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Option pricing theory
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Taylor, Stephen
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The journal of derivatives : JOD
Games and economic behavior
130
Journal of economic theory
128
Theoretical economics : TE ; an open access journal in economic theory
61
Management science : journal of the Institute for Operations Research and the Management Sciences
53
Papers of Peter Cramton
43
NBER working paper series
38
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Discussion paper
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Review of economic design : RED
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The American economic review
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Cowles Foundation discussion paper
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Economic theory : official journal of the Society for the Advancement of Economic Theory
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Economics letters
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European journal of operational research : EJOR
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Journal of mathematical economics
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Boston College working papers in economics
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Social choice and welfare
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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ECONIS (ZBW)
15
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1
The premium reduction of European, American, and perpetual log return
options
Taylor, Stephen
;
Večeř, Jan
- In:
The journal of derivatives : JOD
28
(
2021
)
4
,
pp. 7-23
Persistent link: https://www.econbiz.de/10012612917
Saved in:
2
Bias correction for bond option greeks via jackknife
Zhang, Jinyu
;
Gao, Kang
;
Li, Yong
- In:
The journal of derivatives : JOD
28
(
2021
)
4
,
pp. 45-63
Persistent link: https://www.econbiz.de/10012612919
Saved in:
3
An arbitrage-free interpolation of class C2 for option prices
Le Floc'h, Fabien
- In:
The journal of derivatives : JOD
28
(
2021
)
4
,
pp. 64-86
Persistent link: https://www.econbiz.de/10012612921
Saved in:
4
Semi-analytical solutions for barrier and American
options
written on a time-dependent Ornstein-Uhlenbeck process
Carr, Peter
;
Itkin, Andrey
- In:
The journal of derivatives : JOD
29
(
2021
)
1
,
pp. 9-26
Persistent link: https://www.econbiz.de/10012612941
Saved in:
5
Pricing and hedging
options
on assets with
options
on related assets
Madan, Dilip B.
;
Wang, King
- In:
The journal of derivatives : JOD
29
(
2021
)
1
,
pp. 27-47
Persistent link: https://www.econbiz.de/10012612942
Saved in:
6
Evergreen trees : the likelihood ratio method for binomial and trinomial trees
Davis, Tom P.
- In:
The journal of derivatives : JOD
29
(
2021
)
1
,
pp. 49-69
Persistent link: https://www.econbiz.de/10012612943
Saved in:
7
An arbitrage-free real-world model for fractional option prices
Fink, Holger Maria
- In:
The journal of derivatives : JOD
29
(
2021
)
1
,
pp. 95-121
Persistent link: https://www.econbiz.de/10012612945
Saved in:
8
Testing and mapping an empirical exercise boundary for the American put option
Pimbley, Joseph M.
- In:
The journal of derivatives : JOD
29
(
2021
)
1
,
pp. 139-147
Persistent link: https://www.econbiz.de/10012612947
Saved in:
9
Pricing discretely monitored barrier
options
under Markov processes through markov chain approximation
Cui, Zhenyu
;
Taylor, Stephen
- In:
The journal of derivatives : JOD
28
(
2021
)
3
,
pp. 8-33
Persistent link: https://www.econbiz.de/10012486028
Saved in:
10
Universal arbitrage-free estimation of state price density
Hu, Qi
;
Newton, David P.
- In:
The journal of derivatives : JOD
28
(
2021
)
3
,
pp. 35-59
Persistent link: https://www.econbiz.de/10012486030
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