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~isPartOf:"Applied mathematical finance"
~isPartOf:"Journal of econometrics"
~isPartOf:"Review of quantitative finance and accounting"
~isPartOf:"Working papers"
~subject:"Martingale"
~subject:"Stochastischer Prozess"
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Search: subject_exact:"Optionspreistheorie"
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Martingale
Stochastischer Prozess
Option pricing theory
371
Optionspreistheorie
371
Volatility
139
Volatilität
139
Stochastic process
126
Derivat
81
Derivative
81
Option trading
80
Optionsgeschäft
80
Theorie
78
Theory
78
Black-Scholes model
40
Black-Scholes-Modell
40
Hedging
36
Statistical distribution
30
Statistische Verteilung
30
Estimation
27
Schätzung
27
Yield curve
27
Zinsstruktur
27
CAPM
25
Nichtparametrisches Verfahren
18
Nonparametric statistics
18
Swap
18
Credit risk
17
Kreditrisiko
17
Monte Carlo simulation
17
Monte-Carlo-Simulation
17
Risiko
17
Risk
17
Estimation theory
16
Schätztheorie
16
Option pricing
15
Portfolio selection
15
Portfolio-Management
15
ARCH model
14
ARCH-Modell
14
Markov chain
14
Markov-Kette
14
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62
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1
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Article
129
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1
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129
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129
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1
Graue Literatur
1
Non-commercial literature
1
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1
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English
130
Author
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Eberlein, Ernst
4
Sabino, Piergiacomo
4
Todorov, Viktor
4
Escobar, Marcos
3
Xiu, Dacheng
3
Zagst, Rudi
3
Aït-Sahalia, Yacine
2
Bakshi, Gurdip S.
2
Bondarenko, Oleg
2
Cao, Charles Q.
2
Chang, Chuang-chang
2
Cheang, Gerald H. L.
2
Chiarella, Carl
2
Elliott, Robert J.
2
Gardini, Matteo
2
Glau, Kathrin
2
Götz, Barbara
2
Kim, Young Shin
2
Lee, Cheng F.
2
Lin, Shih-kuei
2
Mayer, Philipp
2
Oosterlee, Cornelis Willebrordus
2
Sircar, Kaushik Ronnie
2
Tauchen, George Eugene
2
Wang, Bin
2
Yamazaki, Akira
2
Zheng, Xu
2
Abbring, Jaap H.
1
Aguilar, Jean-Philippe
1
Ahlip, Rehez
1
Alberts, J. S. C.
1
Albrecher, H.
1
Albrecher, Hansjörg
1
Alòs, Elisa
1
Amengual, Dante
1
Andersen, Torben
1
Aoudia, Djilali Ait
1
Arai, Takuji
1
Atkinson, Colin
1
Badran, Alexander
1
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Published in...
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Applied mathematical finance
Journal of econometrics
Review of quantitative finance and accounting
Working papers
International journal of theoretical and applied finance
224
Finance and stochastics
107
Quantitative finance
103
The journal of computational finance
87
Mathematical finance : an international journal of mathematics, statistics and financial theory
74
Insurance / Mathematics & economics
66
European journal of operational research : EJOR
60
International journal of financial engineering
56
Journal of mathematical finance
52
Computational economics
48
Risks : open access journal
46
The journal of futures markets
45
Review of derivatives research
44
Finance research letters
38
Journal of economic dynamics & control
37
The North American journal of economics and finance : a journal of financial economics studies
32
Journal of banking & finance
31
Annals of finance
30
Research paper series / Swiss Finance Institute
29
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
25
Asia-Pacific financial markets
24
Mathematical finance : an international journal of mathematics, statistics and financial economics
22
Journal of risk and financial management : JRFM
21
Energy economics
20
Mathematics and financial economics
20
The European journal of finance
20
The journal of derivatives : the official publication of the International Association of Financial Engineers
19
Mathematics of operations research
18
Economic modelling
17
Journal of financial economics
16
Operations research letters
16
SFB 649 discussion paper
16
Decisions in economics and finance : DEF ; a journal of applied mathematics
15
Mathematical methods of operations research
15
Swiss Finance Institute Research Paper
15
Applied economics
13
Discussion paper / B
13
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ECONIS (ZBW)
130
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1
Non-linear volatility with normal inverse Gaussian innovations : ad-hoc analytic option pricing
Mozumder, Sharif
;
Talukdar, Bakhtear
;
Kabir, M. Humayun
; …
- In:
Review of quantitative finance and accounting
62
(
2024
)
1
,
pp. 97-133
Persistent link: https://www.econbiz.de/10014502965
Saved in:
2
On the skew and curvature of the implied and local volatilities
Alòs, Elisa
;
García Lorite, David
;
Pravosud, Makar
- In:
Applied mathematical finance
30
(
2023
)
1
,
pp. 47-67
Persistent link: https://www.econbiz.de/10014390289
Saved in:
3
Variance Gamma model in hedging vanilla and exotic options
Bollin, Bartłomiej
;
Ślepaczuk, Robert
-
2020
Persistent link: https://www.econbiz.de/10012322240
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
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
Saved in:
6
Testing for the presence of jump components in jump diffusion models
Wang, Bin
;
Zheng, Xu
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 483-509
Persistent link: https://www.econbiz.de/10013464085
Saved in:
7
Option pricing under stock market cycles with jump risks : evidence from the S&P 500 index
Wang, Shin-yun
;
Chuang, Ming-Che
;
Lin, Shih-kuei
;
Shyu, …
- In:
Review of quantitative finance and accounting
56
(
2021
)
1
,
pp. 25-51
Persistent link: https://www.econbiz.de/10012432624
Saved in:
8
Assessing models of individual equity option prices
Bakshi, Gurdip S.
;
Cao, Charles Q.
;
Zhong, Zhaodong
- In:
Review of quantitative finance and accounting
57
(
2021
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012549885
Saved in:
9
Closed-form implied volatility surfaces for stochastic volatility models with jumps
Aït-Sahalia, Yacine
;
Li, Chenxu
;
Li, Chen Xu
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 364-392
Persistent link: https://www.econbiz.de/10012619431
Saved in:
10
Nonparametric estimation of jump diffusion models
Park, Joon Y.
;
Wang, Bin
- In:
Journal of econometrics
222
(
2021
)
1,3
,
pp. 688-715
Persistent link: https://www.econbiz.de/10012619778
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