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~isPartOf:"Asia-Pacific financial markets"
~isPartOf:"International journal of theoretical and applied finance"
~subject:"CIR model"
~subject:"Optionspreistheorie"
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CIR model
Optionspreistheorie
Option trading
133
Optionsgeschäft
133
Option pricing theory
101
Volatility
38
Volatilität
38
Stochastic process
32
Stochastischer Prozess
32
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Levendorskij, Sergej Z.
4
Cui, Zhenyu
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Antonelli, Fabio
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2
Boyarchenko, Mitya
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Elliott, Robert J.
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Roux, Alet
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Siu, Tak Kuen
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Alfeus, Mesias
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Asia-Pacific financial markets
International journal of theoretical and applied finance
The journal of futures markets
84
Review of derivatives research
58
The journal of computational finance
58
Quantitative finance
53
Applied mathematical finance
52
The journal of derivatives : the official publication of the International Association of Financial Engineers
47
Finance research letters
43
Journal of banking & finance
43
Mathematical finance : an international journal of mathematics, statistics and financial theory
38
Journal of economic dynamics & control
37
The North American journal of economics and finance : a journal of financial economics studies
36
International journal of financial engineering
32
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Finance and stochastics
28
European journal of operational research : EJOR
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Journal of mathematical finance
26
Research paper series / Swiss Finance Institute
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International review of economics & finance : IREF
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19
Risks : open access journal
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Review of quantitative finance and accounting
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The European journal of finance
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Economic modelling
16
The journal of derivatives : JOD
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Insurance / Mathematics & economics
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Applied economics
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Swiss Finance Institute Research Paper
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Journal of risk and financial management : JRFM
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Annals of finance
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Decisions in economics and finance : DEF ; a journal of applied mathematics
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International review of financial analysis
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Journal of financial markets
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Energy economics
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Journal of derivatives & hedge funds
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Journal of risk
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Operations research letters
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ECONIS (ZBW)
101
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1
Closed form optimal exercise boundary of the American put option
Kitapbayev, Yerkin
- In:
International journal of theoretical and applied finance
24
(
2021
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012650204
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
Consistent upper price bounds for exotic options
Bäuerle, Nicole
;
Schmithals, Daniel Matthias
- In:
International journal of theoretical and applied finance
24
(
2021
)
2
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012650310
Saved in:
4
Pricing American options with the Runge-Kutta-Legendre finite difference scheme
Le Floc'h, Fabien
- In:
International journal of theoretical and applied finance
24
(
2021
)
3
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012652624
Saved in:
5
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:
6
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:
7
Pricing Asian options with correlators
Lavagnini, Silvia
- In:
International journal of theoretical and applied finance
24
(
2021
)
8
,
pp. 1-44
Persistent link: https://www.econbiz.de/10012887425
Saved in:
8
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:
9
Collocating volatility : a competitive alternative to stochastic local volatility models
Stoep, Anthonie W. van der
;
Grzelak, Lech A.
; …
- In:
International journal of theoretical and applied finance
23
(
2020
)
6
,
pp. 1-42
Persistent link: https://www.econbiz.de/10012496758
Saved in:
10
An approximation method for pricing continuous barrier options under multi-asset local stochastic volatility models
Shiraya, Kenichiro
- In:
International journal of theoretical and applied finance
23
(
2020
)
8
,
pp. 1-20
Persistent link: https://www.econbiz.de/10012496929
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