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~isPartOf:"Asia-Pacific financial markets"
~isPartOf:"The journal of futures markets"
~subject:"CIR model"
~subject:"Optionspreistheorie"
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Search: subject_exact:"Parisian option"
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CIR model
Optionspreistheorie
Option trading
211
Optionsgeschäft
211
Option pricing theory
97
Volatility
65
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65
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48
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47
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Kang, Jangkoo
4
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Asia-Pacific financial markets
The journal of futures markets
International journal of theoretical and applied finance
83
Review of derivatives research
58
The journal of computational finance
57
Applied mathematical finance
51
Quantitative finance
49
The journal of derivatives : the official publication of the International Association of Financial Engineers
47
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43
Finance research letters
40
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37
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ECONIS (ZBW)
97
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1
Estimation of rare disaster concerns from option prices : an arbitrage-free RND-based smile construction approach
Albert, Pascal
;
Herold, Michael
;
Muck, Matthias
- In:
The journal of futures markets
43
(
2023
)
12
,
pp. 1807-1835
Persistent link: https://www.econbiz.de/10014433013
Saved in:
2
Term spreads of implied volatility smirk and variance risk premium
Guo, Wei
;
Ruan, Xinfeng
;
Gehricke, Sebastian A.
;
Zhang, …
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 829-857
Persistent link: https://www.econbiz.de/10014293246
Saved in:
3
Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 925-950
Persistent link: https://www.econbiz.de/10014293270
Saved in:
4
Harvesting the volatility smile in a large emerging market : a Dynamic Nelson-Siegel approach
Kumar, Sudarshan
;
Agarwalla, Sobhesh Kumar
;
Varma, …
- In:
The journal of futures markets
43
(
2023
)
11
,
pp. 1615-1644
Persistent link: https://www.econbiz.de/10014432920
Saved in:
5
Pricing arithmetic Asian and Amerasian options : a diffusion operator integral expansion approach
Ding, Kailin
;
Cui, Zhenyu
;
Yang, Xiaoguang
- In:
The journal of futures markets
43
(
2023
)
2
,
pp. 217-241
Persistent link: https://www.econbiz.de/10014293009
Saved in:
6
Pricing multiasset time-varying double-barrier options with time-dependent parameters
Lyuu, Yuh-dauh
;
Zhang, Yu-Quan
- In:
The journal of futures markets
43
(
2023
)
3
,
pp. 404-434
Persistent link: https://www.econbiz.de/10014293107
Saved in:
7
Analytically pricing exchange options with stochastic liquidity and regime switching
He, Xin-Jiang
;
Lin, Sha
- In:
The journal of futures markets
43
(
2023
)
5
,
pp. 662-676
Persistent link: https://www.econbiz.de/10014293179
Saved in:
8
American strangle options with arbitrary strikes
Zaevski, Tsvetelin S.
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 880-903
Persistent link: https://www.econbiz.de/10014293264
Saved in:
9
Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure
He, Xin-Jiang
;
Lin, Sha
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 951-967
Persistent link: https://www.econbiz.de/10014293271
Saved in:
10
Piecewise linear double barrier options
Lee, Hangsuck
;
Ha, Hongjun
;
Lee, Minha
- In:
The journal of futures markets
42
(
2022
)
1
,
pp. 125-151
Persistent link: https://www.econbiz.de/10012796299
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