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~isPartOf:"International journal of financial markets and derivatives"
~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~subject:"Black-Scholes model"
~subject:"critical stock price"
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Search: subject:"Black-Scholes-Modell"
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Black-Scholes model
critical stock price
Black-Scholes-Modell
34
Theorie
17
Theory
17
Option pricing theory
12
Optionspreistheorie
12
Option trading
11
Optionsgeschäft
11
Volatility
8
Volatilität
8
Aktienoption
5
Stock option
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USA
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stochastic volatility
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1985-2000
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American call option
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Bakshi, Gurdip S.
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Brigo, Damiano
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1
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1
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1
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1
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International journal of financial markets and derivatives
The journal of derivatives : the official publication of the International Association of Financial Engineers
International journal of theoretical and applied finance
76
Mathematical finance : an international journal of mathematics, statistics and financial theory
40
Applied mathematical finance
37
The journal of futures markets
33
The journal of computational finance
31
Computational economics
29
Finance and stochastics
29
Review of derivatives research
25
International journal of financial engineering
22
Journal of mathematical finance
22
Quantitative finance
22
Journal of banking & finance
19
Asia-Pacific financial markets
18
The North American journal of economics and finance : a journal of financial economics studies
14
Journal of economic dynamics & control
13
Finance research letters
12
Journal of econometrics
12
Options : classic approaches to pricing and modelling
11
The European journal of finance
11
Decisions in economics and finance : DEF ; a journal of applied mathematics
10
CoFE discussion papers
9
Review of quantitative finance and accounting
9
Risks : open access journal
9
The review of financial studies
9
European journal of operational research : EJOR
8
International review of financial analysis
8
Research paper series / Swiss Finance Institute
8
The journal of risk and insurance : the journal of the American Risk and Insurance Association
8
Advances in futures and options research : a research annual
7
Journal of derivatives & hedge funds
7
Journal of risk and financial management : JRFM
7
The journal of finance : the journal of the American Finance Association
7
Annals of financial economics
6
Applied economics
6
Applied financial economics
6
Discussion paper / B
6
Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz
6
Finanzmarkt und Portfolio-Management
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ECONIS (ZBW)
34
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1
Volatility surface calibration to illiquid options
Nagy, László
;
Ormos, Mihály
- In:
The journal of derivatives : the official publication …
26
(
2019
)
3
,
pp. 87-96
Persistent link: https://www.econbiz.de/10012306175
Saved in:
2
Closed-form solution for the critical stock price and the price of perpetual American call options via the improved Mellin transforms
Fadugba, Sunday Emmanuel
;
Nwozo, Chuma Raphael
- In:
International journal of financial markets and derivatives
6
(
2018
)
4
,
pp. 269-286
Persistent link: https://www.econbiz.de/10011996903
Saved in:
3
Curve-fitting method for implied volatility
Wu, Desheng Dash
;
Liu, Tianxiang
- In:
The journal of derivatives : the official publication …
26
(
2018
)
2
,
pp. 19-37
Persistent link: https://www.econbiz.de/10011968684
Saved in:
4
Conic option pricing
Madan, Dilip B.
;
Schoutens, Wim
- In:
The journal of derivatives : the official publication …
25
(
2017
)
1
,
pp. 10-36
Persistent link: https://www.econbiz.de/10011931506
Saved in:
5
Compound option pricing under stochastic volatility
Leccadito, Arturo
;
Russo, Emilio
- In:
International journal of financial markets and derivatives
5
(
2016
)
2/4
,
pp. 97-110
Persistent link: https://www.econbiz.de/10011742310
Saved in:
6
Discrete-time stochastic volatility process in option pricing : a generalisation of the Amin-Ng and the Black-Scholes models
Pajor, Anna
- In:
International journal of financial markets and derivatives
5
(
2016
)
2/4
,
pp. 189-211
Persistent link: https://www.econbiz.de/10011742315
Saved in:
7
The valuation of compound options : a correction and an extension
Chen, Ren-Raw
;
He, Wei
- In:
The journal of derivatives : the official publication …
22
(
2015
)
4
,
pp. 92-104
Persistent link: https://www.econbiz.de/10011399781
Saved in:
8
Parity analysis of non-log normality of Black-Scholes and its inter-competence
Singh, Vipul Kumar
- In:
International journal of financial markets and derivatives
3
(
2014
)
4
,
pp. 358-391
Persistent link: https://www.econbiz.de/10010406900
Saved in:
9
Valuation of perpetual strangles : a quasi-analytical approach
Chuang, Chienmin
- In:
The journal of derivatives : the official publication …
21
(
2013
)
1
,
pp. 64-72
Persistent link: https://www.econbiz.de/10010191934
Saved in:
10
A model of stock option prices
Yang, Zhongjin
;
Yang, Cassidy
- In:
International journal of financial markets and derivatives
2
(
2011
)
4
,
pp. 288-297
Persistent link: https://www.econbiz.de/10009528840
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