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Option pricing theory
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Applied mathematical finance
Finance research letters
710
Energy economics
699
Journal of banking & finance
597
International journal of theoretical and applied finance
593
The journal of futures markets
581
NBER working paper series
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ECONIS (ZBW)
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A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models
Dang, Duy Minh
;
Jackson, Kenneth R.
;
Sues, Scott
- In:
Applied mathematical finance
24
(
2017
)
3/4
,
pp. 175-215
Persistent link: https://www.econbiz.de/10011815225
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2
Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps
Itkin, Andrey
- In:
Applied mathematical finance
24
(
2017
)
5/6
,
pp. 485-519
Persistent link: https://www.econbiz.de/10011815291
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3
Long-range dependence in the risk-neutral measure for the market on Lehman Brothers Collapse
Kim, Young Shin
- In:
Applied mathematical finance
23
(
2016
)
3/4
,
pp. 309-322
Persistent link: https://www.econbiz.de/10011704246
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4
A moment-based analytic approximation of the risk-neutral density of American options
Arismendi Zambrano, Juan Carlos
;
Prokopczuk, Marcel
- In:
Applied mathematical finance
23
(
2016
)
5/6
,
pp. 409-444
Persistent link: https://www.econbiz.de/10011704266
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5
Skewness term-structure tests
Lehnert, Thorsten
;
Lin, Yuehao
- In:
Applied mathematical finance
23
(
2016
)
5/6
,
pp. 484-504
Persistent link: https://www.econbiz.de/10011704272
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6
A family of maximum entropy densities matching call option prices
Neri, Cassio
;
Schneider, Lorenz
- In:
Applied mathematical finance
20
(
2013
)
5/6
,
pp. 548-577
Persistent link: https://www.econbiz.de/10010235560
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7
Hitting time and time change
Vaugirard, Victor E.
- In:
Applied mathematical finance
11
(
2004
)
1
,
pp. 77-94
Persistent link: https://www.econbiz.de/10002001540
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8
Determination of the probability distribution measures from market option prices using the method of maximum entropy in the mean
Gzyl, Henryk
;
Mayoral, Silvia
- In:
Applied mathematical finance
19
(
2012
)
3/4
,
pp. 299-312
Persistent link: https://www.econbiz.de/10009710972
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9
A structural approach to default modelling with pure jump processes
Aguilar, Jean-Philippe
;
Pesci, Nicolas
;
James, Victor
- In:
Applied mathematical finance
28
(
2021
)
1
,
pp. 48-78
Persistent link: https://www.econbiz.de/10012625981
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10
Risk neutral jump arrival rates implied in option prices and their models
Madan, Dilip B.
;
Wang, King
- In:
Applied mathematical finance
28
(
2021
)
3
,
pp. 201-235
Persistent link: https://www.econbiz.de/10013171070
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