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~isPartOf:"Asia-Pacific financial markets"
~isPartOf:"Journal of economic dynamics & control"
~isPartOf:"The journal of derivatives : JOD"
~person:"Carr, Peter"
~person:"Costabile, Massimo"
~person:"Elliott, Robert J."
~person:"Fabozzi, Frank J."
~person:"Haucap, Justus"
~person:"Jeon, Doh-Shin"
~person:"Madan, Dilip B."
~person:"Muroi, Yoshifumi"
~subject:"Option pricing theory"
~subject:"Telekommunikation"
~type_genre:"Article in journal"
~type_genre:"Aufsatz im Buch"
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Option pricing theory
Telekommunikation
Optionspreistheorie
17
Derivat
8
Derivative
8
Stochastic process
8
Stochastischer Prozess
8
Option trading
6
Optionsgeschäft
6
Hedging
5
Volatility
5
Volatilität
5
Portfolio selection
4
Portfolio-Management
4
CAPM
3
Statistical distribution
3
Statistische Verteilung
3
Theorie
3
Theory
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options
3
Black-Scholes model
2
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2
Credit risk
2
Derivatives
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statistical methods
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1
Bivariate diffusion limit
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1
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Cherny-Shiryaev-Yor invariance principle
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17
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Carr, Peter
Costabile, Massimo
Elliott, Robert J.
Fabozzi, Frank J.
Haucap, Justus
Jeon, Doh-Shin
Madan, Dilip B.
Muroi, Yoshifumi
Takahashi, Akihiko
9
Cui, Zhenyu
5
Dai, Min
5
Branger, Nicole
3
Breton, Michèle
3
Broadie, Mark
3
Chang, Chien-hung
3
Fujii, Masaaki
3
Glasserman, Paul
3
Kort, Peter M.
3
Leisen, Dietmar
3
Lin, Yueh-neng
3
Shirakawa, Hiroshi
3
Siu, Tak Kuen
3
Taylor, Stephen
3
Yamada, Yuji
3
Zenios, Stauros Andrea
3
Zhang, Jin E.
3
Badescu, Alexandru
2
Boyle, Phelim P.
2
Cai, Ning
2
Chen, Wen-ting
2
Cheng, Jun
2
Chiarella, Carl
2
Consiglio, Andrea
2
Damgaard, Anders
2
Das, Sanjiv R.
2
Duan, Jin-Chuan
2
Forsyth, Peter A.
2
Fujita, Takahiko
2
Hishida, Yuji
2
Ibraimi, Meriton
2
Itkin, Andrey
2
Joshi, Mark S.
2
Kariya, Takeaki
2
Kim, Bara
2
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Asia-Pacific financial markets
Journal of economic dynamics & control
The journal of derivatives : JOD
International journal of theoretical and applied finance
15
Mathematical finance : an international journal of mathematics, statistics and financial theory
14
Applied mathematical finance
10
The journal of computational finance
8
Finance and stochastics
7
Annals of finance
6
The journal of fixed income
6
Computational economics
5
Finance research letters
5
Insurance / Mathematics & economics
5
Review of derivatives research
5
The journal of derivatives : the official publication of the International Association of Financial Engineers
5
Valuation, financial modeling, and quantitative tools
5
European journal of operational research : EJOR
4
Journal of banking & finance
4
Journal of financial economics
4
The journal of finance : the journal of the American Finance Association
4
Decisions in economics and finance : DEF ; a journal of applied mathematics
3
European finance review : the official journal of the European Finance Association
3
International journal of financial engineering
3
Journal of risk and financial management : JRFM
3
Quantitative finance
3
The European journal of finance
3
The journal of futures markets
3
International journal of financial markets and derivatives
2
Journal of financial and quantitative analysis : JFQA
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Journal of risk
2
Review of quantitative finance and accounting
2
The handbook of fixed income securities
2
The journal of business : B
2
Annals of operations research ; volume 275, numbers 2 (April 2019)
1
Applied economics
1
Applied financial economics
1
Asia-Pacific journal of risk and insurance : APJRI
1
Digital finance : smart data analytics, investment innovation, and financial technology
1
Econometric reviews
1
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ECONIS (ZBW)
17
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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
American option
pricing
and filtering with a hidden regime-switching jump diffusion
Siu, Tak Kuen
;
Elliott, Robert J.
- In:
The journal of derivatives : JOD
29
(
2022
)
3
,
pp. 106-123
Persistent link: https://www.econbiz.de/10013174827
Saved in:
3
Semi-analytical
pricing
of barrier options in the time-dependent Heston model
Carr, Peter
;
Itkin, Andrey
;
Muravey, Dmitry
- In:
The journal of derivatives : JOD
30
(
2022
)
2
,
pp. 141-171
Persistent link: https://www.econbiz.de/10014231115
Saved in:
4
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:
5
Local volatility and the recovery rate of credit default swaps
Jansen, Jeroen
;
Das, Sanjiv R.
;
Fabozzi, Frank J.
- In:
Journal of economic dynamics & control
92
(
2018
),
pp. 1-29
Persistent link: https://www.econbiz.de/10011974230
Saved in:
6
A bivariate lattice model to compute risk measures in life insurance policies
Costabile, Massimo
- In:
The journal of derivatives : JOD
28
(
2021
)
3
,
pp. 123-139
Persistent link: https://www.econbiz.de/10012486033
Saved in:
7
Semi-analytical solutions for barrier and American options written on a time-dependent Ornstein-Uhlenbeck process
Carr, Peter
;
Itkin, Andrey
- In:
The journal of derivatives : JOD
29
(
2021
)
1
,
pp. 9-26
Persistent link: https://www.econbiz.de/10012612941
Saved in:
8
Pricing
and hedging options on assets with options on related assets
Madan, Dilip B.
;
Wang, King
- In:
The journal of derivatives : JOD
29
(
2021
)
1
,
pp. 27-47
Persistent link: https://www.econbiz.de/10012612942
Saved in:
9
Option
pricing
with greed and fear factor : the rational finance approach
Shirvani, Abootaleb
;
Fabozzi, Frank J.
;
Racheva-Iotova, …
- In:
The journal of derivatives : JOD
29
(
2021
)
2
,
pp. 77-119
Persistent link: https://www.econbiz.de/10012698127
Saved in:
10
Factor models for option
pricing
Carr, Peter
;
Madan, Dilip B.
- In:
Asia-Pacific financial markets
19
(
2012
)
4
,
pp. 319-329
Persistent link: https://www.econbiz.de/10009705364
Saved in:
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