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~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~subject:"Option pricing theory"
~type_genre:"Article in journal"
~type_genre:"Bibliography included"
~type_genre:"Non-commercial literature"
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Search: subject_exact:"Option pricing theory"
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Option pricing theory
Optionspreistheorie
83
Volatility
38
Volatilität
38
Option trading
36
Optionsgeschäft
36
Stochastic process
32
Stochastischer Prozess
32
Derivat
19
Derivative
19
Black-Scholes model
13
Black-Scholes-Modell
13
ARCH model
11
ARCH-Modell
11
Credit risk
10
Kreditrisiko
10
Option pricing
10
Monte Carlo simulation
8
Monte-Carlo-Simulation
8
Stochastic volatility
8
Esscher transform
7
Portfolio selection
7
Portfolio-Management
7
Statistical distribution
7
Statistische Verteilung
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GARCH
6
Hedging
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Swap
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Barrier option
5
Experiment
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Risikomanagement
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Risk management
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Yield curve
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Zinsstruktur
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Aktienoption
4
Capital income
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Forecasting model
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Futures
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Article in journal
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English
83
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Lee, Hangsuck
6
Wang, Xingchun
6
Kim, Geonwoo
4
Ko, Bangwon
4
Bao, Ying
3
Jeon, Junkee
3
Labuschagne, Coenraad C. A.
3
Lin, Shih-kuei
3
Zhao, Yanlong
3
Chen, Jun-Home
2
Huang, Hung-Hsi
2
Lai, Yongzeng
2
Lee, Minha
2
Li, Shaoyu
2
Li, Zhe
2
Lian, Yu-Min
2
Lin, Shin-Hung
2
Liu, Yu-hong
2
Ma, Jingtang
2
McAleer, Michael
2
Peng, Cheng
2
Perote, Javier
2
Song, Seongjoo
2
Ahn, Soohan
1
Akuzawa, Toshinao
1
Bajo, Emanuele
1
Barbi, Massimiliano
1
Battauz, Anna
1
Ben Hamad, Salah
1
Bian, Zhicun
1
Bianconi, Marcelo
1
Boetticher, Sven T. von
1
Campani, Carlos Heitor
1
Chan, Tat Lung
1
Chan, Tat Lung (Ron)
1
Chan, Wai-Sum
1
Chang, Chia-Chang
1
Chang, Chia-Lin
1
Chao, Wei-Hsiung
1
Charlin, Ventura
1
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The North American journal of economics and finance : a journal of financial economics studies
International journal of theoretical and applied finance
467
The journal of futures markets
260
Mathematical finance : an international journal of mathematics, statistics and financial theory
255
The journal of computational finance
251
Applied mathematical finance
240
Finance and stochastics
218
Journal of banking & finance
206
The journal of derivatives : the official publication of the International Association of Financial Engineers
203
Quantitative finance
196
Review of derivatives research
170
Insurance / Mathematics & economics
139
European journal of operational research : EJOR
132
Journal of economic dynamics & control
129
International journal of financial engineering
116
Finance research letters
109
Journal of mathematical finance
107
Computational economics
106
Risks : open access journal
93
Research paper series / Swiss Finance Institute
87
The European journal of finance
81
Journal of financial economics
78
Asia-Pacific financial markets
77
Journal of econometrics
66
Journal of financial and quantitative analysis : JFQA
58
Energy economics
55
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
55
Review of quantitative finance and accounting
55
Annals of finance
52
Journal of risk and financial management : JRFM
50
The journal of finance : the journal of the American Finance Association
50
The journal of real estate finance and economics
50
The review of financial studies
50
Economic modelling
49
Decisions in economics and finance : DEF ; a journal of applied mathematics
47
International review of economics & finance : IREF
47
Management science : journal of the Institute for Operations Research and the Management Sciences
46
International review of financial analysis
44
Mathematics and financial economics
44
Applied economics
42
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ECONIS (ZBW)
83
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83
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1
Analytically pricing variance and volatility swaps under a Markov-modulated model with liquidity risks
He, Xin-Jiang
;
Lin, Sha
- In:
The North American journal of economics and finance : a …
67
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014483995
Saved in:
2
Robust optimal reinsurance-investment for αmaxmin mean-variance utility under Heston's SV model
Chen, Dengsheng
;
He, Yong
;
Li, Ziqiang
- In:
The North American journal of economics and finance : a …
67
(
2023
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014484002
Saved in:
3
Min-max multi-step barrier options and their variants
Lee, Hangsuck
;
Lee, Gaeun
;
Song, Seongjoo
- In:
The North American journal of economics and finance : a …
67
(
2023
),
pp. 1-21
Persistent link: https://www.econbiz.de/10014484160
Saved in:
4
Psychological barriers and option pricing in a local volatility model
Li, Dan
;
Liu, Lixin
;
Xu, Guangli
- In:
The North American journal of economics and finance : a …
64
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014246900
Saved in:
5
Pricing basket spread options with default risk under Heston-Nandi GARCH models
Wang, Xingchun
;
Zhang, Han
- In:
The North American journal of economics and finance : a …
59
(
2022
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013413519
Saved in:
6
Pricing European continuous-installment currency options with mean-reversion
Jeon, Junkee
;
Kim, Geonwoo
- In:
The North American journal of economics and finance : a …
59
(
2022
),
pp. 1-12
Persistent link: https://www.econbiz.de/10013413559
Saved in:
7
Pricing of vulnerable exchange options with early counterparty credit risk
Kim, Donghyun
;
Kim, Geonwoo
;
Yoon, Ji-Hun
- In:
The North American journal of economics and finance : a …
59
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013413573
Saved in:
8
Pricing vulnerable options with stochastic liquidity risk
Wang, Xingchun
- In:
The North American journal of economics and finance : a …
60
(
2022
),
pp. 1-10
Persistent link: https://www.econbiz.de/10013449096
Saved in:
9
Valuing lookback options with barrier
Lee, Hangsuck
;
Kim, Eunchae
;
Ko, Bangwon
- In:
The North American journal of economics and finance : a …
60
(
2022
),
pp. 1-19
Persistent link: https://www.econbiz.de/10013449142
Saved in:
10
A semi-analytic valuation of two-asset barrier options and autocallable products using Brownian bridge
Lee, Hangsuck
;
Lee, Minha
;
Ko, Bangwon
- In:
The North American journal of economics and finance : a …
61
(
2022
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013449375
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