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~isPartOf:"Annals of finance"
~isPartOf:"European journal of operational research : EJOR"
~isPartOf:"International review of economics & finance : IREF"
~subject:"Volatility"
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Search: subject_exact:"Option pricing theory"
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Volatility
Option pricing theory
233
Optionspreistheorie
233
Stochastic process
93
Stochastischer Prozess
93
Volatilität
90
Option trading
60
Optionsgeschäft
60
Derivat
55
Derivative
55
Finance
36
Option pricing
25
Real options analysis
21
Realoptionsansatz
21
Hedging
20
Markov chain
20
Markov-Kette
20
Portfolio selection
19
Portfolio-Management
19
CAPM
18
Monte Carlo simulation
17
Monte-Carlo-Simulation
17
Theorie
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Theory
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Stochastic volatility
15
Black-Scholes model
14
Black-Scholes-Modell
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Risiko
14
Risk
14
Experiment
13
Simulation
13
Pricing
12
Risikoprämie
12
Risk premium
12
Yield curve
12
Zinsstruktur
12
Credit risk
11
Kreditrisiko
11
Statistical distribution
11
Statistische Verteilung
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90
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Kirkby, J. Lars
3
Nguyen, Duy
3
Viens, Frederi G.
3
Ballotta, Laura
2
Cao, Yi
2
Chen, Jun-Home
2
Cui, Zhenyu
2
Date, Paresh
2
Elliott, Robert J.
2
Escobar, Marcos
2
Islyaev, Suren
2
Kyriakou, Ioannis
2
Lian, Yu-Min
2
Lin, Yueh-neng
2
Liu, Dehong
2
Liu, Xiaoquan
2
Ma, Jingtang
2
Rayée, Grégory
2
SenGupta, Indranil
2
Shiraya, Kenichiro
2
Wong, Hoi Ying
2
Adams, Michael B.
1
Badescu, Alexandru
1
Ballestra, Luca Vincenzo
1
Bandi, Chaithanya
1
Bao, Qunfang
1
Bayraktar, Erhan
1
Baño Rollin, Sebastian del
1
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1
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1
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1
Chen, Jing
1
Chen, Pengzhan
1
Chen, Yin-jung
1
Choi, Jaehyuk
1
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Annals of finance
European journal of operational research : EJOR
International review of economics & finance : IREF
International journal of theoretical and applied finance
156
Quantitative finance
105
The journal of futures markets
78
Journal of banking & finance
75
Applied mathematical finance
74
The journal of computational finance
65
Mathematical finance : an international journal of mathematics, statistics and financial theory
60
Review of derivatives research
49
International journal of financial engineering
47
Finance research letters
45
Finance and stochastics
40
Journal of econometrics
39
Computational economics
38
The North American journal of economics and finance : a journal of financial economics studies
38
Journal of economic dynamics & control
36
The journal of derivatives : the official publication of the International Association of Financial Engineers
36
Journal of mathematical finance
35
Risks : open access journal
30
Research paper series / Swiss Finance Institute
27
Insurance / Mathematics & economics
26
Journal of financial economics
26
Review of quantitative finance and accounting
26
The European journal of finance
23
Applied economics
22
Energy economics
20
Management science : journal of the Institute for Operations Research and the Management Sciences
20
Decisions in economics and finance : DEF ; a journal of applied mathematics
19
Journal of empirical finance
19
Journal of risk and financial management : JRFM
18
Economic modelling
17
Asia-Pacific financial markets
16
International review of financial analysis
16
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
16
Journal of financial and quantitative analysis : JFQA
15
The journal of finance : the journal of the American Finance Association
15
Asia-Pacific journal of financial studies
14
Discussion paper / Tinbergen Institute
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ECONIS (ZBW)
90
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1
An efficient and provable sequential quadratic programming method for American and swing option pricing
Shen, Jinye
;
Huang, Weizhang
;
Ma, Jingtang
- In:
European journal of operational research : EJOR
316
(
2024
)
1
,
pp. 19-35
Persistent link: https://www.econbiz.de/10014566281
Saved in:
2
A new bivariate approach for modeling the interaction between stock volatility and interest rate : an application to S&P500 returns and options
Ballestra, Luca Vincenzo
;
D'Innocenzo, Enzo
;
Guizzardi, …
- In:
European journal of operational research : EJOR
314
(
2024
)
3
,
pp. 1185-1194
Persistent link: https://www.econbiz.de/10014456945
Saved in:
3
Nonparametric estimates of option prices via Hermite basis functions
Marinelli, Carlo
;
D'Addona, Stefano
- In:
Annals of finance
19
(
2023
)
4
,
pp. 477-522
Persistent link: https://www.econbiz.de/10014448291
Saved in:
4
Variance swaps with mean reversion and multi-factor variance
Wu, Bin
;
Chen, Pengzhan
;
Ye, Wuyi
- In:
European journal of operational research : EJOR
315
(
2024
)
1
,
pp. 191-212
Persistent link: https://www.econbiz.de/10014562821
Saved in:
5
Affine Heston model style with self-exciting jumps and long memory
Leunga, Charles Guy Njike
;
Hainaut, Donatien
- In:
Annals of finance
20
(
2024
)
1
,
pp. 1-43
Persistent link: https://www.econbiz.de/10014566365
Saved in:
6
Pricing derivatives on foreign assets using Markov-modulated cojump-diffusion dynamics
Lian, Yu-Min
;
Chen, Jun-Home
;
Liao, Szu-Lang
- In:
International review of economics & finance : IREF
93
(
2024
)
2
,
pp. 503-519
Persistent link: https://www.econbiz.de/10014535585
Saved in:
7
Simulation schemes for the Heston model with Poisson conditioning
Choi, Jaehyuk
;
Kwok, Yue-Kuen
- In:
European journal of operational research : EJOR
314
(
2024
)
1
,
pp. 363-376
Persistent link: https://www.econbiz.de/10014456865
Saved in:
8
Constructing copulas using corrected Hermite polynomial expansion for estimating cross foreign exchange volatility
Shiraya, Kenichiro
;
Yamakami, Tomohisa
- In:
European journal of operational research : EJOR
314
(
2024
)
3
,
pp. 1195-1214
Persistent link: https://www.econbiz.de/10014456946
Saved in:
9
Does smile help detect the UK's price leadership change after MiFID?
Adams, Michael B.
;
Chen, Jing
;
Guo, Qian
;
Li, Xiaoxi
- In:
International review of economics & finance : IREF
84
(
2023
),
pp. 756-769
Persistent link: https://www.econbiz.de/10014364155
Saved in:
10
A hybrid stochastic volatility model in a Lévy market
El-Khatib, Youssef
;
Goutte, Stéphane
;
Makumbe, Zororo S.
; …
- In:
International review of economics & finance : IREF
85
(
2023
),
pp. 220-235
Persistent link: https://www.econbiz.de/10014424191
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