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~person:"Carr, Peter"
~person:"Takahashi, Akihiko"
~subject:"Stochastic process"
~subject:"option pricing"
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Stochastic process
option pricing
Option pricing theory
119
Optionspreistheorie
119
Stochastischer Prozess
51
Volatility
49
Volatilität
49
Theorie
39
Theory
39
Derivat
25
Derivative
25
Option trading
24
Optionsgeschäft
24
CAPM
15
Asymptotic expansion
13
Hedging
13
Black-Scholes model
12
Black-Scholes-Modell
12
Portfolio selection
11
Portfolio-Management
11
Analysis
9
Experiment
9
Mathematical analysis
9
Swap
9
Currency option
8
Devisenoption
8
Estimation theory
8
Incomplete market
8
Malliavin calculus
8
Monte Carlo simulation
8
Schätztheorie
8
Statistical distribution
8
Statistische Verteilung
8
Unvollkommener Markt
8
Yield curve
8
Zinsstruktur
8
Monte-Carlo-Simulation
7
Credit risk
6
Deep learning
6
Kreditrisiko
6
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8
Graue Literatur
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8
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English
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Carr, Peter
Takahashi, Akihiko
Cui, Zhenyu
36
Chiarella, Carl
30
Elliott, Robert J.
26
Madan, Dilip B.
25
Nguyen, Duy
22
Fabozzi, Frank J.
21
Platen, Eckhard
21
Alòs, Elisa
20
Escobar, Marcos
18
Hainaut, Donatien
18
Oosterlee, Cornelis W.
18
Kim, Young Shin
17
Wu, Liuren
17
Benth, Fred Espen
16
Fouque, Jean-Pierre
16
Siu, Tak Kuen
16
Kohlmann, Michael
15
Wang, Xingchun
15
Yamada, Toshihiro
15
Christoffersen, Peter F.
14
Grasselli, Martino
14
Hess, Markus
14
Jacquier, Antoine (Jack)
14
Lorig, Matthew
14
Scaillet, Olivier
14
Wong, Hoi Ying
14
Forde, Martin
13
Jacobs, Kris
13
Levendorskij, Sergej Z.
13
Schoutens, Wim
13
Yamazaki, Akira
13
Zhu, Song-Ping
13
Ziveyi, Jonathan
13
Eberlein, Ernst
12
Ewald, Christian-Oliver
12
Filipović, Damir
12
Grzelak, Lech A.
12
Kang, Boda
12
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EconWPA
5
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International journal of theoretical and applied finance
7
CIRJE discussion papers / F series
5
Finance
5
Mathematical finance : an international journal of mathematics, statistics and financial theory
5
Asia-Pacific financial markets
3
CARF working paper
3
The journal of computational finance
3
Computational economics
2
Finance and stochastics
2
Journal of financial economics
2
Mathematics of operations research
2
Review of derivatives research
2
The journal of derivatives : JOD
2
Asia-Pacific Financial Markets
1
CARF Working Paper Series
1
European journal of operational research : EJOR
1
Finance and Stochastics
1
International journal of financial engineering
1
Journal of financial and quantitative analysis : JFQA
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of financial engineering
1
Robert H. Smith School Research Paper
1
The European Journal of Finance
1
The European journal of finance
1
The journal of futures markets
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ECONIS (ZBW)
52
RePEc
8
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1
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60
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1
New asymptotic expansion formula via Malliavin calculus and its application to rough differential equation driven by fractional Brownian motion
Takahashi, Akihiko
;
Yamada, Toshihiro
-
2023
-
This version: July 3, 2023
Persistent link: https://www.econbiz.de/10014383870
Saved in:
2
Adjusting exponential Lévy models toward the simultaneous calibration of market prices for crash cliquets
Carr, Peter
;
Khanna, Ajay
;
Madan, Dilip B.
- In:
The journal of computational finance
20
(
2016
)
1
,
pp. 89-111
Persistent link: https://www.econbiz.de/10011639593
Saved in:
3
A new efficient approximation scheme for solving high-dimensional semilinear PDEs : control variate method for Deep BSDE solver
Takahashi, Akihiko
;
Tsuchida, Yoshifumi
;
Yamada, Toshihiro
-
2021
Persistent link: https://www.econbiz.de/10012813680
Saved in:
4
A new efficient approximation scheme for solving high-dimensional semilinear PDEs : control variate method for Deep BSDE solver
Takahashi, Akihiko
;
Tsuchida, Yoshifumi
;
Yamada, Toshihiro
-
2021
-
This version : August 10, 2021
Persistent link: https://www.econbiz.de/10012616192
Saved in:
5
Supplementary file for "Sup-inf/inf-sup problem on choice of a probability measure by FBSDE approach"
Saito, Taiga
;
Takahashi, Akihiko
-
2021
Persistent link: https://www.econbiz.de/10012616241
Saved in:
6
A new efficient approximation scheme for solving high-dimensional semilinear PDEs : control variate method for Deep BSDE solver
Takahashi, Akihiko
;
Tsuchida, Yoshifumi
;
Yamada, Toshihiro
-
2021
-
Revised in August, November 2021, January and February 2022
Persistent link: https://www.econbiz.de/10013335002
Saved in:
7
Supplementary file for "sup-inf/inf-sup problem on choice of a probability measure by FBSDE approach"
Saito, Taiga
;
Takahashi, Akihiko
-
2021
-
Revised in March 2021
Persistent link: https://www.econbiz.de/10013335007
Saved in:
8
Asymptotic expansion and deep neural networks overcome the curse of dimensionality in the numerical approximation of Kolmogorov partial differential equations with nonlinear coeffi...
Takahashi, Akihiko
;
Yamada, Toshihiro
-
2021
Persistent link: https://www.econbiz.de/10013336341
Saved in:
9
Deep Asymptotic Expansion : Application to Financial Mathematics
Iguchi, Yuga
;
Naito, Riu
;
Takahashi, Akihiko
;
Yamada, …
-
2021
-
Revised in February 2022
Persistent link: https://www.econbiz.de/10013339086
Saved in:
10
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:
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