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subject:"Derivative"
~isPartOf:"Journal of economic dynamics & control"
~subject:"Theory"
~type:"article"
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Search: subject_exact:"Asian option"
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Derivative
Theory
Option trading
47
Optionsgeschäft
47
Option pricing theory
37
Optionspreistheorie
37
Stochastic process
11
Stochastischer Prozess
11
Theorie
11
Volatility
11
Volatilität
11
Derivat
8
Black-Scholes model
6
Black-Scholes-Modell
6
Portfolio selection
6
Portfolio-Management
6
Statistical distribution
6
Statistische Verteilung
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Numerical analysis
4
Numerisches Verfahren
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3
EU-Staaten
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Hedging
3
Simulation
3
Transaction costs
3
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2
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American option
2
American options
2
Anleihe
2
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2
Bond
2
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2
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European option
2
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2
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2
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2
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18
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18
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English
18
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Chiarella, Carl
2
Joshi, Mark S.
2
Tang, Robert
2
Barletta, Andrea
1
Benhamou, Eric
1
Beveridge, Christopher
1
Broadie, Mark
1
Consiglio, Andrea
1
Damgaard, Anders
1
Duguet, Alexandre
1
Ewald, Christian-Oliver
1
Fabozzi, Frank J.
1
Forsyth, Peter A.
1
Gao, Bin
1
Hassan, Nadima el
1
Hu, Yuan
1
Huang, Jing-Zhi
1
Jondeau, Eric
1
Kuczera, Adam
1
Lindquist, W. Brent
1
Menkens, Olaf
1
Muroi, Yoshifumi
1
Pierides, Yiannos A.
1
Račev, Svetlozar T.
1
Rockinger, Michael
1
Santucci de Magistris, Paolo
1
Sarkar, Sudipto
1
Shirvani, Abootaleb
1
Sloth, David
1
Subrahmanyam, Marti G.
1
Suda, Shintaro
1
Tebaldi, Claudio
1
Ting, Sai Hung Marten
1
Vetzal, Kenneth R.
1
Zenios, Stauros Andrea
1
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1
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Journal of economic dynamics & control
The journal of futures markets
47
International journal of theoretical and applied finance
43
Mathematical finance : an international journal of mathematics, statistics and financial theory
38
The journal of derivatives : the official publication of the International Association of Financial Engineers
35
Journal of banking & finance
32
Review of derivatives research
32
Finance and stochastics
27
Applied mathematical finance
26
Journal of financial economics
20
The journal of computational finance
20
International review of economics & finance : IREF
16
The review of financial studies
15
Finance research letters
14
International journal of financial engineering
14
Journal of financial markets
14
Quantitative finance
14
The North American journal of economics and finance : a journal of financial economics studies
14
European journal of operational research : EJOR
12
The European journal of finance
12
The journal of derivatives : JOD
12
The journal of finance : the journal of the American Finance Association
12
Asia-Pacific financial markets
10
Finanzmarkt und Portfolio-Management
10
International review of financial analysis
10
Finance : revue de l'Association Française de Finance
9
Management science : journal of the Institute for Operations Research and the Management Sciences
9
Decisions in economics and finance : DEF ; a journal of applied mathematics
8
Journal of mathematical finance
8
Applied economics letters
7
Journal of econometrics
7
Journal of risk and financial management : JRFM
7
Risks : open access journal
7
Applied financial economics
6
Economic modelling
6
Energy economics
6
Global finance journal
6
Journal of financial and quantitative analysis : JFQA
6
Review of quantitative finance and accounting
6
Wirtschaftswissenschaftliches Studium : WiSt ; Zeitschrift für Studium und Forschung
6
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ECONIS (ZBW)
18
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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
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:
3
Computation of Greeks using binomial trees in a jump-diffusion model
Suda, Shintaro
;
Muroi, Yoshifumi
- In:
Journal of economic dynamics & control
51
(
2015
),
pp. 93-110
Persistent link: https://www.econbiz.de/10011474273
Saved in:
4
Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
Joshi, Mark S.
;
Tang, Robert
- In:
Journal of economic dynamics & control
40
(
2014
),
pp. 25-45
Persistent link: https://www.econbiz.de/10010424450
Saved in:
5
Practical policy iteration : generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
Beveridge, Christopher
;
Joshi, Mark S.
;
Tang, Robert
- In:
Journal of economic dynamics & control
37
(
2013
)
7
,
pp. 1342-1361
Persistent link: https://www.econbiz.de/10009751160
Saved in:
6
Asian and Australian options : a common perspective
Ewald, Christian-Oliver
;
Menkens, Olaf
;
Ting, Sai Hung …
- In:
Journal of economic dynamics & control
37
(
2013
)
5
,
pp. 1001-1018
Persistent link: https://www.econbiz.de/10009738291
Saved in:
7
Evaluation of American strangles
Chiarella, Carl
;
Ziogas, Andrew
- In:
Journal of economic dynamics & control
29
(
2005
)
1/2
,
pp. 31-62
Persistent link: https://www.econbiz.de/10002590105
Saved in:
8
Hedging using simulation : a least squares approach
Tebaldi, Claudio
- In:
Journal of economic dynamics & control
29
(
2005
)
8
,
pp. 1287-1312
Persistent link: https://www.econbiz.de/10003002256
Saved in:
9
Conditional volatility, skewness, and kurtosis : existence, persistence, and comovements
Jondeau, Eric
;
Rockinger, Michael
- In:
Journal of economic dynamics & control
27
(
2003
)
10
,
pp. 1699-1737
Persistent link: https://www.econbiz.de/10001755410
Saved in:
10
Small dimension PDE for discrete Asian options
Benhamou, Eric
;
Duguet, Alexandre
- In:
Journal of economic dynamics & control
27
(
2003
)
11/12
,
pp. 2095-2114
Persistent link: https://www.econbiz.de/10001768895
Saved in:
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