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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:"Zinsstruktur"
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Option Prices with Stochastic...
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Currency option
Kapitaleinkommen
Monte Carlo simulation
Zinsstruktur
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
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
Portfolio-Management
9
Risikoprämie
9
Risk premium
9
ARCH model
8
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Article
48
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1
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47
Aufsatz in Zeitschrift
47
Systematic review
2
Übersichtsarbeit
2
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1
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1
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English
49
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Chen, Son-nan
4
Wu, Ting-pin
4
Ritchken, Peter H.
2
Andersen, Torben
1
Babsiri, Mohamed el
1
Bakshi, Gurdip S.
1
Bennett, Michael N.
1
Benzoni, Luca
1
Bjerregaard Pedersen, Morten
1
Boenawan, Kiekie
1
Boogert, Alexander
1
Brenner, Menachem
1
Brigo, Damiano
1
Bühler, Wolfgang
1
Chang, Jui-jane
1
Chateauneuf, Alain
1
Chen, Ren-Raw
1
Chen, Zhiwu
1
Chiang, Mi-Hsiu
1
Choi, Seung-mook S.
1
Chuang, Ming-Che
1
Collin-Dufresne, Pierre
1
Coval, Joshua
1
Dravid, Ajay R.
1
Duan, Jin-Chuan
1
Duck, Peter W.
1
Dutt, Samir K.
1
Eldor, Rafi
1
Engle, Robert F.
1
Fabozzi, Frank J.
1
Fournier, Mathieu
1
Gesser, Vincent
1
Ghamami, Samim
1
Grullon, Gustavo
1
Hauser, Shmuel
1
Heston, Steven L.
1
Ho, Thomas S. Y.
1
Hull, John
1
Jacobs, Kris
1
Jensen, Malene Shin
1
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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
78
The journal of computational finance
64
Quantitative finance
50
Mathematical finance : an international journal of mathematics, statistics and financial theory
49
Journal of banking & finance
42
Applied mathematical finance
40
The journal of futures markets
38
Finance and stochastics
34
Review of derivatives research
30
Journal of financial economics
27
International journal of financial engineering
24
Finance research letters
22
Risks : open access journal
21
Computational economics
20
European journal of operational research : EJOR
19
The North American journal of economics and finance : a journal of financial economics studies
18
The journal of fixed income
18
Insurance / Mathematics & economics
16
Journal of economic dynamics & control
16
Journal of risk and financial management : JRFM
16
The European journal of finance
16
The review of financial studies
16
Asia-Pacific financial markets
14
Energy economics
14
Research paper series / Swiss Finance Institute
14
Journal of mathematical finance
13
Management science : journal of the Institute for Operations Research and the Management Sciences
13
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
13
Working paper series / Centre for Practical Quantitative Finance
13
Journal of financial and quantitative analysis : JFQA
12
Review of quantitative finance and accounting
12
International review of financial analysis
11
Journal of empirical finance
11
Working paper
11
Journal of econometrics
10
Applied economics
9
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
9
Decisions in economics and finance : DEF ; a journal of applied mathematics
8
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ECONIS (ZBW)
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1
Evolution of interest rate models : a comparison
Ho, Thomas S. Y.
- In:
The journal of derivatives : the official publication …
2
(
1995
)
4
,
pp. 9-20
Persistent link: https://www.econbiz.de/10001223174
Saved in:
2
Efficient analytical cascade calibration of the LIBOR market model with endogenous interpolation
Brigo, Damiano
;
Morini, Massimo
- In:
The journal of derivatives : the official publication …
14
(
2006
)
1
,
pp. 40-60
Persistent link: https://www.econbiz.de/10003379121
Saved in:
3
Forward versus spot interest rate models of the term structure
Moraleda Novo, Juan Manuel
;
Pelsser, Antoon André Jean
- In:
The journal of derivatives : the official publication …
7
(
2000
)
3
,
pp. 9-21
Persistent link: https://www.econbiz.de/10001497753
Saved in:
4
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:
5
Valuation of interest rate spread options in a multifactor LIBOR market model
Wu, Ting-pin
;
Chen, Son-nan
- In:
The journal of derivatives : the official publication …
16
(
2008/09
)
3
,
pp. 38-52
Persistent link: https://www.econbiz.de/10003852622
Saved in:
6
Analytical valuation of barrier interest rate options under market models
Wu, Ting-pin
;
Chen, Son-nan
- In:
The journal of derivatives : the official publication …
17
(
2009/10
)
1
,
pp. 21-37
Persistent link: https://www.econbiz.de/10003892315
Saved in:
7
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:
8
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:
9
Modeling term structure of default correlation
Suchintabandid, Sira
- In:
The journal of derivatives : the official publication …
22
(
2015
)
4
,
pp. 26-36
Persistent link: https://www.econbiz.de/10011399738
Saved in:
10
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
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