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~person:"Carr, Peter"
~person:"Korn, Ralf"
~person:"Zhang, Jin E."
~type_genre:"Article in journal"
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Search: subject:"Option"
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Option pricing theory
84
Optionspreistheorie
84
Volatility
43
Volatilität
43
Theorie
37
Theory
37
Option trading
36
Optionsgeschäft
36
Stochastic process
29
Stochastischer Prozess
29
Derivat
16
Derivative
16
Black-Scholes model
15
Black-Scholes-Modell
15
Hedging
14
USA
11
United States
11
CAPM
10
Portfolio selection
10
Portfolio-Management
10
Swap
10
Risikoprämie
9
Risk premium
9
Statistical distribution
9
Statistische Verteilung
9
Estimation
7
Schätzung
7
Forecasting model
6
Index futures
6
Index-Futures
6
Monte Carlo simulation
6
Monte-Carlo-Simulation
6
Prognoseverfahren
6
Aktienoption
5
Estimation theory
5
Schätztheorie
5
Stock option
5
Börsenkurs
4
China
4
Credit risk
4
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10
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Article
108
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Article in journal
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108
Graue Literatur
13
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13
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5
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English
108
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Carr, Peter
Korn, Ralf
Zhang, Jin E.
Madan, Dilip B.
59
Fabozzi, Frank J.
48
Elliott, Robert J.
40
Kwok, Yue-Kuen
39
Jarrow, Robert A.
38
Siu, Tak Kuen
35
Ryu, Doojin
34
Wang, Xingchun
34
Chen, Ren-Raw
33
Schoutens, Wim
33
Cui, Zhenyu
32
Takahashi, Akihiko
32
Wu, Liuren
31
Subrahmanyam, Marti G.
29
Benth, Fred Espen
26
Jacobs, Kris
26
Chiarella, Carl
24
Hull, John
23
Wong, Hoi Ying
23
Kim, Young Shin
22
Račev, Svetlozar T.
22
Schwartz, Eduardo S.
22
Wei, Jason
22
Escobar, Marcos
21
Stentoft, Lars
21
Yang, Zhaojun
21
Chance, Don M.
20
Christoffersen, Peter F.
20
Fusai, Gianluca
20
Jeanblanc, Monique
20
Levendorskij, Sergej Z.
20
Tian, Yisong Sam
20
Zanette, Antonino
20
Brigo, Damiano
19
Chang, Chuang-chang
19
Chesney, Marc
19
Das, Sanjiv R.
19
Hammoudeh, Shawkat
19
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Mathematical finance : an international journal of mathematics, statistics and financial theory
9
International journal of theoretical and applied finance
7
The journal of computational finance
7
Finance and stochastics
6
Review of derivatives research
6
The journal of futures markets
6
The journal of finance : the journal of the American Finance Association
5
Journal of financial economics
4
Risks : open access journal
4
Applied mathematical finance
3
Journal of economic dynamics & control
3
Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
The journal of derivatives : JOD
3
The journal of derivatives : the official publication of the International Association of Financial Engineers
3
The review of financial studies
3
Applied economics
2
Computational economics
2
European finance review : the official journal of the European Finance Association
2
Journal of banking & finance
2
The journal of fixed income
2
Asia-Pacific financial markets
1
Computational Management Science : CMS
1
Economic modelling
1
Economics letters
1
Emerging markets review
1
Energy economics
1
Finance research letters
1
International review of finance
1
International review of finance : the official journal of the Asia Pacific Finance Association and the Nippon Finance Association
1
Journal of behavioral and experimental finance
1
Journal of commodity markets
1
Journal of financial and quantitative analysis : JFQA
1
Journal of financial engineering
1
Journal of financial markets
1
Journal of investment management : JOIM
1
Journal of risk
1
Journal of risk and financial management : JRFM
1
Mathematical methods of operations research
1
Mathematics and financial economics
1
OR-Spektrum : quantitative approaches in management
1
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ECONIS (ZBW)
108
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108
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1
Term spreads of implied volatility smirk and variance risk premium
Guo, Wei
;
Ruan, Xinfeng
;
Gehricke, Sebastian A.
;
Zhang, …
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 829-857
Persistent link: https://www.econbiz.de/10014293246
Saved in:
2
The COVID-19 risk in the Chinese
option
market
Li, Jianhui
;
Ruan, Xinfeng
;
Gehricke, Sebastian A.
; …
- In:
International review of finance : the official journal …
22
(
2022
)
2
,
pp. 346-355
Persistent link: https://www.econbiz.de/10013275599
Saved in:
3
VIX
option
-implied volatility slope and VIX futures returns
Yoon, Jungah
;
Ruan, Xinfeng
;
Zhang, Jin E.
- In:
The journal of futures markets
42
(
2022
)
6
,
pp. 1002-1038
Persistent link: https://www.econbiz.de/10013287910
Saved in:
4
Carr and Wu's (2020) framework in the oil ETF
option
market
Jia, Xiaolan
;
Ruan, Xinfeng
;
Zhang, Jin E.
- In:
Journal of commodity markets
31
(
2023
),
pp. 1-21
Persistent link: https://www.econbiz.de/10014477744
Saved in:
5
The volatility index and volatility risk premium in China
Yue, Tian
;
Ruan, Xinfeng
;
Gehricke, Sebastian
;
Zhang, Jin E.
- In:
The quarterly review of economics and finance : journal …
91
(
2023
),
pp. 40-55
Persistent link: https://www.econbiz.de/10014461535
Saved in:
6
Pricing VXX options by modeling VIX directly
Lin, Wei
;
Zhang, Jin E.
- In:
The journal of futures markets
42
(
2022
)
5
,
pp. 888-922
Persistent link: https://www.econbiz.de/10013187612
Saved in:
7
The implied volatility smirk in the Chinese equity options market
Yue, Tian
;
Gehricke, Sebastian A.
;
Zhang, Jin E.
;
Pan, …
- In:
Pacific-Basin finance journal
69
(
2021
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013369869
Saved in:
8
The price of COVID-19-induced uncertainty in the options market
Li, Jianhui
;
Ruan, Xinfeng
;
Zhang, Jin E.
- In:
Economics letters
211
(
2022
),
pp. 1-7
Persistent link: https://www.econbiz.de/10013172691
Saved in:
9
Semi-analytical pricing of barrier options in the time-dependent Heston model
Carr, Peter
;
Itkin, Andrey
;
Muravey, Dmitry
- In:
The journal of derivatives : JOD
30
(
2022
)
2
,
pp. 141-171
Persistent link: https://www.econbiz.de/10014231115
Saved in:
10
The implied volatility smirk in SPY options
Guo, Wei
;
Gehricke, Sebastian A.
;
Ruan, Xinfeng
;
Zhang, …
- In:
Applied economics
53
(
2021
)
23
,
pp. 2671-2692
Persistent link: https://www.econbiz.de/10012501393
Saved in:
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