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~isPartOf:"Computational economics"
~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
287
Optionspreistheorie
287
Stochastic process
114
Stochastischer Prozess
114
Volatilität
102
Option trading
76
Optionsgeschäft
76
Derivat
58
Derivative
58
Option pricing
43
Black-Scholes model
40
Black-Scholes-Modell
40
Finance
37
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34
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Hedging
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23
Real options analysis
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Realoptionsansatz
22
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20
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Portfolio selection
15
Portfolio-Management
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Stochastic volatility
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Pricing
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CAPM
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Credit risk
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Estimation theory
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Kreditrisiko
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Real options
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Schätztheorie
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102
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Ballotta, Laura
2
Cao, Yi
2
Carr, Peter
2
Chen, Jun-Home
2
Cui, Zhenyu
2
Date, Paresh
2
Fabozzi, Frank J.
2
He, Xin-Jiang
2
Huh, Jeonggyu
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Islyaev, Suren
2
Itkin, Andrey
2
Kim, See-Woo
2
Kirkby, J. Lars
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Kyriakou, Ioannis
2
Lian, Yu-Min
2
Lin, Sha
2
Lin, Yueh-neng
2
Liu, Dehong
2
Liu, Xiaoquan
2
Ma, Jingtang
2
Ma, Yong-Ki
2
Mehrdoust, Farshid
2
Nguyen, Duy
2
Rayée, Grégory
2
Shiraya, Kenichiro
2
Tsekrekos, Andrianos E.
2
Wong, Hoi Ying
2
Abdi-Mazraeh, Somayeh
1
Adams, Michael B.
1
Ahmadian, Davood
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Badescu, Alexandru
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Ballestra, Luca Vincenzo
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Bandi, Chaithanya
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Bao, Qunfang
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Baño Rollin, Sebastian del
1
Bertsimas, Dimitris
1
Bhuruth, Muddun
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Bianchi, Michele Leonardo
1
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1
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Computational economics
European journal of operational research : EJOR
International review of economics & finance : IREF
International journal of theoretical and applied finance
156
Quantitative finance
104
The journal of futures markets
78
Journal of banking & finance
75
Applied mathematical finance
72
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
The North American journal of economics and finance : a journal of financial economics studies
38
The journal of derivatives : the official publication of the International Association of Financial Engineers
36
Journal of economic dynamics & control
35
Journal of mathematical finance
35
Risks : open access journal
28
Research paper series / Swiss Finance Institute
27
Insurance / Mathematics & economics
26
Journal of financial economics
26
Review of quantitative finance and accounting
26
Annals of finance
25
The European journal of finance
23
Applied economics
21
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
Energy economics
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
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Journal of financial and quantitative analysis : JFQA
15
The journal of finance : the journal of the American Finance Association
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Asia-Pacific journal of financial studies
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Discussion paper / Tinbergen Institute
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ECONIS (ZBW)
102
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1
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:
2
An efficient and provable sequential quadratic programming method for American and swing option pricing
Ma, Jingtang
- In:
European journal of operational research : EJOR
316
(
2024
)
1
,
pp. 19-35
Persistent link: https://www.econbiz.de/10014566281
Saved in:
3
Derivation and application of some fractional black-scholes equations driven by fractional G-Brownian motion
Guo, Changhong
;
Fang, Shaomei
;
He, Yong
- In:
Computational economics
61
(
2023
)
4
,
pp. 1681-1705
Persistent link: https://www.econbiz.de/10014327122
Saved in:
4
Modeling tail dependence using stochastic volatility model
Kim, See-Woo
;
Ma, Yong-Ki
;
Necula, Ciprian
- In:
Computational economics
62
(
2023
)
1
,
pp. 129-147
Persistent link: https://www.econbiz.de/10014327243
Saved in:
5
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:
6
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:
7
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:
8
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:
9
A practical Monte Carlo method for pricing equity‑linked securities with time‑dependent volatility and interest rate
Kim, Sangkwon
;
Lyu, Jisang
;
Lee, Wonjin
;
Park, Eunchae
; …
- In:
Computational economics
63
(
2024
)
5
,
pp. 2069-2086
Persistent link: https://www.econbiz.de/10014550869
Saved in:
10
Valuations of variance and volatility swaps under double Heston jump‑diffusion model with approximative fractional stochastic volatility
Wang, Ke
;
Guo, Xunxiang
- In:
Computational economics
63
(
2024
)
4
,
pp. 1543-1573
Persistent link: https://www.econbiz.de/10014549124
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