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Option pricing theory
Risk
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Risiko
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Theorie
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Madan, Dilip B.
88
Härdle, Wolfgang
86
Fabozzi, Frank J.
82
Cui, Zhenyu
70
Takahashi, Akihiko
66
Joshi, Mark S.
65
Carr, Peter
63
Chiarella, Carl
59
Schoutens, Wim
55
Stentoft, Lars
55
Jacobs, Kris
52
Benth, Fred Espen
45
Elliott, Robert J.
45
Hull, John
43
Christoffersen, Peter F.
39
Kwok, Yue-Kuen
38
Oosterlee, Cornelis W.
38
Kim, Young Shin
37
Jarrow, Robert A.
36
Lee, Cheng F.
36
Račev, Svetlozar T.
36
Siu, Tak Kuen
36
Fusai, Gianluca
34
Schlögl, Erik
33
Wang, Xingchun
33
Zhang, Jin E.
33
Jacquier, Antoine (Jack)
32
Platen, Eckhard
32
Yang, Zhaojun
32
Barone-Adesi, Giovanni
31
Chesney, Marc
31
Ewald, Christian-Oliver
31
Schwartz, Eduardo S.
31
Li, Lingfei
29
Schoenmakers, John
29
Todorov, Viktor
29
Prokopczuk, Marcel
28
Wong, Hoi Ying
28
Wystup, Uwe
28
Alexander, Carol
27
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National Bureau of Economic Research
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Centre for Analytical Finance <Århus>
24
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
21
Ekonomiska forskningsinstitutet <Stockholm>
10
Svenska Handelshögskolan <Helsinki>
10
Center for Economic Research <Tilburg>
9
Chambre de commerce et d'industrie de Paris
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Weierstraß-Institut für Angewandte Analysis und Stochastik
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Deutsche Forschungsgemeinschaft
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Sonderforschungsbereich 303 - Information und die Koordination Wirtschaftlicher Aktivitäten, Universität Bonn
6
Universitat Pompeu Fabra / Departament d'Economia i Empresa
5
Verlag Dr. Kovač
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Bonn Graduate School of Economics
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Centre of Financial Studies
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Institut for Finansiering <Frederiksberg>
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Johannes Gutenberg-Universität Mainz
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Springer Fachmedien Wiesbaden
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Institute of Finance and Accounting <London>
3
International Center for Financial Asset Management and Engineering
3
Karlsruher Institut für Technologie
3
Universiteit Antwerpen / Faculteit Toegepaste Economische Wetenschappen
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Associazione Operatori Bancari in Titoli
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Banque de France / Direction des Etudes Economiques et de la Recherche
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Birkbeck College / Department of Economics
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Cambridge University Press
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Centre for Economic Policy Research
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Centre for Quantitative Economics & Computing
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Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
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Christian-Albrechts-Universität zu Kiel
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Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
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Eberhard Karls Universität Tübingen
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Econometrisch Instituut <Rotterdam>
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Erasmus Research Institute of Management
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European Parliament / Directorate-General for Internal Policies of the Union
2
Federal Reserve Bank of Cleveland
2
Federal Reserve Bank of St. Louis
2
Hochschule für Bankwirtschaft
2
Institutt for Foretaksøkonomi <Bergen, Norwegen>
2
International Centre for Trade and Sustainable Development
2
Judge Institute of Management Studies
2
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International journal of theoretical and applied finance
481
The journal of futures markets
275
Mathematical finance : an international journal of mathematics, statistics and financial theory
256
The journal of computational finance
256
Applied mathematical finance
248
Finance and stochastics
229
Quantitative finance
225
Journal of banking & finance
216
The journal of derivatives : the official publication of the International Association of Financial Engineers
212
Review of derivatives research
181
Insurance / Mathematics & economics
158
European journal of operational research : EJOR
135
Finance research letters
135
Computational economics
129
Journal of economic dynamics & control
128
International journal of financial engineering
121
Journal of mathematical finance
112
Risks : open access journal
108
Research paper series / Swiss Finance Institute
90
The North American journal of economics and finance : a journal of financial economics studies
86
The European journal of finance
84
Journal of financial economics
83
Asia-Pacific financial markets
76
Journal of econometrics
72
International review of economics & finance : IREF
63
Journal of financial and quantitative analysis : JFQA
60
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
60
Annals of finance
58
NBER working paper series
58
Energy economics
57
Journal of risk and financial management : JRFM
57
SFB 649 discussion paper
57
The journal of finance : the journal of the American Finance Association
57
Review of quantitative finance and accounting
56
The journal of derivatives : JOD
55
Economic modelling
53
Journal of empirical finance
53
Management science : journal of the Institute for Operations Research and the Management Sciences
53
The journal of real estate finance and economics
52
Mathematics and financial economics
51
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ECONIS (ZBW)
15,057
RePEc
6
EconStor
1
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1
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15,064
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date (newest first)
date (oldest first)
1
Valuation of R&D compound option using Markov chain approach
D'Amico, Guglielmo
;
Villani, Giovanni
- In:
Annals of finance
17
(
2021
)
3
,
pp. 379-404
Persistent link: https://www.econbiz.de/10012622325
Saved in:
2
A Bayesian beta Markov random field calibration of the term structure of implied
risk
neutral densities
Casarin, Roberto
;
Leisen, Fabrizio
;
Molina, German
; …
-
2014
Persistent link: https://www.econbiz.de/10011631789
Saved in:
3
A Bayesian analysis of time-varying jump
risk
in S&P 500 returns and options
Carverhill, Andrew
;
Luo, Dan
- In:
Journal of financial markets
64
(
2023
),
pp. 1-21
Persistent link: https://www.econbiz.de/10014466112
Saved in:
4
Leverage effect on stochastic volatility for option pricing in Hong Kong : a
simulation
and empirical study
Hong, Hui
;
Bian, Zhicun
;
Chen, Naiwei
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012666125
Saved in:
5
Exact
simulation
of gamma-driven Ornstein-Uhlenbeck processes with finite and infinite activity jumps
Qu, Yan
;
Dassios, Angelos
;
Zhao, Hongbiao
- In:
Journal of the Operational Research Society
72
(
2021
)
2
,
pp. 471-484
Persistent link: https://www.econbiz.de/10012500958
Saved in:
6
Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 925-950
Persistent link: https://www.econbiz.de/10014293270
Saved in:
7
Efficient
simulation
of clustering jumps with CIR intensity
Dassios, Angelos
;
Zhao, Hongbiao
- In:
Operations research
65
(
2017
)
6
,
pp. 1494-1515
Persistent link: https://www.econbiz.de/10011777769
Saved in:
8
Option portfolio management in a
risk
-neutral world
Golembiovsky, Dmitry Jurievich
;
Abramov, Anatoly Markovich
- In:
Journal of mathematical finance
8
(
2018
)
4
,
pp. 710-733
Persistent link: https://www.econbiz.de/10012016559
Saved in:
9
Analysis of Markov chain approximation for Asian options and occupation-time derivatives : Greeks and convergence rates
Yang, Wensheng
;
Ma, Jingtang
;
Cui, Zhenyu
- In:
Mathematical methods of operations research : ZOR
93
(
2021
)
2
,
pp. 359-412
Persistent link: https://www.econbiz.de/10012548535
Saved in:
10
Dynamic price jumps : the performance of high frequency tests and measures, and the robustness of inference
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2018
Persistent link: https://www.econbiz.de/10012583570
Saved in:
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