//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~subject:"Optionspreistheorie"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject:"First passage time"
Narrow search
Delete all filters
| 1 applied filter
Year of publication
From:
To:
Subject
All
Optionspreistheorie
First passage time
38
Stochastischer Prozess
21
Stochastic process
20
first passage time
15
Option pricing theory
14
Theorie
12
First-passage time
10
Theory
10
Mean first-passage time
7
Volatilität
7
Credit risk
6
Lévy process
6
credit dynamics
6
credit spreads
6
first passage time models
6
gap risk
6
general Ornstein-Uhlenbeck processes
6
Kreditrisiko
5
Lévy processes
5
Probability theory
5
Random walk
5
Risikoprämie
5
Volatility
5
Wahrscheinlichkeitsrechnung
5
first-passage time
5
Barrier options
4
Brownian motion
4
Insolvency
4
Insolvenz
4
Option trading
4
Optionsgeschäft
4
Zins
4
Derivat
3
Derivative
3
Econophysics
3
Experiment
3
Kolmogorov forward equation
3
Laplace transform
3
Markov chain
3
more ...
less ...
Online availability
All
Undetermined
9
Free
1
Type of publication
All
Article
14
Type of publication (narrower categories)
All
Article in journal
13
Aufsatz in Zeitschrift
13
Aufsatz im Buch
1
Book section
1
Conference paper
1
Konferenzbeitrag
1
Language
All
English
14
Author
All
Li, Weiping
2
Abbring, Jaap H.
1
Balcıog˜lu, Barış
1
Catalão, André
1
Elliott, Robert J.
1
Escobar, Marcos
1
Gao, Shumei
1
Guillaume, Tristan
1
Hieber, Peter
1
Kim, Bara
1
Kim, Jeongsim
1
Kim, Jerim
1
Kim, Young Shin
1
Krehbiel, Timothy L.
1
Le Courtois, Olivier
1
Loeffen, R.
1
Luo, Zhengying
1
Palmowski, Z.
1
Rosenfeld, Rogério
1
Salimans, Tim
1
Sarhangian, Vahid
1
Scherer, Matthias
1
Shen, Jia
1
Song, Jihe
1
Su, Xiaoshan
1
Surya, B. A.
1
Yamada, Yuji
1
Yoo, Hyun Joo
1
more ...
less ...
Published in...
All
International journal of theoretical and applied finance
2
Annals of finance
1
Asia Pacific financial markets
1
Asia-Pacific financial markets
1
Computational Management Science : CMS
1
Insurance / Mathematics & economics
1
Investment management and financial innovations
1
Journal of econometrics
1
Journal of economic dynamics & control
1
Journal of risk and financial management : JRFM
1
Operations research letters
1
Review of derivatives research
1
Risk management decisions and value under uncertainty
1
more ...
less ...
Source
All
ECONIS (ZBW)
14
Showing
1
-
10
of
14
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
Closed form valuation of barrier options with stochastic barriers
Guillaume, Tristan
- In:
Risk management decisions and value under uncertainty
,
(pp. 1021-1050)
.
2022
Persistent link: https://www.econbiz.de/10013342082
Saved in:
2
The likelihood of mixed hitting times
Abbring, Jaap H.
;
Salimans, Tim
- In:
Journal of econometrics
223
(
2021
)
2
,
pp. 361-375
Persistent link: https://www.econbiz.de/10012619975
Saved in:
3
Analytical path-integral pricing of deterministic moving-barrier options under non-gaussian distributions
Catalão, André
;
Rosenfeld, Rogério
- In:
International journal of theoretical and applied finance
23
(
2020
)
1
,
pp. 1-52
Persistent link: https://www.econbiz.de/10012270883
Saved in:
4
Structural pricing of CoCos and deposit insurance with regime switching and jumps
Le Courtois, Olivier
;
Su, Xiaoshan
- In:
Asia Pacific financial markets
27
(
2020
)
4
,
pp. 477-520
Persistent link: https://www.econbiz.de/10012390326
Saved in:
5
Probability of default and default correlations
Li, Weiping
- In:
Journal of risk and financial management : JRFM
9
(
2016
)
3
,
pp. 1-19
formula for the default correlation via the correlated multivariate process of the
first-passage-time
default correlation …
Persistent link: https://www.econbiz.de/10011543135
Saved in:
6
Tempered stable process,
first
passage
time
, and path-dependent option pricing
Kim, Young Shin
- In:
Computational Management Science : CMS
16
(
2019
)
1/2
,
pp. 187-215
Persistent link: https://www.econbiz.de/10011993461
Saved in:
7
Discounted penalty function at Parisian ruin for Lévy insurance risk process
Loeffen, R.
;
Palmowski, Z.
;
Surya, B. A.
- In:
Insurance / Mathematics & economics
83
(
2018
),
pp. 190-197
Persistent link: https://www.econbiz.de/10011944136
Saved in:
8
Optimal hedging of basket barrier options with additive models and its application to equity value separation problem
Yamada, Yuji
- In:
Asia-Pacific financial markets
24
(
2017
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10011742282
Saved in:
9
An improved approach to evaluate default probabilities and default correlations with consistency
Li, Weiping
;
Krehbiel, Timothy L.
- In:
International journal of theoretical and applied finance
19
(
2016
)
5
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011525108
Saved in:
10
Dynamic optimal capital structure with regime switching
Elliott, Robert J.
;
Shen, Jia
- In:
Annals of finance
11
(
2015
)
2
,
pp. 199-220
Persistent link: https://www.econbiz.de/10011376180
Saved in:
1
2
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->