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~isPartOf:"International review of financial analysis"
~isPartOf:"Review of derivatives research"
~subject:"Black-Scholes-Modell"
~subject:"Kreditrisiko"
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Black-Scholes-Modell
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Option trading
101
Optionsgeschäft
101
Option pricing theory
70
Optionspreistheorie
70
Volatility
39
Volatilität
39
Derivat
25
Derivative
25
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Black-Scholes model
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Wang, Xingchun
3
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1
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1
Chance, Don M.
1
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International review of financial analysis
Review of derivatives research
International journal of theoretical and applied finance
27
The North American journal of economics and finance : a journal of financial economics studies
15
Applied mathematical finance
12
International journal of financial engineering
12
The journal of computational finance
12
The journal of derivatives : the official publication of the International Association of Financial Engineers
12
Mathematical finance : an international journal of mathematics, statistics and financial theory
11
Computational economics
10
Quantitative finance
10
Finance research letters
8
Journal of mathematical finance
8
Journal of banking & finance
7
Journal of economic dynamics & control
7
Risks : open access journal
7
The journal of futures markets
7
Finance and stochastics
6
Applied economics
5
Journal of derivatives & hedge funds
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Review of quantitative finance and accounting
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The European journal of finance
5
Asia-Pacific financial markets
4
Decisions in economics and finance : DEF ; a journal of applied mathematics
4
Economic modelling
4
European journal of operational research : EJOR
4
International journal of theoretical and applied finance : IJTAF
4
International review of economics & finance : IREF
4
Journal of financial economics
4
Journal of risk and financial management : JRFM
4
Annals of finance
3
Journal of econometrics
3
Journal of emerging market finance
3
Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
3
Working paper series / Centre for Practical Quantitative Finance
3
Annals of financial economics
2
Applied economics letters
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Applied financial economics
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ECONIS (ZBW)
19
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1
Implied volatility surfaces : a comprehensive analysis using half a billion option prices
Ulrich, Maxim
;
Zimmer, Lukas
;
Merbecks, Constantin
- In:
Review of derivatives research
26
(
2023
)
2/3
,
pp. 135-169
Persistent link: https://www.econbiz.de/10014423871
Saved in:
2
Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities
Muck, Matthias
- In:
Review of derivatives research
25
(
2022
)
3
,
pp. 293-314
Persistent link: https://www.econbiz.de/10013457626
Saved in:
3
The impact of the leverage effect on the implied volatility smile : evidence for the German option market
Rathgeber, A. W.
;
Stadler, Johannes
;
Stöckl, S.
- In:
Review of derivatives research
24
(
2021
)
2
,
pp. 95-133
Persistent link: https://www.econbiz.de/10012549093
Saved in:
4
Risk appetite and option prices : evidence from the Chinese SSE50 options market
Liu, Qing
;
Wang, Shouyang
;
Sui, Cong
- In:
International review of financial analysis
86
(
2023
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014248927
Saved in:
5
Pricing vulnerable basket spread options with liquidity risk
Dong, Ziming
;
Tang, Dan
;
Wang, Xingchun
- In:
Review of derivatives research
26
(
2023
)
1
,
pp. 23-50
Persistent link: https://www.econbiz.de/10014266355
Saved in:
6
The role of asset payouts in the estimation of default barriers
Bougias, Alexandros
;
Episcopos, Athanasios
;
Leledakis, …
- In:
International review of financial analysis
81
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013396237
Saved in:
7
Market co-movement between credit default swap curves and option volatility surfaces
Shi, Yukun
;
Stasinakis, Charalampos
;
Xu, Yaofei
;
Yan, Cheng
- In:
International review of financial analysis
82
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013426474
Saved in:
8
Pricing vulnerable options with jump risk and liquidity risk
Wang, Xingchun
- In:
Review of derivatives research
24
(
2021
)
3
,
pp. 243-260
Persistent link: https://www.econbiz.de/10012659671
Saved in:
9
Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes
Liang, Gechun
;
Wang, Xingchun
- In:
Review of derivatives research
24
(
2021
)
1
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012498465
Saved in:
10
A general closed form option pricing formula
Necula, Ciprian
;
Drimus, Gabriel
;
Farkas, Walter
- In:
Review of derivatives research
22
(
2019
)
1
,
pp. 1-40
Persistent link: https://www.econbiz.de/10012311636
Saved in:
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