic process
3,769
Prognoseverfahren
3,713
Forecasting model
3,678
Zeitreihenanalyse
3,184
Time series analysis
3,129
volatility
2,605
Risk
2,594
Risiko
2,532
Spillover-Effekt
2,351
Spillover effect
2,333
Konjunktur
2,269
Oil price
2,269
Ölpreis
2,264
Business cycle
2,256
Deutschland
2,175
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All
Free
1,384
Undetermined
1,073
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All
Article
2,192
Book / Working Paper
1,634
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All
Article in journal
2,101
Aufsatz in Zeitschrift
2,101
Graue Literatur
436
Non-commercial literature
436
Working Paper
423
Arbeitspapier
398
Hochschulschrift
98
Aufsatz im Buch
88
Book section
88
Thesis
71
Collection of articles written by one author
16
Sammlung
16
Collection of articles of several authors
15
Conference paper
15
Konferenzbeitrag
15
Sammelwerk
15
Forschungsbericht
11
Bibliografie enthalten
7
Bibliography included
7
Lehrbuch
7
Textbook
6
Amtsdruckschrift
4
Aufsatzsammlung
4
Government document
4
Dissertation u.a. Prüfungsschriften
3
Systematic review
3
Übersichtsarbeit
3
Accompanied by computer file
2
Bibliografie
2
Elektronischer Datenträger als Beilage
2
Konferenzschrift
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CD-ROM, DVD
1
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1
Handbuch
1
Ratgeber
1
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English
3,772
German
53
French
2
Spanish
1
Undetermined
1
Author
All
Cui, Zhenyu
44
Carr, Peter
26
Jacquier, Antoine (Jack)
25
Chiarella, Carl
24
Jacobs, Kris
23
Gatheral, Jim
21
Härdle, Wolfgang
21
Nguyen, Duy
21
Lorig, Matthew
20
Takahashi, Akihiko
20
Zhang, Jin E.
20
Alòs, Elisa
19
Fengler, Matthias R.
19
Guyon, Julien
19
Christoffersen, Peter F.
18
Benth, Fred Espen
15
Elliott, Robert J.
15
Escobar, Marcos
15
Grasselli, Martino
15
Wang, Xingchun
15
Forde, Martin
14
Fouque, Jean-Pierre
14
Jacquier, Antoine
14
Kang, Boda
14
Le Floc'h, Fabien
14
Oosterlee, Cornelis W.
14
Schoutens, Wim
14
Skiadopoulos, George
14
Ewald, Christian-Oliver
13
Grzelak, Lech A.
13
Madan, Dilip B.
13
Todorov, Viktor
13
Wong, Hoi Ying
13
Wu, Liuren
13
Zheng, Wendong
13
Branger, Nicole
12
Fabozzi, Frank J.
12
Heston, Steven L.
12
Joshi, Mark S.
12
Kim, Sol
12
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National Bureau of Economic Research
11
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
8
Centre for Analytical Finance <Århus>
6
Chambre de commerce et d'industrie de Paris
3
Svenska Handelshögskolan <Helsinki>
3
Centre of Financial Studies
2
Banque de France / Direction des Etudes Economiques et de la Recherche
1
Berliner Wissenschafts-Verlag
1
Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
1
Danmarks Nationalbank
1
Econometrisch Instituut <Rotterdam>
1
Federal Reserve Bank of Cleveland
1
Federal Reserve Bank of San Francisco
1
Federal Reserve Bank of St. Louis
1
FernUniversität in Hagen
1
Hochschule für Bankwirtschaft
1
Institute of Finance and Accounting <London>
1
International Center for Financial Asset Management and Engineering
1
Karlsruher Institut für Technologie
1
Melbourne Business School
1
Springer Fachmedien Wiesbaden
1
Technische Hochschule Mittelhessen
1
Technische Universität Dresden / Fakultät Wirtschaftswissenschaften
1
Universität Ulm
1
Verlag Dr. Kovač
1
Weierstraß-Institut für Angewandte Analysis und Stochastik
1
Wharton School
1
Wharton School / Finance Department
1
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Published in...
All
International journal of theoretical and applied finance
156
Quantitative finance
100
The journal of futures markets
78
Journal of banking & finance
75
Applied mathematical finance
72
The journal of computational finance
65
Mathematical finance : an international journal of mathematics, statistics and financial theory
61
Review of derivatives research
49
International journal of financial engineering
47
Finance research letters
43
European journal of operational research : EJOR
40
Finance and stochastics
40
Journal of econometrics
39
The North American journal of economics and finance : a journal of financial economics studies
38
The journal of derivatives : the official publication of the International Association of Financial Engineers
36
Computational economics
35
Journal of economic dynamics & control
35
Journal of mathematical finance
35
Risks : open access journal
29
Journal of financial economics
27
Research paper series / Swiss Finance Institute
27
Insurance / Mathematics & economics
26
Review of quantitative finance and accounting
26
Annals of finance
24
International review of economics & finance : IREF
22
The European journal of finance
22
Applied economics
21
Decisions in economics and finance : DEF ; a journal of applied mathematics
19
Energy economics
19
Journal of empirical finance
19
Management science : journal of the Institute for Operations Research and the Management Sciences
19
Journal of risk and financial management : JRFM
18
Asia-Pacific financial markets
16
Economic modelling
16
International review of financial analysis
16
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
16
Discussion paper / Tinbergen Institute
15
Journal of financial and quantitative analysis : JFQA
15
Asia-Pacific journal of financial studies
14
Mathematics and financial economics
14
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Source
All
ECONIS (ZBW)
3,796
EconStor
25
USB Cologne (EcoSocSci)
5
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Date (oldest first)
1
Implied
volatility
surfaces : a comprehensive analysis using half a billion option prices
Ulrich, Maxim
;
Zimmer, Lukas
;
Merbecks, Constantin
- In:
Review of derivatives research
26
(
2023
)
2/3
,
pp. 135-169
Persistent link: https://www.econbiz.de/10014423871
Saved in:
2
New evidence on the information content of implied
volatility
of S&P 500 : model-free versus model-based
Zhang, Weiwei
;
Sun, Tiezhu
;
Ma, Yechi
;
Wang, Zilong
- In:
Romanian journal of economic forecasting
24
(
2021
)
1
,
pp. 109-121
Persistent link: https://www.econbiz.de/10012587118
Saved in:
3
Calibration in the "real world" of a partially specified stochastic
volatility
model
Fatone, Lorella
;
Mariani, Francesca
;
Zirilli, Francesco
- In:
The journal of futures markets
44
(
2024
)
1
,
pp. 75-102
Persistent link: https://www.econbiz.de/10014475426
Saved in:
4
Approximate option pricing under a two-factor Heston-Kou stochastic
volatility
model
El-Khatib, Youssef
;
Makumbe, Zororo S.
;
Vives, Josep
- In:
Computational management science
21
(
2024
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10014393433
Saved in:
5
Political uncertainty and currency markets
Leippold, Markus
;
Matthys, Felix
;
Mueller, Philippe
; …
-
2024
Persistent link: https://www.econbiz.de/10014486798
Saved in:
6
Score-driven modeling with jumps : an application to S&P500 returns and options
Ballestra, Luca Vincenzo
;
D'Innocenzo, Enzo
;
Guizzardi, …
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 375-406
Persistent link: https://www.econbiz.de/10014526331
Saved in:
7
Volatility
is rough
Gatheral, Jim
;
Jaisson, Thibault
;
Rosenbaum, Mathieu
- In:
Options - 45 years since the publication of the …
,
(pp. 127-172)
.
2023
Persistent link: https://www.econbiz.de/10014366596
Saved in:
8
Short-dated smile under rough
volatility
: asymptotics and numerics
Friz, Peter K.
;
Gassiat, Paul
;
Pigato, Paolo
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 463-480
Persistent link: https://www.econbiz.de/10013167770
Saved in:
9
Forecasting realized
volatility
: new evidence from time-varying jumps in VIX
Dutta, Anupam
;
Das, Debojyoti
- In:
The journal of futures markets
42
(
2022
)
12
,
pp. 2165-2189
Persistent link: https://www.econbiz.de/10013465875
Saved in:
10
Joint modelling of S&P500 and VIX indices with rough fractional Ornstein-Uhlenbeck
volatility
model
Önalan, Ömer
- In:
Romanian journal of economic forecasting
25
(
2022
)
1
,
pp. 68-84
Persistent link: https://www.econbiz.de/10013411688
Saved in:
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