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~isPartOf:"International review of economics & finance : IREF"
~isPartOf:"Journal of economic dynamics & control"
~subject:"Black-Scholes model"
~subject:"Statistische Verteilung"
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Search: subject_exact:"Option pricing theory"
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Black-Scholes model
Statistische Verteilung
Option pricing theory
178
Optionspreistheorie
178
Option trading
58
Optionsgeschäft
58
Volatility
58
Volatilität
58
Stochastic process
45
Stochastischer Prozess
45
Theorie
45
Theory
45
Derivat
34
Derivative
34
Portfolio selection
23
Portfolio-Management
23
Hedging
20
CAPM
15
Black-Scholes-Modell
12
Stochastic volatility
12
Statistical distribution
11
Estimation
10
Monte Carlo simulation
10
Monte-Carlo-Simulation
10
Risikoprämie
10
Risk premium
10
Schätzung
10
Transaction costs
10
Transaktionskosten
10
Credit risk
9
Index futures
9
Index-Futures
9
Kreditrisiko
9
Option pricing
8
Real options analysis
8
Realoptionsansatz
8
EU countries
7
EU-Staaten
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Markov chain
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Markov-Kette
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English
23
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Wan, Xiangwei
2
Yang, Nian
2
Babbs, Simon H.
1
Ballestra, Luca Vincenzo
1
Barletta, Andrea
1
Branger, Nicole
1
Chen, Nan
1
Chen, Son-nan
1
Chen, Wen-ting
1
Cui, Zhenyu
1
El-Khatib, Youssef
1
Fabozzi, Frank J.
1
Goutte, Stéphane
1
Guidolin, Massimo
1
Guo, Weiyu
1
Hsu, Pao-Peng
1
Hu, Yuan
1
Jondeau, Eric
1
Kaeck, Andreas
1
Kim, Bara
1
Kim, Jeongsim
1
Kim, Jerim
1
Kraft, Holger
1
Kühn, Christoph
1
Li, Zhe
1
Lindquist, W. Brent
1
Lindset, Snorre
1
Liu, Yanchu
1
Liu, Yong-Jun
1
Lund, Arne-Christian
1
Ma, Jingtang
1
Mahayni, Antje
1
Makumbe, Zororo S.
1
Muroi, Yoshifumi
1
Pacelli, Graziella
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Račev, Svetlozar T.
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Rockinger, Michael
1
Santucci de Magistris, Paolo
1
Schlögl, Erik
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International review of economics & finance : IREF
Journal of economic dynamics & control
International journal of theoretical and applied finance
68
Computational economics
39
Applied mathematical finance
34
Quantitative finance
34
The journal of computational finance
33
The journal of futures markets
32
Journal of mathematical finance
28
Review of derivatives research
26
International journal of financial engineering
24
Journal of banking & finance
22
Finance and stochastics
21
The journal of derivatives : the official publication of the International Association of Financial Engineers
20
Journal of econometrics
18
The North American journal of economics and finance : a journal of financial economics studies
17
Mathematical finance : an international journal of mathematics, statistics and financial theory
16
European journal of operational research : EJOR
14
Review of quantitative finance and accounting
14
Risks : open access journal
14
Asia-Pacific financial markets
11
Finance research letters
11
Decisions in economics and finance : DEF ; a journal of applied mathematics
9
Journal of risk and financial management : JRFM
9
Applied economics
8
The European journal of finance
8
Insurance / Mathematics & economics
7
International journal of financial markets and derivatives
7
International journal of theoretical and applied finance : IJTAF
7
Journal of derivatives & hedge funds
7
Journal of empirical finance
7
Journal of risk
7
Management science : journal of the Institute for Operations Research and the Management Sciences
7
Mathematics and financial economics
7
Research paper series / Swiss Finance Institute
7
SFB 649 discussion paper
7
Computational Management Science : CMS
6
Discussion paper / B
6
Economic modelling
6
Journal of financial economics
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ECONIS (ZBW)
23
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1
A hybrid stochastic volatility model in a Lévy market
El-Khatib, Youssef
;
Goutte, Stéphane
;
Makumbe, Zororo S.
; …
- In:
International review of economics & finance : IREF
85
(
2023
),
pp. 220-235
Persistent link: https://www.econbiz.de/10014424191
Saved in:
2
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:
3
Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps
Wan, Xiangwei
;
Yang, Nian
- In:
Journal of economic dynamics & control
125
(
2021
),
pp. 1-37
Persistent link: https://www.econbiz.de/10012666952
Saved in:
4
CTMC integral equation method for American options under stochastic local volatility models
Ma, Jingtang
;
Yang, Wensheng
;
Cui, Zhenyu
- In:
Journal of economic dynamics & control
128
(
2021
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012628259
Saved in:
5
It only takes a few moments to hedge options
Barletta, Andrea
;
Santucci de Magistris, Paolo
;
Sloth, David
- In:
Journal of economic dynamics & control
100
(
2019
),
pp. 251-269
Persistent link: https://www.econbiz.de/10012130971
Saved in:
6
Pricing discrete barrier options under jump-diffusion model with liquidity risk
Li, Zhe
;
Zhang, Wei-guo
;
Liu, Yong-Jun
;
Zhang, Yue
- In:
International review of economics & finance : IREF
59
(
2019
),
pp. 347-368
Persistent link: https://www.econbiz.de/10012202898
Saved in:
7
Forward-looking information on growth and uncertainty implied by derivative securities : evidence from an emerging market
Yen, Yu-min
- In:
International review of economics & finance : IREF
62
(
2019
),
pp. 240-266
Persistent link: https://www.econbiz.de/10012205548
Saved in:
8
Pricing and hedging barrier options under a Markov-modulated double exponential jump diffusion-CIR model
Chen, Son-nan
;
Hsu, Pao-Peng
- In:
International review of economics & finance : IREF
56
(
2018
),
pp. 330-346
Persistent link: https://www.econbiz.de/10012033703
Saved in:
9
Approximate arbitrage-free option pricing under the SABR model
Yang, Nian
;
Chen, Nan
;
Liu, Yanchu
;
Wan, Xiangwei
- In:
Journal of economic dynamics & control
83
(
2017
),
pp. 198-214
Persistent link: https://www.econbiz.de/10011915586
Saved in:
10
Option-implied probability distributions : How reliable? How jagged?
Taboga, Marco
- In:
International review of economics & finance : IREF
45
(
2016
),
pp. 453-469
Persistent link: https://www.econbiz.de/10011626502
Saved in:
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