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~isPartOf:"Contemporary quantitative finance : essays in honour of Eckhard Platen"
~isPartOf:"Decisions in economics and finance : DEF ; a journal of applied mathematics"
~subject:"Analysis"
~subject:"Black-Scholes model"
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Analysis
Black-Scholes model
Option pricing theory
49
Optionspreistheorie
49
Volatility
20
Volatilität
20
Theorie
18
Theory
18
Stochastic process
16
Stochastischer Prozess
16
Option trading
12
Optionsgeschäft
12
Black-Scholes-Modell
7
Monte Carlo simulation
6
Monte-Carlo-Simulation
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Derivat
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Derivative
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Estimation theory
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Schätztheorie
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Stochastic volatility
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CAPM
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Calibration
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Estimation
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Hedging
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Mathematical analysis
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Option pricing
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Pricing
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Finanzmathematik
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Heston model
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Sanfelici, Simona
2
Albeverio, Sergio
1
Alòs, Elisa
1
Chiarella, Carl
1
Cordoni, Francesco
1
Di Persio, Luca
1
Gaudenzi, Marcellino
1
Grasselli, Martino
1
Hok, Julien
1
Jourdain, Benjamin
1
Kenmoe, Romuald N.
1
León, Jorge A.
1
Nieuwenhuis, J. H.
1
Pellegrini, Gregorio
1
Pressacco, Flavio
1
Tan, Shih-Hau
1
Tebaldi, Claudio
1
Vellekoop, Michel
1
Zanette, Antonino
1
Ziogas, Andrew
1
Ziveyi, Jonathan
1
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Contemporary quantitative finance : essays in honour of Eckhard Platen
Decisions in economics and finance : DEF ; a journal of applied mathematics
International journal of theoretical and applied finance
60
The journal of computational finance
36
Computational economics
31
Applied mathematical finance
28
Finance and stochastics
26
Journal of mathematical finance
25
International journal of financial engineering
24
Quantitative finance
23
Mathematical finance : an international journal of mathematics, statistics and financial theory
21
The journal of futures markets
19
Review of derivatives research
17
Risks : open access journal
14
Journal of banking & finance
13
The North American journal of economics and finance : a journal of financial economics studies
13
European journal of operational research : EJOR
10
Asia-Pacific financial markets
9
Journal of economic dynamics & control
9
Journal of risk and financial management : JRFM
8
Review of quantitative finance and accounting
8
The European journal of finance
8
Finance research letters
7
Fuzzy optimization and decision making : a journal of modeling and computation under uncertainty
7
International journal of theoretical and applied finance : IJTAF
7
Journal of derivatives & hedge funds
7
The journal of derivatives : the official publication of the International Association of Financial Engineers
7
Applied economics
6
Insurance / Mathematics & economics
6
Journal of econometrics
6
Research paper series / Swiss Finance Institute
6
SFB 649 discussion paper
6
Annals of finance
5
CARF working paper
5
Discussion paper / B
5
International journal of financial markets and derivatives
5
Mathematics and financial economics
5
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
5
Wiley finance series
5
Annals of financial economics
4
CIRJE discussion papers / F series
4
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1
Asymptotic expansion for some local volatility models arising in finance
Albeverio, Sergio
;
Cordoni, Francesco
;
Di Persio, Luca
; …
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 527-573
Persistent link: https://www.econbiz.de/10012127266
Saved in:
2
Calibration of local volatility model with stochastic interestrates by efficient numerical PDE methods
Hok, Julien
;
Tan, Shih-Hau
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 609-637
Persistent link: https://www.econbiz.de/10012127281
Saved in:
3
A note on the implied volatility of floating strike Asian options
Alòs, Elisa
;
León, Jorge A.
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 743-758
Persistent link: https://www.econbiz.de/10012127320
Saved in:
4
An application of nonparametric volatility estimators to option pricing
Kenmoe, Romuald N.
;
Sanfelici, Simona
- In:
Decisions in economics and finance : DEF ; a journal of …
37
(
2014
)
2
,
pp. 393-412
Persistent link: https://www.econbiz.de/10010412432
Saved in:
5
Representation of American option prices under Heston stochastic volatility dynamics using integral transforms
Chiarella, Carl
;
Ziogas, Andrew
;
Ziveyi, Jonathan
- In:
Contemporary quantitative finance : essays in honour of …
,
(pp. 281-315)
.
2010
Persistent link: https://www.econbiz.de/10008749199
Saved in:
6
A moments and strike matching binominal algorithm for pricing American put options
Jourdain, Benjamin
;
Zanette, Antonino
- In:
Decisions in economics and finance : DEF ; a journal of …
31
(
2008
)
1
,
pp. 33-49
Persistent link: https://www.econbiz.de/10003771585
Saved in:
7
Stochastic Jacobian and Riccati ODE in affine term structure models
Grasselli, Martino
;
Tebaldi, Claudio
- In:
Decisions in economics and finance : DEF ; a journal of …
30
(
2007
)
2
,
pp. 95-108
Persistent link: https://www.econbiz.de/10003630203
Saved in:
8
Weak convergence of tree methods to price options on defaultable assets
Nieuwenhuis, J. H.
;
Vellekoop, Michel
- In:
Decisions in economics and finance : DEF ; a journal of …
27
(
2004
)
2
,
pp. 87-107
Persistent link: https://www.econbiz.de/10003095202
Saved in:
9
Galerkin infinite element approximation for pricing barrier options and options with discontinuous payoff
Sanfelici, Simona
- In:
Decisions in economics and finance : DEF ; a journal of …
27
(
2004
)
2
,
pp. 125-151
Persistent link: https://www.econbiz.de/10003095208
Saved in:
10
An efficient binomial method for pricing American options
Gaudenzi, Marcellino
;
Pressacco, Flavio
- In:
Decisions in economics and finance : DEF ; a journal of …
26
(
2003
)
1
,
pp. 1-17
Persistent link: https://www.econbiz.de/10003837087
Saved in:
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