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subject:"Derivat"
~isPartOf:"Applied mathematical finance"
~subject:"Hedging"
~subject:"Theory"
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Derivat
Hedging
Theory
Option trading
54
Optionsgeschäft
54
Option pricing theory
51
Optionspreistheorie
51
Volatility
24
Volatilität
24
Derivative
16
Stochastic process
14
Stochastischer Prozess
14
Black-Scholes model
11
Black-Scholes-Modell
11
Theorie
10
Experiment
8
implied volatility
5
stochastic volatility
5
Risiko
3
Risk
3
Estimation
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European options
2
Großbritannien
2
Lévy processes
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Option pricing
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Schätzung
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Simulation
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Swap
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United Kingdom
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VIX
2
VIX options
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barrier options
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hedging
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jump-diffusion
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no-arbitrage
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optimal stopping
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27
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Cohen, Samuel N.
2
Kwok, Yue-Kuen
2
Reisinger, Christoph
2
Wang, Sheng
2
Zheng, Wendong
2
Ahn, Hyungsok
1
Aly, Sidi Mohamed Ould
1
Armstrong, Grant F.
1
Avellaneda, Marco
1
Benth, Fred Espen
1
Bossu, Sébastien
1
Buff, Robert
1
Clark, Steven P.
1
Cont, Rama
1
D'Halluin, Y.
1
Di Nunno, Giulia
1
Eberlein, Ernst
1
Figueroa-López, José E.
1
Funahashi, Hideharu
1
Gardini, Matteo
1
Gerstner, Thomas Stefan
1
Giovanni, Domenico de
1
Gong, Ruoting
1
Hofer, Markus
1
Holtz, Markus
1
Houdré, Christian
1
Khedher, Asma
1
Kijima, Masaaki
1
Kirkby, J. Lars
1
Løchte Jørgensen, Peter
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1
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1
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1
Penaud, Antony
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Pooley, D. M.
1
Sabino, Piergiacomo
1
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1
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Applied mathematical finance
The journal of futures markets
61
International journal of theoretical and applied finance
55
Journal of banking & finance
41
The journal of derivatives : the official publication of the International Association of Financial Engineers
40
Mathematical finance : an international journal of mathematics, statistics and financial theory
39
Review of derivatives research
38
Finance and stochastics
32
Journal of financial economics
22
Quantitative finance
22
The journal of computational finance
22
Journal of economic dynamics & control
18
Finance research letters
17
International review of economics & finance : IREF
17
The North American journal of economics and finance : a journal of financial economics studies
17
The review of financial studies
17
Journal of financial markets
16
Working paper / National Bureau of Economic Research, Inc.
16
International journal of financial engineering
14
European journal of operational research : EJOR
13
The European journal of finance
13
The journal of finance : the journal of the American Finance Association
13
NBER working paper series
12
The journal of derivatives : JOD
12
Asia-Pacific financial markets
11
Finance : revue de l'Association Française de Finance
10
Finanzmarkt und Portfolio-Management
10
International review of financial analysis
10
Management science : journal of the Institute for Operations Research and the Management Sciences
10
NBER Working Paper
10
Applied economics letters
8
Decisions in economics and finance : DEF ; a journal of applied mathematics
8
Journal of econometrics
8
Journal of mathematical finance
8
Journal of risk and financial management : JRFM
8
Risks : open access journal
8
Computational economics
7
Discussion paper / Centre for Economic Policy Research
7
Energy economics
7
Review of quantitative finance and accounting
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ECONIS (ZBW)
27
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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
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:
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
Static replication of European multi-asset options with homogeneous payoff
Bossu, Sébastien
- In:
Applied mathematical finance
28
(
2021
)
5
,
pp. 381-394
Persistent link: https://www.econbiz.de/10013411710
Saved in:
5
Detecting and repairing arbitrage in traded option prices
Cohen, Samuel N.
;
Reisinger, Christoph
;
Wang, Sheng
- In:
Applied mathematical finance
27
(
2020
)
5
,
pp. 345-373
Persistent link: https://www.econbiz.de/10012501620
Saved in:
6
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:
7
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:
8
Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model
Zheng, Wendong
;
Zeng, Pingping
- In:
Applied mathematical finance
23
(
2016
)
5/6
,
pp. 344-373
Persistent link: https://www.econbiz.de/10011704259
Saved in:
9
Analysis of VIX Markets with a time-spread portfolio
Papanicolaou, A.
- In:
Applied mathematical finance
23
(
2016
)
5/6
,
pp. 374-408
Persistent link: https://www.econbiz.de/10011704261
Saved in:
10
Pricing of spread options on a bivariate jump market and stability to model risk
Benth, Fred Espen
;
Di Nunno, Giulia
;
Khedher, Asma
; …
- In:
Applied mathematical finance
22
(
2015
)
1/2
,
pp. 28-62
Persistent link: https://www.econbiz.de/10010505172
Saved in:
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