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Search: subject:"black scholes"
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Black-Scholes-Modell
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Lee, Cheng F.
14
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11
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11
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9
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9
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9
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9
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8
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8
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7
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7
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7
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7
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6
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6
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6
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6
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26
EconWPA
10
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7
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International journal of theoretical and applied finance
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Applied mathematical finance
40
Mathematical finance : an international journal of mathematics, statistics and financial theory
40
The journal of computational finance
34
Computational economics
33
The journal of futures markets
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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International journal of financial engineering
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Review of derivatives research
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Physica A: Statistical Mechanics and its Applications
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Journal of banking & finance
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Asia-Pacific financial markets
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International Journal of Theoretical and Applied Finance (IJTAF)
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Risks : open access journal
15
The North American journal of economics and finance : a journal of financial economics studies
14
Finance and Stochastics
13
Finance research letters
13
Journal of econometrics
13
Journal of economic dynamics & control
13
Options : classic approaches to pricing and modelling
11
The European journal of finance
11
Decisions in economics and finance : DEF ; a journal of applied mathematics
10
Applied Mathematical Finance
9
CoFE discussion papers
9
European journal of operational research : EJOR
9
International review of financial analysis
9
Research paper series / Swiss Finance Institute
9
Review of quantitative finance and accounting
9
The review of financial studies
9
Applied economics
8
CoFE Discussion Paper
8
The journal of risk and insurance : the journal of the American Risk and Insurance Association
8
Advances in futures and options research : a research annual
7
Annals of financial economics
7
Asia-Pacific Financial Markets
7
CIRANO Working Papers
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ECONIS (ZBW)
1,723
RePEc
260
EconStor
48
USB Cologne (EcoSocSci)
31
USB Cologne (business full texts)
17
BASE
13
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Showing
31
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40
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2,100
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date (oldest first)
31
Lie symmetry analysis and exact solutions of time fractional
Black-Scholes
equation
Yu, Jicheng
;
Feng, Yuqiang
;
Wang, Xianjia
- In:
International journal of financial engineering
9
(
2022
)
4
,
pp. 1-17
Persistent link: https://www.econbiz.de/10014234394
Saved in:
32
Price jump diffusion in Iranian housing market (Merton model and NGARCH approach)
Dinarzehi, Khadijeh
;
Shahiki Tash, Mohammad Nabi
- In:
Iranian economic review : journal of University of Tehran
26
(
2022
)
2
,
pp. 369-388
Persistent link: https://www.econbiz.de/10013365654
Saved in:
33
Option pricing with neural networks vs.
Black-Scholes
under different volatility forecasting approaches for BIST 30 index options
İltüzer, Zeynep
- In:
Borsa Istanbul Review
22
(
2022
)
4
,
pp. 725-742
This study compares the performances of neural network and
Black-Scholes
models in pricing BIST30 (Borsa Istanbul … models are evaluated during the turbulent periods. Overall results indicate that neural network outperforms
Black-Scholes
… during tranquil times while
Black-Scholes
outperforms neural network during turbulent periods for call options. For put …
Persistent link: https://www.econbiz.de/10013334825
Saved in:
34
Hedging with linear regressions and neural networks
Ruf, Johannes
;
Wang, Weiguan
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
4
,
pp. 1442-1454
Persistent link: https://www.econbiz.de/10013539793
Saved in:
35
Financial market disruption and investor awareness : the case of implied volatility skew
Siddiqi, Hammad
- In:
Quantitative finance and economics
6
(
2022
)
3
,
pp. 505-517
Persistent link: https://www.econbiz.de/10013499509
Saved in:
36
A bilinear pseudo-spectral method for solving two-asset European and American pricing options
Khasi, M.
;
Rashidinia, J.
- In:
Computational economics
63
(
2024
)
2
,
pp. 893-918
Persistent link: https://www.econbiz.de/10014475075
Saved in:
37
Fractional Brownian motion in option pricing and dynamic delta hedging : experimental simulations
Dufera, Tamirat Temesgen
- In:
The North American journal of economics and finance : a …
69
(
2024
)
2
,
pp. 1-13
Persistent link: https://www.econbiz.de/10014445631
Saved in:
38
Option valuation with conditional heteroskedastic hidden truncation models
Belhachemi, Rachid
- In:
Computational economics
63
(
2024
)
6
,
pp. 2585-2601
Persistent link: https://www.econbiz.de/10014636763
Saved in:
39
Short-dated smile under rough volatility : asymptotics and numerics
Friz, Peter K.
;
Gassiat, Paul
;
Pigato, Paolo
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 463-480
Persistent link: https://www.econbiz.de/10013167770
Saved in:
40
Delta Hedging Bitcoin Options with a Smile
Alexander, Carol
;
Imeraj, Arben
-
2022
significantly out-perform the simple
Black-Scholes
delta hedge, especially when using the perpetual swap as hedging instrument …
Persistent link: https://www.econbiz.de/10013288907
Saved in:
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