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~isPartOf:"International journal of theoretical and applied finance"
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Option pricing theory
467
Optionspreistheorie
467
Stochastic process
324
Stochastischer Prozess
324
Theorie
308
Theory
308
Portfolio selection
220
Portfolio-Management
220
Volatility
185
Volatilität
185
Derivat
122
Derivative
122
Option trading
85
Optionsgeschäft
85
Hedging
84
Black-Scholes model
58
Black-Scholes-Modell
58
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56
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56
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53
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Martingal
31
Martingale
31
Risikomaß
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Risk measure
31
Monte Carlo simulation
30
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Transaction costs
30
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28
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742
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742
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742
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Fabozzi, Frank J.
11
Kwok, Yue-Kuen
10
Levendorskij, Sergej Z.
10
Korn, Ralf
9
Jeanblanc, Monique
8
Račev, Svetlozar T.
8
Benth, Fred Espen
7
Elliott, Robert J.
7
Gapeev, Pavel V.
7
Takahashi, Akihiko
7
Liu, Rui Hua
6
Wilmott, Paul
6
Bojarčenko, Svetlana I.
5
Brigo, Damiano
5
Cartea, Álvaro
5
Hughston, Lane P.
5
Hui, Cho H.
5
Jaimungal, Sebastian
5
Joshi, Mark S.
5
Konno, Hiroshi
5
Leung, Tim
5
Lo, C. F.
5
Macrina, Andrea
5
Oosterlee, Cornelis W.
5
Platen, Eckhard
5
Siu, Tak Kuen
5
Arai, Takuji
4
Avellaneda, Marco
4
Bernard, Carole
4
Capriotti, Luca
4
Chiarella, Carl
4
Ekström, Erik
4
Gatheral, Jim
4
Hess, Markus
4
Kim, Young Shin
4
Meyer-Brandis, Thilo
4
Pallavicini, Andrea
4
Rutkowski, Marek
4
Schoutens, Wim
4
Stoyanov, Stoyan V.
4
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International journal of theoretical and applied finance
European journal of operational research : EJOR
1,084
Journal of banking & finance
846
NBER working paper series
822
Working paper / National Bureau of Economic Research, Inc.
748
Insurance / Mathematics & economics
638
NBER Working Paper
617
Finance research letters
583
Finance and stochastics
497
Journal of economic dynamics & control
468
Mathematical finance : an international journal of mathematics, statistics and financial theory
452
Quantitative finance
411
Journal of financial economics
397
Discussion paper / Centre for Economic Policy Research
394
The journal of futures markets
378
International review of financial analysis
363
The journal of finance : the journal of the American Finance Association
350
Management science : journal of the Institute for Operations Research and the Management Sciences
344
Applied economics
335
Research paper series / Swiss Finance Institute
335
Risks : open access journal
333
Applied mathematical finance
326
Journal of econometrics
323
The review of financial studies
319
Economics letters
318
SpringerLink / Bücher
313
Discussion paper / Tinbergen Institute
305
Economic modelling
302
The journal of computational finance
300
Working paper
298
The European journal of finance
283
Journal of empirical finance
278
Computational economics
273
The journal of portfolio management : a publication of Institutional Investor
270
The journal of asset management
267
International review of economics & finance : IREF
264
Energy economics
260
Journal of financial and quantitative analysis : JFQA
256
The North American journal of economics and finance : a journal of financial economics studies
252
Operations research
244
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ECONIS (ZBW)
742
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1
Utility maximization in a binomial model with transaction costs : a duality approach based on the shadow price process
Bayer, Christian
;
Veliyev, Bezirgen
- In:
International journal of theoretical and applied finance
17
(
2014
)
4
,
pp. 1-27
Persistent link: https://www.econbiz.de/10010391519
Saved in:
2
Conditional-mean hedging under transaction costs in Gaussian models
Sottinen, Tommi
;
Viitasaari, Lauri
- In:
International journal of theoretical and applied finance
21
(
2018
)
2
,
pp. 1-15
Persistent link: https://www.econbiz.de/10011854596
Saved in:
3
Pricing and hedging game options in currency models with proportional transaction costs
Roux, Alet
- In:
International journal of theoretical and applied finance
19
(
2016
)
7
,
pp. 1-25
Persistent link: https://www.econbiz.de/10011568851
Saved in:
4
On the numerical aspects of optimal option hedging with transaction costs
Josephy, Norman H.
;
Kimball, Lucia
;
Steblovskaya, Victoria
- In:
International journal of theoretical and applied finance
20
(
2017
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011686780
Saved in:
5
Singular perturbation expansion for utility maximization with order-ϵ quadratic transaction costs
Chandra, Shiva
;
Papanicolaou, Andrew
- In:
International journal of theoretical and applied finance
22
(
2019
)
7
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012153330
Saved in:
6
Dynamic conic finance : pricing and hedging in market models with transaction costs via dynamic coherent acceptability indices
Bielecki, Tomasz R.
;
Cialenco, Igor
;
Iyigunler, Ismail
; …
- In:
International journal of theoretical and applied finance
16
(
2013
)
1
,
pp. 1-36
Persistent link: https://www.econbiz.de/10009725092
Saved in:
7
Critical transaction costs and 1-step asymptotic arbitrage in fractional binary markets
Cordero, Fernando
;
Perez-Ostafe, Lavinia
- In:
International journal of theoretical and applied finance
18
(
2015
)
5
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011403853
Saved in:
8
Optimal portfolio selection strategies in the presence of transaction costs
Meng, Qiang
;
Weerasinghe, Ananda
- In:
International journal of theoretical and applied finance
9
(
2006
)
4
,
pp. 619-641
Persistent link: https://www.econbiz.de/10003347396
Saved in:
9
Probability distribution and option pricing for drawdown in a stochastic volatility environment
Yamamoto, Kyo
;
Sato, Seisho
;
Takahashi, Akihiko
- In:
International journal of theoretical and applied finance
13
(
2010
)
2
,
pp. 335-354
Persistent link: https://www.econbiz.de/10008860388
Saved in:
10
Tracking errors from discrete hedging in exponential Lévy models
Brodén, Mats
;
Tankov, Peter
- In:
International journal of theoretical and applied finance
14
(
2011
)
6
,
pp. 803-837
Persistent link: https://www.econbiz.de/10009381005
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