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~isPartOf:"Journal of economic dynamics & control"
~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~language:"bos"
~language:"eng"
~person:"Fabozzi, Frank J."
~type_genre:"Article in journal"
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Option pricing theory
6
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Fabozzi, Frank J.
Hommes, Cars H.
27
Kort, Peter M.
27
Turnovsky, Stephen J.
17
Dawid, Herbert
16
Arifovic, Jasmina
15
Chiarella, Carl
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Journal of economic dynamics & control
The journal of derivatives : the official publication of the International Association of Financial Engineers
The journal of portfolio management : JPM
34
The journal of portfolio management : a publication of Institutional Investor
29
The journal of fixed income
21
International journal of theoretical and applied finance
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Applied economics
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Journal of banking & finance
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European journal of operational research : EJOR
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Finance research letters
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International review of financial analysis
6
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Journal of international money and finance
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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The journal of asset management : a major new, international quarterly journal for the financial community
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The journal of derivatives : JOD
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European financial management : the journal of the European Financial Management Association
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The journal of asset management
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The journal of structured finance
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Advances in futures and options research : a research annual
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Journal / The Capco Institute : journal of financial transformation
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Review of quantitative finance and accounting
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Financial analysts' journal : FAJ
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Journal of empirical finance
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ECONIS (ZBW)
9
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1
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:
2
Evolution of real estate derivatives and their pricing
Fabozzi, Frank J.
;
Shiller, Robert J.
;
Tunaru, Radu
- In:
The journal of derivatives : the official publication …
26
(
2019
)
3
,
pp. 7-21
Persistent link: https://www.econbiz.de/10012306146
Saved in:
3
Another look at the Ho-Lee bond option pricing model
Kim, Young Shin
;
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
- In:
The journal of derivatives : the official publication …
25
(
2018
)
4
,
pp. 48-53
Persistent link: https://www.econbiz.de/10011965408
Saved in:
4
Local volatility and the recovery rate of credit default swaps
Jansen, Jeroen
;
Das, Sanjiv R.
;
Fabozzi, Frank J.
- In:
Journal of economic dynamics & control
92
(
2018
),
pp. 1-29
Persistent link: https://www.econbiz.de/10011974230
Saved in:
5
Calibrating short interest rate models in negative rate environments
Russo, Vincenzo
;
Fabozzi, Frank J.
- In:
The journal of derivatives : the official publication …
24
(
2017
)
4
,
pp. 80-92
Persistent link: https://www.econbiz.de/10011687429
Saved in:
6
On the estimation of the SABR model's beta parameter : the role of hedging in determining the beta parameter
Zhang, Mengfei
;
Fabozzi, Frank J.
- In:
The journal of derivatives : the official publication …
24
(
2016
)
1
,
pp. 48-57
Persistent link: https://www.econbiz.de/10011687328
Saved in:
7
Stochastic alpha-beta-rho hedging for foreign exchange options : is it worth the effort?
Yang, Yifan
;
Fabozzi, Frank J.
;
Bianchi, Michele Leonardo
- In:
The journal of derivatives : the official publication …
23
(
2015
)
1
,
pp. 76-89
Persistent link: https://www.econbiz.de/10011404590
Saved in:
8
Extracting market information from equity options with exponential Lévy processes
Fabozzi, Frank J.
;
Leccadito, Arturo
;
Tunaru, Radu S.
- In:
Journal of economic dynamics & control
38
(
2014
),
pp. 125-141
Persistent link: https://www.econbiz.de/10010387852
Saved in:
9
Portfolio selection with uncertain exit time : a robust CVaR approach
Huang, Dashan
;
Zhu, Shu-shang
;
Fabozzi, Frank J.
; …
- In:
Journal of economic dynamics & control
32
(
2008
)
2
,
pp. 594-623
Persistent link: https://www.econbiz.de/10003642783
Saved in:
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