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subject:"Derivative"
~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"Journal of economic dynamics & control"
~type:"article"
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Search: subject_exact:"Asian option"
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Derivative
Option trading
157
Optionsgeschäft
157
Option pricing theory
120
Optionspreistheorie
120
Volatility
45
Volatilität
45
Stochastic process
39
Stochastischer Prozess
39
Theorie
34
Theory
34
Derivat
29
Black-Scholes model
28
Black-Scholes-Modell
28
Hedging
22
Experiment
10
Statistical distribution
10
Statistische Verteilung
10
Portfolio selection
9
Portfolio-Management
9
American options
8
Monte Carlo simulation
8
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8
Asia
7
Asien
7
Numerical analysis
7
Numerisches Verfahren
7
barrier options
7
Credit risk
6
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6
Markov chain
6
Markov-Kette
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Mathematical programming
6
Mathematische Optimierung
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CAPM
5
Search theory
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5
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5
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29
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29
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English
29
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Joshi, Mark S.
3
Hassan, Nadima el
2
Tang, Robert
2
Alòs, Elisa
1
Anderluh, J. H. M.
1
Antonelli, Fabio
1
Bakel, Sjoerd van
1
Barletta, Andrea
1
Benth, Fred Espen
1
Beveridge, Christopher
1
Bojarčenko, Svetlana I.
1
Borovkova, Svetlana
1
Chiarella, Carl
1
Cui, Zhenyu
1
Daluiso, Roberto
1
Dewynne, Jeff N.
1
Di Graziano, Giuseppe
1
Dokučaev, Nikolaj G.
1
Escobar, Marcos
1
Ewald, Christian-Oliver
1
Fabozzi, Frank J.
1
Facchinetti, Giorgio
1
Fries, Christian P.
1
Fukasawa, Masaaki
1
Gao, Bin
1
Gao, Min
1
Goard, Joanna
1
Gobet, Emmanuel
1
Götz, Barbara
1
Han, Xixuan
1
Heath, David C.
1
Henderson, Vicky
1
Hok, Julien
1
Hu, Yuan
1
Huang, Jing-Zhi
1
Kuczera, Adam
1
Kyrkby, J. Lars
1
Levendorskij, Sergej Z.
1
Lindquist, W. Brent
1
Menkens, Olaf
1
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International journal of theoretical and applied finance
Journal of economic dynamics & control
The journal of futures markets
25
Review of derivatives research
17
Applied mathematical finance
16
International journal of financial engineering
14
Finance research letters
13
International review of economics & finance : IREF
13
Journal of banking & finance
13
Quantitative finance
13
The North American journal of economics and finance : a journal of financial economics studies
13
Journal of financial economics
12
The journal of derivatives : JOD
12
European journal of operational research : EJOR
11
International review of financial analysis
8
Journal of financial markets
8
Journal of mathematical finance
8
The European journal of finance
8
Management science : journal of the Institute for Operations Research and the Management Sciences
7
Risks : open access journal
7
Economic modelling
6
Applied economics letters
5
Computational economics
5
Energy economics
5
Global finance journal
5
Review of quantitative finance and accounting
5
The journal of computational finance
5
The journal of finance : the journal of the American Finance Association
5
Annals of finance
4
Applied financial economics
4
Cogent economics & finance
4
Finance and stochastics
4
Journal of derivatives & hedge funds
4
Journal of econometrics
4
Journal of risk and financial management : JRFM
4
Mathematical finance : an international journal of mathematics, statistics and financial theory
4
Mathematics and financial economics
4
Research bulletin / The Institute of Cost Accountants of India
4
Review of financial economics : RFE
4
The journal of asset management
4
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ECONIS (ZBW)
29
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1
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29
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date (oldest first)
1
Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
Hu, Yuan
;
Lindquist, W. Brent
;
Račev, Svetlozar T.
; …
- In:
Journal of economic dynamics & control
137
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013464578
Saved in:
2
CVA and vulnerable options in Stochastic volatility models
Alòs, Elisa
;
Antonelli, Fabio
;
Ramponi, A.
;
Scarlatti, S.
- In:
International journal of theoretical and applied finance
24
(
2021
)
2
,
pp. 1-34
Persistent link: https://www.econbiz.de/10012650293
Saved in:
3
The value of being lucky : option backdating and nondiversifiable risk
Henderson, Vicky
;
Sun, Jia
;
Whalley, A. Elizabeth
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10012652678
Saved in:
4
Sinh-acceleration for B-spline projection with option pricing applications
Bojarčenko, Svetlana I.
;
Levendorskij, Sergej Z.
; …
- In:
International journal of theoretical and applied finance
24
(
2021
)
8
,
pp. 1-50
Persistent link: https://www.econbiz.de/10012887408
Saved in:
5
Conic CVA and DVA for option portfolios
Bakel, Sjoerd van
;
Borovkova, Svetlana
;
Michielon, Matteo
- In:
International journal of theoretical and applied finance
23
(
2020
)
5
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012496518
Saved in:
6
It only takes a few moments to hedge options
Barletta, Andrea
;
Santucci de Magistris, Paolo
;
Sloth, David
- In:
Journal of economic dynamics & control
100
(
2019
),
pp. 251-269
Persistent link: https://www.econbiz.de/10012130971
Saved in:
7
Algorithmic differentiation for discontinuous payoffs
Daluiso, Roberto
;
Facchinetti, Giorgio
- In:
International journal of theoretical and applied finance
21
(
2018
)
4
,
pp. 1-41
Persistent link: https://www.econbiz.de/10011891863
Saved in:
8
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:
9
Sensitivities of Asian options in the black-scholes model
Pirjol, Dan
;
Zhu, Lingjiong
- In:
International journal of theoretical and applied finance
21
(
2018
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10011846502
Saved in:
10
The valuation of self-funding instalment warrants
Dewynne, Jeff N.
;
Hassan, Nadima el
- In:
International journal of theoretical and applied finance
20
(
2017
)
4
,
pp. 1-48
Persistent link: https://www.econbiz.de/10011687010
Saved in:
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