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isPartOf:"Applied mathematical finance"
~accessRights:"restricted"
~subject:"Black-Scholes-Modell"
~subject:"Stochastic process"
~subject:"United Kingdom"
~subject:"Volatility"
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Black-Scholes-Modell
Stochastic process
United Kingdom
Volatility
Option trading
19
Optionsgeschäft
19
Option pricing theory
18
Optionspreistheorie
18
Derivat
8
Derivative
8
Volatilität
8
Black-Scholes model
7
Stochastischer Prozess
7
Experiment
3
implied volatility
3
Hedging
2
Simulation
2
optimal stopping
2
stochastic volatility
2
3/2 model
1
ATM option pricing
1
American Options
1
American lookback option
1
American multi-asset options
1
Anleihe
1
Arbeitskampf
1
Arbitrage
1
Asian option
1
Asian options
1
Baum-Welch algorithm
1
Bond
1
Breeden-Litzenberger
1
British lookback option with fixed strike
1
CGMY
1
CGMY models
1
Callable bonds
1
Corporate bond
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1
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EM algorithm
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Article
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English
14
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Alòs, Elisa
1
Aoudia, Djilali Ait
1
Carr, Peter
1
Chang, Ming-Chi
1
Cohen, Samuel N.
1
Cont, Rama
1
Figueroa-López, José E.
1
Figà-Talamanca, Gianna
1
Gardini, Matteo
1
Gong, Ruoting
1
Goutte, Stéphane
1
Houdré, Christian
1
Ismail, Amine
1
Kirkby, J. Lars
1
Kitapbayev, Yerkin
1
Nualart, Eulalia
1
Papanicolaou, A.
1
Pham, Huyên
1
Pirjol, Dan
1
Pravosud, Makar
1
Qiu, Shi
1
Reisinger, Christoph
1
Renaud, Jean-François
1
Sabino, Piergiacomo
1
Sheu, Yuan-Chung
1
Tsai, Ming-Yao
1
Vuletić, Milena
1
Wang, Jing
1
Wang, Sheng
1
Zhu, Lingjiong
1
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Applied mathematical finance
Quantitative finance
30
The journal of futures markets
30
Finance research letters
23
The North American journal of economics and finance : a journal of financial economics studies
21
Journal of banking & finance
19
The journal of computational finance
19
International journal of theoretical and applied finance
18
International journal of financial engineering
15
Review of derivatives research
15
Computational economics
14
Journal of financial markets
13
International review of financial analysis
12
Journal of economic dynamics & control
12
Management science : journal of the Institute for Operations Research and the Management Sciences
12
European journal of operational research : EJOR
11
International review of economics & finance : IREF
11
Applied economics
10
Journal of financial economics
9
Journal of econometrics
8
Annals of finance
7
Finance and stochastics
7
Applied economics letters
6
The European journal of finance
6
The journal of derivatives : JOD
6
Journal of mathematical finance
5
Operations research
5
Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
5
Research paper series / Swiss Finance Institute
5
The journal of asset management
5
Annals of financial economics
4
Decisions in economics and finance : DEF ; a journal of applied mathematics
4
Economics letters
4
Energy economics
4
Insurance / Mathematics & economics
4
Journal of financial econometrics
4
Journal of international financial markets, institutions & money
4
Operations research letters
4
The journal of behavioral finance : a publication of the Institute of Psychology and Markets and LEA
4
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
4
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ECONIS (ZBW)
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1
Simulation of arbitrage-free implied volatility surfaces
Cont, Rama
;
Vuletić, Milena
- In:
Applied mathematical finance
30
(
2023
)
2
,
pp. 94-121
Persistent link: https://www.econbiz.de/10014443387
Saved in:
2
On the implied volatility of Asian options under stochastic volatility models
Alòs, Elisa
;
Nualart, Eulalia
;
Pravosud, Makar
- In:
Applied mathematical finance
30
(
2023
)
5
,
pp. 249-274
Persistent link: https://www.econbiz.de/10015051248
Saved in:
3
Hedging option books using neural-sde market models
Cohen, Samuel N.
;
Reisinger, Christoph
;
Wang, Sheng
- In:
Applied mathematical finance
29
(
2022
)
5
,
pp. 366-401
Persistent link: https://www.econbiz.de/10014323483
Saved in:
4
Exchange option pricing under variance gamma-like models
Gardini, Matteo
;
Sabino, Piergiacomo
- In:
Applied mathematical finance
29
(
2022
)
6
,
pp. 494-521
Persistent link: https://www.econbiz.de/10014390283
Saved in:
5
Spiking the volatility punch
Carr, Peter
;
Figà-Talamanca, Gianna
- In:
Applied mathematical finance
27
(
2020
)
6
,
pp. 495-520
Persistent link: https://www.econbiz.de/10012516169
Saved in:
6
American strangle options
Qiu, Shi
- In:
Applied mathematical finance
27
(
2020
)
3
,
pp. 228-263
Persistent link: https://www.econbiz.de/10012315168
Saved in:
7
Short maturity forward start Asian options in local volatility models
Pirjol, Dan
;
Wang, Jing
;
Zhu, Lingjiong
- In:
Applied mathematical finance
26
(
2019
)
3
,
pp. 187-221
Persistent link: https://www.econbiz.de/10012210271
Saved in:
8
Robust barrier option pricing by frame projection under exponential Lévy dynamics
Kirkby, J. Lars
- In:
Applied mathematical finance
24
(
2017
)
3/4
,
pp. 337-386
Persistent link: https://www.econbiz.de/10011815237
Saved in:
9
Third-order short-time expansions for close-to-the-money option prices under the CGMY model
Figueroa-López, José E.
;
Gong, Ruoting
;
Houdré, Christian
- In:
Applied mathematical finance
24
(
2017
)
5/6
,
pp. 547-574
Persistent link: https://www.econbiz.de/10011815299
Saved in:
10
Regime-switching stochastic volatility model : estimation and calibration to VIX options
Goutte, Stéphane
;
Ismail, Amine
;
Pham, Huyên
- In:
Applied mathematical finance
24
(
2017
)
1/2
,
pp. 38-75
Persistent link: https://www.econbiz.de/10011746993
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