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Option pricing theory
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Review of derivatives research
International journal of theoretical and applied finance
557
Journal of banking & finance
512
NBER working paper series
506
Working paper / National Bureau of Economic Research, Inc.
443
Journal of financial economics
398
European journal of operational research : EJOR
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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Energy economics
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International review of financial analysis
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Research paper series / Swiss Finance Institute
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ECONIS (ZBW)
187
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1
A binomial approximation for two-state Markovian HJM models
Costabile, Massimo
;
Massabo, Ivar
;
Russo, Emilio
- In:
Review of derivatives research
14
(
2011
)
1
,
pp. 37-65
Persistent link: https://www.econbiz.de/10009272493
Saved in:
2
A four-factor stochastic volatility model of commodity prices
Schöne, Max F.
;
Spinler, Stefan
- In:
Review of derivatives research
20
(
2017
)
2
,
pp. 135-165
Persistent link: https://www.econbiz.de/10011935975
Saved in:
3
Fourier transformation and the pricing of average-rate derivatives
Ju, Nengjiu
;
Zhong, Rui
- In:
Review of derivatives research
9
(
2006
)
3
,
pp. 187-212
Persistent link: https://www.econbiz.de/10003608138
Saved in:
4
Option pricing and hedging under a stochastic volatility Lévy process model
Kim, Young Shin
;
Fabozzi, Frank J.
;
Lin, Zuodong
; …
- In:
Review of derivatives research
15
(
2012
)
1
,
pp. 81-97
Persistent link: https://www.econbiz.de/10009627431
Saved in:
5
On Cox processes and credit risky securities
Lando, David
- In:
Review of derivatives research
2
(
1998
)
2/3
,
pp. 99-120
Persistent link: https://www.econbiz.de/10001497926
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6
Pricing exotic options in a regime switching economy : a Fourier transform method
Hieber, Peter
- In:
Review of derivatives research
21
(
2018
)
2
,
pp. 231-252
Persistent link: https://www.econbiz.de/10012055739
Saved in:
7
Commodity derivative valuation under a factor model with time-varying market prices of risk
García Mirantes, Andrés
;
Población, Javier
;
Serna, …
- In:
Review of derivatives research
18
(
2015
)
1
,
pp. 75-93
Persistent link: https://www.econbiz.de/10011414114
Saved in:
8
Contingent claims on foreign assets following jump-diffusion processes
Martzoukos, Spiros A.
- In:
Review of derivatives research
6
(
2003
)
1
,
pp. 27-45
Persistent link: https://www.econbiz.de/10001772422
Saved in:
9
Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk : application of Mellin transform methods
Ma, Zonggang
;
Ma, Chaoqun
;
Wu, Zhijian
- In:
Review of derivatives research
25
(
2022
)
1
,
pp. 47-91
Persistent link: https://www.econbiz.de/10013191382
Saved in:
10
A comparison of single factor Markov-functional and multi factor market models
Pietersz, Raoul
;
Pelsser, Antoon André Jean
- In:
Review of derivatives research
13
(
2010
)
3
,
pp. 245-272
Persistent link: https://www.econbiz.de/10008695888
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