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~isPartOf:"Discussion paper / B"
~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~subject:"Hedging"
~subject:"Kapitaleinkommen"
~subject:"Monte Carlo simulation"
~subject:"Zinsstruktur"
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Option Prices with Stochastic...
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Hedging
Kapitaleinkommen
Monte Carlo simulation
Zinsstruktur
Option pricing theory
239
Optionspreistheorie
239
Theorie
125
Theory
125
Option trading
57
Optionsgeschäft
57
Volatility
50
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50
Black-Scholes model
34
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Frey, Rüdiger
6
Chen, Son-nan
4
Wu, Ting-pin
4
Musiela, Marek
3
Sommer, Daniel
3
Sondermann, Dieter
3
Engle, Robert F.
2
Fabozzi, Frank J.
2
Moraux, Franck
2
Ritchken, Peter H.
2
Rosenberg, Joshua V.
2
Rutkowski, Marek
2
AitSahlia, Farid
1
Albrecher, Hansjörg
1
Ammann, Manuel
1
Babsiri, Mohamed el
1
Bianchi, Michele Leonardo
1
Bjerregaard Pedersen, Morten
1
Boogert, Alexander
1
Borovkova, Svetlana
1
Brigo, Damiano
1
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1
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1
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1
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1
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1
Chateauneuf, Alain
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Das, Sanjiv R.
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1
Dravid, Ajay R.
1
Duck, Peter W.
1
Dutt, Samir K.
1
Fan, Rong
1
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Deutsche Forschungsgemeinschaft
2
Sonderforschungsbereich 303 - Information und die Koordination Wirtschaftlicher Aktivitäten, Universität Bonn
2
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Discussion paper / B
The journal of derivatives : the official publication of the International Association of Financial Engineers
International journal of theoretical and applied finance
139
Mathematical finance : an international journal of mathematics, statistics and financial theory
90
Quantitative finance
76
The journal of computational finance
71
Applied mathematical finance
69
Finance and stochastics
62
Journal of banking & finance
59
The journal of futures markets
55
Review of derivatives research
40
Insurance / Mathematics & economics
35
Finance research letters
29
Journal of economic dynamics & control
29
Risks : open access journal
29
European journal of operational research : EJOR
28
International journal of financial engineering
28
Journal of financial economics
28
Computational economics
27
Research paper series / Swiss Finance Institute
25
Energy economics
23
The European journal of finance
23
The North American journal of economics and finance : a journal of financial economics studies
22
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
21
Journal of risk and financial management : JRFM
20
The review of financial studies
20
Journal of mathematical finance
18
The journal of fixed income
18
Asia-Pacific financial markets
16
The journal of finance : the journal of the American Finance Association
16
Journal of econometrics
15
Management science : journal of the Institute for Operations Research and the Management Sciences
14
Swiss Finance Institute Research Paper
13
Annals of finance
12
Applied economics
12
International review of financial analysis
12
Journal of empirical finance
12
Journal of financial and quantitative analysis : JFQA
12
Decisions in economics and finance : DEF ; a journal of applied mathematics
11
International review of economics & finance : IREF
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ECONIS (ZBW)
61
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1
Portfolio insurance and volatility : on the robustness of the Black-Scholes option pricing model
Frey, Rüdiger
;
Stremme, Alexander
-
1993
Persistent link: https://www.econbiz.de/10000412479
Saved in:
2
Evolution of interest rate models : a comparison
Ho, Thomas S. Y.
- In:
The journal of derivatives : the official publication …
2
(
1995
)
4
,
pp. 9-20
Persistent link: https://www.econbiz.de/10001223174
Saved in:
3
Superreplication in stochastic volatility models and optimal stopping
Frey, Rüdiger
-
1998
Persistent link: https://www.econbiz.de/10000993233
Saved in:
4
On perpetual American strangles
Moraux, Franck
- In:
The journal of derivatives : the official publication …
16
(
2008/09
)
4
,
pp. 82-97
Persistent link: https://www.econbiz.de/10003862829
Saved in:
5
Efficient analytical cascade calibration of the LIBOR market model with endogenous interpolation
Brigo, Damiano
;
Morini, Massimo
- In:
The journal of derivatives : the official publication …
14
(
2006
)
1
,
pp. 40-60
Persistent link: https://www.econbiz.de/10003379121
Saved in:
6
Four things you might not know about the Black-Scholes formula
Poulsen, Rolf
- In:
The journal of derivatives : the official publication …
15
(
2007
)
2
,
pp. 77-81
Persistent link: https://www.econbiz.de/10003673319
Saved in:
7
Forward versus spot interest rate models of the term structure
Moraleda Novo, Juan Manuel
;
Pelsser, Antoon André Jean
- In:
The journal of derivatives : the official publication …
7
(
2000
)
3
,
pp. 9-21
Persistent link: https://www.econbiz.de/10001497753
Saved in:
8
Static hedging of timing risk
Carr, Peter
;
Picron, Jean-Francois
- In:
The journal of derivatives : the official publication …
6
(
1999
)
3
,
pp. 57-70
Persistent link: https://www.econbiz.de/10001432497
Saved in:
9
Market volatility and feedback effects from dynamic hedging
Frey, Rüdiger
-
1995
Persistent link: https://www.econbiz.de/10000908124
Saved in:
10
A term structure model and the pricing of interest rate options
Sandmann, Klaus
;
Sondermann, Dieter
-
1989
Persistent link: https://www.econbiz.de/10000781468
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