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~isPartOf:"International journal of theoretical and applied finance"
~subject:"Black-Scholes-Modell"
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Black-Scholes-Modell
Option pricing theory
467
Optionspreistheorie
467
Stochastic process
208
Stochastischer Prozess
208
Volatility
156
Volatilität
156
Theorie
104
Theory
104
Derivat
101
Derivative
101
Option trading
83
Optionsgeschäft
83
Hedging
62
Black-Scholes model
47
Yield curve
41
Zinsstruktur
41
Portfolio selection
35
Portfolio-Management
35
Credit risk
31
Kreditrisiko
31
CAPM
30
Monte Carlo simulation
28
Monte-Carlo-Simulation
28
Markov chain
27
option pricing
27
Markov-Kette
26
Statistical distribution
24
Statistische Verteilung
24
Martingal
23
Martingale
23
Swap
23
stochastic volatility
23
Incomplete market
22
Unvollkommener Markt
22
Experiment
21
Risiko
18
Risk
18
Interest rate derivative
17
Zinsderivat
17
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47
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1
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1
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English
47
Author
All
Funahashi, Hideharu
2
Gobet, Emmanuel
2
Gulko, Les
2
Hok, Julien
2
Tsuzuki, Yukihiro
2
Aguilar, Jean-Philippe
1
Albani, Vinícius
1
Avellaneda, Marco
1
Benhamou, Eric
1
Bernard, Carole
1
Bouchaud, Jean-Philippe
1
Boyarchenko, Mitya
1
Cezaro, Adriano de
1
Dao, Tung-Lam
1
Deng, Pingjin
1
Dewynne, Jeff N.
1
Di Graziano, Giuseppe
1
Dokučaev, Nikolaj G.
1
Dyrssen, Hannah
1
Ehrhardt, Matthias
1
Ekström, Erik
1
Eriksson, Jonatan
1
Escobar, Marcos
1
Fabozzi, Frank J.
1
Fukasawa, Masaaki
1
Gapeev, Pavel V.
1
Gatheral, Jim
1
Grzelak, Lech A.
1
Götz, Barbara
1
Hassan, Nadima el
1
Heuwelyckx, Fabien
1
Ikonen, Samuli
1
Innocentis, Marco de
1
Josephy, Norman H.
1
Kimball, Lucia
1
Lapeyre, Bernard
1
Le Floc'h, Fabien
1
Leccadito, Arturo
1
Leduc, Guillaume
1
Levendorskij, Sergej Z.
1
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International journal of theoretical and applied finance
Computational economics
30
Applied mathematical finance
26
The journal of computational finance
24
Quantitative finance
21
International journal of financial engineering
20
Journal of mathematical finance
20
Finance and stochastics
19
The journal of futures markets
19
Review of derivatives research
17
Mathematical finance : an international journal of mathematics, statistics and financial theory
14
Journal of banking & finance
13
The North American journal of economics and finance : a journal of financial economics studies
13
Risks : open access journal
10
Asia-Pacific financial markets
9
Journal of economic dynamics & control
9
European journal of operational research : EJOR
8
Finance research letters
8
Review of quantitative finance and accounting
8
The European journal of finance
8
Decisions in economics and finance : DEF ; a journal of applied mathematics
7
Journal of derivatives & hedge funds
7
Journal of risk and financial management : JRFM
7
The journal of derivatives : the official publication of the International Association of Financial Engineers
7
Applied economics
6
Research paper series / Swiss Finance Institute
6
Discussion paper / B
5
International journal of financial markets and derivatives
5
International journal of theoretical and applied finance : IJTAF
5
Journal of econometrics
5
Wiley finance series
5
Annals of financial economics
4
Computational Management Science : CMS
4
Diskussionspapier
4
Fuzzy optimization and decision making : a journal of modeling and computation under uncertainty
4
International Journal of Financial Markets and Derivatives : IJFMD
4
Journal of empirical finance
4
Journal of financial economics
4
Journal of risk
4
Management science : journal of the Institute for Operations Research and the Management Sciences
4
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ECONIS (ZBW)
47
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1
A fast, stable and accurate numerical method for the black-scholes equation of American options
Ehrhardt, Matthias
;
Mickens, Ronald Elbert
- In:
International journal of theoretical and applied finance
11
(
2008
)
5
,
pp. 471-501
Persistent link: https://www.econbiz.de/10003759938
Saved in:
2
Componentwise splitting methods for pricing American options under stochastic volatility
Ikonen, Samuli
;
Toivanen, Jari
- In:
International journal of theoretical and applied finance
10
(
2007
)
2
,
pp. 331-361
Persistent link: https://www.econbiz.de/10003441984
Saved in:
3
Expansion formulas for European options in a local volatility model
Benhamou, Eric
;
Gobet, Emmanuel
;
Miri, Mohammed
- In:
International journal of theoretical and applied finance
13
(
2010
)
4
,
pp. 603-634
Persistent link: https://www.econbiz.de/10008905020
Saved in:
4
Monotonicity in the volatility of single-barrier
option
prices
Eriksson, Jonatan
- In:
International journal of theoretical and applied finance
9
(
2006
)
6
,
pp. 987-996
Persistent link: https://www.econbiz.de/10003380317
Saved in:
5
Put
option
prices as joint distribution functions in strike and maturity : the black-scholes case
Madan, Dilip B.
;
Roynette, Bernard
;
Yor, Marc
- In:
International journal of theoretical and applied finance
12
(
2009
)
8
,
pp. 1075-1090
Persistent link: https://www.econbiz.de/10003946566
Saved in:
6
Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations
Pistorius, Martijn
;
Stolte, Johannes
- In:
International journal of theoretical and applied finance
15
(
2012
)
4
,
pp. 1-34
Persistent link: https://www.econbiz.de/10009624458
Saved in:
7
Hermite binomial trees : a novel technique for derivatives pricing
Leccadito, Arturo
;
Toscano, Pietro
;
Tunaru, Radu S.
- In:
International journal of theoretical and applied finance
15
(
2012
)
8
,
pp. 1-36
Persistent link: https://www.econbiz.de/10009707095
Saved in:
8
Prices of barrier and first-touch digital options in Lévy-driven models, near barrier
Boyarchenko, Mitya
;
Innocentis, Marco de
;
Levendorskij, …
- In:
International journal of theoretical and applied finance
14
(
2011
)
7
,
pp. 1045-1090
Persistent link: https://www.econbiz.de/10009407673
Saved in:
9
Expansion formulas for bivariate payoffs with application to best-of options on equity and inflation
Gobet, Emmanuel
;
Hok, Julien
- In:
International journal of theoretical and applied finance
17
(
2014
)
2
,
pp. 1-32
Persistent link: https://www.econbiz.de/10010363919
Saved in:
10
Lower bound approximation to basket
option
values for local volatility jump-diffusion models
Xu, Guoping
;
Zheng, Harry
- In:
International journal of theoretical and applied finance
17
(
2014
)
1
,
pp. 1-15
Persistent link: https://www.econbiz.de/10010363942
Saved in:
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