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~isPartOf:"International journal of financial engineering"
~isPartOf:"The journal of computational finance"
~subject:"Markov chain"
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Search: subject_exact:"Optionspreistheorie"
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Markov chain
Option pricing theory
370
Optionspreistheorie
370
Stochastic process
142
Stochastischer Prozess
142
Volatility
112
Volatilität
112
Option trading
90
Optionsgeschäft
90
Theorie
67
Theory
67
Derivat
56
Derivative
56
Monte Carlo simulation
51
Monte-Carlo-Simulation
51
Black-Scholes model
44
Black-Scholes-Modell
44
Yield curve
36
Zinsstruktur
36
Interest rate derivative
27
Zinsderivat
27
Analysis
23
Mathematical analysis
23
Portfolio selection
22
Portfolio-Management
22
option pricing
21
Experiment
20
Simulation
20
Swap
20
stochastic volatility
20
Credit risk
19
Kreditrisiko
19
Hedging
17
Finanzmathematik
16
Mathematical finance
16
Statistical distribution
16
Statistische Verteilung
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CAPM
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11
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Bain, Alan
1
Bhim, Louis
1
Cantarutti, Nicola
1
Chan, Leunglung
1
De Franco, Carmine
1
Giribone, Pier Giuseppe
1
Grossinho, Maria do Rosário
1
Guerra, João
1
Guerra, Manuel
1
Kawai, Reiichiro
1
Kienitz, Jörg
1
Kirkby, J. Lars
1
Leitao, Álvaro
1
Ligato, Simone
1
Liu, David
1
Mariapragassam, Matthieu
1
McWalter, Thomas A.
1
Mehrdoust, Farshid
1
Nguyen, Duy
1
Noorani, Idin
1
Ortiz-Garcia, Luis
1
Platen, Eckhard
1
Reisinger, Christoph
1
Rudd, Ralph
1
Tankov, Peter
1
Warin, Xavier
1
Zhang, Mengzhe
1
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International journal of financial engineering
The journal of computational finance
International journal of theoretical and applied finance
27
Quantitative finance
12
European journal of operational research : EJOR
11
Finance research letters
9
Insurance / Mathematics & economics
9
Finance and stochastics
8
Mathematical finance : an international journal of mathematics, statistics and financial theory
8
Annals of finance
7
Computational economics
7
Asia-Pacific financial markets
6
Energy economics
6
Applied mathematical finance
5
Journal of economic dynamics & control
5
Review of derivatives research
5
Review of quantitative finance and accounting
5
The journal of derivatives : the official publication of the International Association of Financial Engineers
5
The journal of futures markets
5
International journal of theoretical and applied finance : IJTAF
4
Journal of econometrics
4
Stevens Institute of Technology School of Business Research Paper
4
The European journal of finance
4
The North American journal of economics and finance : a journal of financial economics studies
4
Journal of banking & finance
3
Journal of financial and quantitative analysis : JFQA
3
Journal of mathematical finance
3
Operations research
3
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
3
Working paper / Department of Economics, Queen Mary
3
Central European journal of economic modelling and econometrics
2
Cogent economics & finance
2
Economic modelling
2
International review of economics & finance : IREF
2
International review of financial analysis
2
Journal of empirical finance
2
Journal of risk and financial management : JRFM
2
Mathematics and financial economics
2
North American actuarial journal
2
Série des documents de travail / Centre de Recherche en Économie et Statistique
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ECONIS (ZBW)
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1
Robust product Markovian quantization
Rudd, Ralph
;
McWalter, Thomas A.
;
Kienitz, Jörg
; …
- In:
The journal of computational finance
25
(
2022
)
4
,
pp. 55-78
Persistent link: https://www.econbiz.de/10014546287
Saved in:
2
The CTMC–Heston model : calibration and exotic option pricing with SWIFT
Leitao, Álvaro
;
Kirkby, J. Lars
;
Ortiz-Garcia, Luis
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 71-114
Persistent link: https://www.econbiz.de/10012544164
Saved in:
3
Calibration of local-stochastic and path-dependent volatility models to vanilla and no-touch options
Bain, Alan
;
Mariapragassam, Matthieu
;
Reisinger, Christoph
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 115-161
Persistent link: https://www.econbiz.de/10012544167
Saved in:
4
Option pricing in exponential Lévy models with transaction cost
Cantarutti, Nicola
;
Guerra, Manuel
;
Guerra, João
; …
- In:
The journal of computational finance
23
(
2020
)
5
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012295860
Saved in:
5
Pricing S&P500 barrier put option of American type under Heston-CIR model with regime-switching
Mehrdoust, Farshid
;
Noorani, Idin
- In:
International journal of financial engineering
6
(
2019
)
2
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012167493
Saved in:
6
Markov modulated jump-diffusions for currency options when regime switching risk is priced
Liu, David
- In:
International journal of financial engineering
6
(
2019
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10012314539
Saved in:
7
A hybrid Markov chain-tree valuation framework for stochastic volatility jump diffusion models
Nguyen, Duy
- In:
International journal of financial engineering
5
(
2018
)
4
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012028829
Saved in:
8
Polynomial upper and lower bounds for financial derivative price functions under regime-switching
Bhim, Louis
;
Kawai, Reiichiro
- In:
The journal of computational finance
22
(
2018
)
2
,
pp. 35-71
Persistent link: https://www.econbiz.de/10011976660
Saved in:
9
Flexible-forward pricing through Leisen-Reimer trees : implementation and performance comparison with traditional Markov chains
Giribone, Pier Giuseppe
;
Ligato, Simone
- In:
International journal of financial engineering
3
(
2016
)
2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011577108
Saved in:
10
Pricing volatility swaps in the Heston's stochastic volatility model with regime switching : a saddlepoint approximation method
Zhang, Mengzhe
;
Chan, Leunglung
- In:
International journal of financial engineering
3
(
2016
)
4
,
pp. 1-20
Persistent link: https://www.econbiz.de/10011673092
Saved in:
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