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~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~isPartOf:"The journal of finance : the journal of the American Finance Association"
~subject:"Currency option"
~subject:"Kapitaleinkommen"
~subject:"Monte Carlo simulation"
~subject:"Portfolio-Management"
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Option Prices with Stochastic...
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Currency option
Kapitaleinkommen
Monte Carlo simulation
Portfolio-Management
Option pricing theory
258
Optionspreistheorie
258
Theorie
146
Theory
146
Option trading
59
Optionsgeschäft
59
Volatility
56
Volatilität
56
USA
55
United States
55
Black-Scholes model
35
Black-Scholes-Modell
35
Estimation
31
Schätzung
31
Yield curve
27
Zinsstruktur
27
Derivat
26
Derivative
26
Hedging
25
Stochastic process
24
Stochastischer Prozess
24
CAPM
19
Index futures
19
Index-Futures
19
Aktienoption
18
Stock option
18
Interest rate derivative
17
Zinsderivat
17
Statistical distribution
16
Statistische Verteilung
16
Swap
13
Börsenkurs
11
Share price
11
Capital income
9
Portfolio selection
9
Risikoprämie
9
Risk premium
9
ARCH model
8
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30
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30
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1
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1
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English
31
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Andersen, Torben
1
Babsiri, Mohamed el
1
Bakshi, Gurdip S.
1
Bennett, Michael N.
1
Benninga, Simon
1
Benzoni, Luca
1
Blume, Marshall E.
1
Boogert, Alexander
1
Brenner, Menachem
1
Carr, Peter
1
Chateauneuf, Alain
1
Chen, Zhiwu
1
Choi, Seung-mook S.
1
Coval, Joshua
1
Demeterfi, Kresimir
1
Duan, Jin-Chuan
1
Duck, Peter W.
1
Dutt, Samir K.
1
Eldor, Rafi
1
Fan, Rong
1
Fournier, Mathieu
1
Gesser, Vincent
1
Ghamami, Samim
1
Grullon, Gustavo
1
Gupta, Anurag
1
Hamerle, Alfred
1
Hauser, Shmuel
1
Heston, Steven L.
1
Igl, Andreas
1
Israelov, Roni
1
Jacobs, Kris
1
Jones, Christopher S.
1
Jong, Cyriel de
1
Kennedy, Joanne E.
1
Khorram, Mehdi
1
Leung, Yan
1
Li, Shuaiqi
1
Lund, Jesper
1
Lyandres, Evgeny
1
López, José A.
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American Finance Association
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The journal of derivatives : the official publication of the International Association of Financial Engineers
The journal of finance : the journal of the American Finance Association
International journal of theoretical and applied finance
74
Quantitative finance
50
The journal of computational finance
50
Finance and stochastics
39
Insurance / Mathematics & economics
39
Mathematical finance : an international journal of mathematics, statistics and financial theory
39
Applied mathematical finance
33
Journal of economic dynamics & control
33
Journal of banking & finance
31
The journal of futures markets
29
European journal of operational research : EJOR
28
International journal of financial engineering
24
Journal of financial economics
24
Journal of risk and financial management : JRFM
22
The North American journal of economics and finance : a journal of financial economics studies
21
Computational economics
20
Finance research letters
19
Journal of mathematical finance
19
Research paper series / Swiss Finance Institute
19
Review of derivatives research
18
Risks : open access journal
18
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
16
Energy economics
15
International review of financial analysis
14
Management science : journal of the Institute for Operations Research and the Management Sciences
14
The European journal of finance
14
Journal of financial and quantitative analysis : JFQA
12
Working paper series / Centre for Practical Quantitative Finance
12
Asia-Pacific financial markets
11
Mathematics of operations research
11
The review of financial studies
11
Mathematics and financial economics
10
SpringerLink / Bücher
10
Applied economics
9
Decisions in economics and finance : DEF ; a journal of applied mathematics
9
Economic modelling
9
Journal of econometrics
9
Mathematical methods of operations research
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ECONIS (ZBW)
31
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1
An empirical investigation of continuous-time equity return models
Andersen, Torben
;
Benzoni, Luca
;
Lund, Jesper
- In:
The journal of finance : the journal of the American …
57
(
2002
)
3
,
pp. 1239-1284
Persistent link: https://www.econbiz.de/10001684993
Saved in:
2
Hedging in the possible presence of unspanned stochastic volatility : evidence from swaption markets
Fan, Rong
;
Gupta, Anurag
;
Ritchken, Peter H.
- In:
The journal of finance : the journal of the American …
58
(
2003
)
5
,
pp. 2219-2248
Persistent link: https://www.econbiz.de/10001797838
Saved in:
3
On the optimality of portfolio insurance
Benninga, Simon
- In:
The journal of finance : the journal of the American …
40
(
1985
)
5
,
pp. 1341-1352
Persistent link: https://www.econbiz.de/10001007042
Saved in:
4
Gas storage valuation using a Monte Carlo method
Boogert, Alexander
;
Jong, Cyriel de
- In:
The journal of derivatives : the official publication …
15
(
2008
)
3
,
pp. 81-98
Persistent link: https://www.econbiz.de/10003673367
Saved in:
5
Efficient Monte Carlo barrier option pricing when the underlying security price follows a jump-diffusion process
Ross, Sheldon M.
;
Ghamami, Samim
- In:
The journal of derivatives : the official publication …
17
(
2009/10
)
3
,
pp. 45-52
Persistent link: https://www.econbiz.de/10003961017
Saved in:
6
Relative option prices and risk-neutral skew as predictors of index returns
Ratcliff, Ryan
- In:
The journal of derivatives : the official publication …
21
(
2013
)
2
,
pp. 89-105
Persistent link: https://www.econbiz.de/10010358117
Saved in:
7
A guide to FX options quoting conventions
Reiswich, Dimitri
;
Wystup, Uwe
- In:
The journal of derivatives : the official publication …
18
(
2010
)
2
,
pp. 58-68
Persistent link: https://www.econbiz.de/10008771850
Saved in:
8
Correlation, smile, volatility skew, and systematic risk sensitivity of tranches
Hamerle, Alfred
;
Igl, Andreas
;
Plank, Kilian
- In:
The journal of derivatives : the official publication …
19
(
2012
)
3
,
pp. 9-27
Persistent link: https://www.econbiz.de/10009671109
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9
Just-in-time Monte Carlo for path-dependent American options
Dutt, Samir K.
;
Welke, Gerd M.
- In:
The journal of derivatives : the official publication …
15
(
2008
)
4
,
pp. 29-47
Persistent link: https://www.econbiz.de/10003733222
Saved in:
10
Quanto pricing with copulas
Bennett, Michael N.
;
Kennedy, Joanne E.
- In:
The journal of derivatives : the official publication …
12
(
2004
)
1
,
pp. 26-45
Persistent link: https://www.econbiz.de/10002210955
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