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The European journal of finance
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1
Valuing basket-spread options with default risk under Hawkes jump-diffusion processes
Li, Zelei
;
Tang, Dan
;
Wang, Xingchun
- In:
The European journal of finance
29
(
2023
)
12
,
pp. 1406-1431
Persistent link: https://www.econbiz.de/10014323018
Saved in:
2
Hawkes jump-diffusions and finance : a brief history and review
Hawkes, Alan G.
- In:
The European journal of finance
28
(
2022
)
7
,
pp. 627-641
Persistent link: https://www.econbiz.de/10013373304
Saved in:
3
Liquidity-adjusted value-at-risk : a comprehensive extension with microstructural liquidity components
Ryu, Doojin
;
Webb, Robert I.
;
Yu, Jinyoung
- In:
The European journal of finance
28
(
2022
)
9
,
pp. 871-888
Persistent link: https://www.econbiz.de/10013373347
Saved in:
4
A parameter based approach to single factor stochastic process selection for real options applications
Bastian-Pinto, Carlos de Lamare
;
Brandão, Luiz Eduardo …
- In:
The European journal of finance
27
(
2021
)
15
,
pp. 1533-1552
Persistent link: https://www.econbiz.de/10012653114
Saved in:
5
Bitcoin option pricing with a SETAR-GARCH model
Siu, Tak Kuen
;
Elliott, Robert J.
- In:
The European journal of finance
27
(
2021
)
6
,
pp. 564-595
Persistent link: https://www.econbiz.de/10012484403
Saved in:
6
An examination of ex ante risk and return in the cross-section using option-implied information
Kim, Dongcheol
;
Chen, Ren-Raw
;
Roh, Tai-Yong
;
Panda, Durga
- In:
The European journal of finance
26
(
2020
)
16
,
pp. 1623-1645
Persistent link: https://www.econbiz.de/10012314643
Saved in:
7
Volatility and variance swaps and options in the fractional SABR model
Kim, See-Woo
;
Kim, Jeong-Hoon
- In:
The European journal of finance
26
(
2020
)
17
,
pp. 1725-1745
Persistent link: https://www.econbiz.de/10012314649
Saved in:
8
American and exotic options in a market with frictions
Junike, Gero
;
Arratia, Argimiro
;
Cabaña, Alejandra
; …
- In:
The European journal of finance
26
(
2020
)
2/3
,
pp. 179-199
Persistent link: https://www.econbiz.de/10012207193
Saved in:
9
Pricing European options under a diffusion model with psychological barriers and leverage effect
Song, Shiyu
;
Wang, Guanying
;
Wang, Yongjin
- In:
The European journal of finance
26
(
2020
)
12
,
pp. 1184-1206
Persistent link: https://www.econbiz.de/10012264954
Saved in:
10
The valuation of vulnerable European options with risky collateral
Wang, Guanying
;
Wang, Xingchun
;
Shao, Xinjian
- In:
The European journal of finance
26
(
2020
)
13
,
pp. 1315-1331
Persistent link: https://www.econbiz.de/10012264969
Saved in:
11
The investment decision with technological and market uncertainties
Fan, Yunfeng
;
Sarkar, Sudipto
;
Zhang, Chuanqian
- In:
The European journal of finance
25
(
2019
)
2
,
pp. 116-138
Persistent link: https://www.econbiz.de/10012206960
Saved in:
12
Option pricing and hedging in different cyclical structures : a two-dimensional Markov-modulated model
Chen, Son-nan
;
Hsu, Pao-Peng
;
Liang, Kuo-yuan
- In:
The European journal of finance
25
(
2019
)
8
,
pp. 762-779
Persistent link: https://www.econbiz.de/10012207028
Saved in:
13
Discounting earnings with stochastic discount rates
Realdon, Marco
- In:
The European journal of finance
25
(
2019
)
10
,
pp. 910-936
Persistent link: https://www.econbiz.de/10012207041
Saved in:
14
Pricing temperature derivatives with a filtered historical simulation approach
Rui, Zhou
;
Li, Johnny Siu-Hang
;
Pai, Jeffrey
- In:
The European journal of finance
25
(
2019
)
15
,
pp. 1462-1484
Persistent link: https://www.econbiz.de/10012207113
Saved in:
15
Pricing inflation-indexed derivatives with default risk
Chen, Son-nan
;
Hsu, Pao-Peng
- In:
The European journal of finance
24
(
2018
)
15
,
pp. 1272-1287
Persistent link: https://www.econbiz.de/10012258889
Saved in:
16
Credit ratings and convertible bond prices : a simulation-based valuation
Park, Keehwan
;
Jung, Mookwon
;
Lee, Sangki
- In:
The European journal of finance
24
(
2018
)
10/12
,
pp. 1001-1025
Persistent link: https://www.econbiz.de/10012244436
Saved in:
17
A new closed-form formula for pricing European options under a skew Brownian motion
Zhu, Song-Ping
;
He, Xin-Jiang
- In:
The European journal of finance
24
(
2018
)
10/12
,
pp. 1063-1074
Persistent link: https://www.econbiz.de/10012244440
Saved in:
18
Sequential investments with stage-specific risks and drifts
Adkins, Roger
;
Paxson, Dean A.
- In:
The European journal of finance
23
(
2017
)
10/12
,
pp. 1150-1175
Persistent link: https://www.econbiz.de/10011741473
Saved in:
19
How Spanish options market smiles in summer : an empirical analysis for options on IBEX-35
García-Machado, Juan J.
;
Rybczyński, Jarosław
- In:
The European journal of finance
23
(
2017
)
1/3
,
pp. 153-169
Persistent link: https://www.econbiz.de/10011736237
Saved in:
20
Hedging of Asian options under exponential Lévy models : computation and performance
Ballotta, Laura
;
Gerrard, Russell
;
Kyriakou, Ioannis
- In:
The European journal of finance
23
(
2017
)
4/6
,
pp. 297-323
Persistent link: https://www.econbiz.de/10011736257
Saved in:
21
Pricing volatility options under stochastic skew with application to the VIX index
Marabel Romo, Jacinto
- In:
The European journal of finance
23
(
2017
)
4/6
,
pp. 353-374
Persistent link: https://www.econbiz.de/10011736265
Saved in:
22
Pricing of foreign exchange options under the MPT stochastic volatility model and the CIR interest rates
Ahlip, Rehez
;
Rutkowski, Marek
- In:
The European journal of finance
22
(
2016
)
7/9
,
pp. 551-571
Persistent link: https://www.econbiz.de/10011619055
Saved in:
23
Pricing derivatives with modeling CO2 emission allowance using a regime-switching jump diffusion model : with regime-switching risk premium
Li, Chang-Yi
;
Chen, Son-nan
;
Lin, Shih-kuei
- In:
The European journal of finance
22
(
2016
)
10/12
,
pp. 887-908
Persistent link: https://www.econbiz.de/10011715220
Saved in:
24
A structural model for credit risk with switching processes and synchronous jumps
Hainaut, Donatien
;
Colwell, David B.
- In:
The European journal of finance
22
(
2016
)
10/12
,
pp. 1040-1062
Persistent link: https://www.econbiz.de/10011715297
Saved in:
25
Multivariate asset models using Lévy processes and applications
Ballotta, Laura
;
Bonfiglioli, Efrem
- In:
The European journal of finance
22
(
2016
)
13/15
,
pp. 1320-1350
Persistent link: https://www.econbiz.de/10011715430
Saved in:
26
Estimating loss-given default through advanced credibility theory
Bonini, Stefano
;
Caivano, Giuliana
- In:
The European journal of finance
22
(
2016
)
13/15
,
pp. 1351-1362
Persistent link: https://www.econbiz.de/10011715432
Saved in:
27
How to design down-and-out barrier option contracts so that firms invest when it is socially efficient
Jou, Jyh-Bang
;
Lee, Tan
- In:
The European journal of finance
22
(
2016
)
13/15
,
pp. 1561-1579
Persistent link: https://www.econbiz.de/10011715495
Saved in:
28
Real options at the interface of finance and operations : exploiting embedded supply-chain real options to gain competitiveness
Avanzi, Benjamin
;
Bicer, Isik
;
De Treville, Suzanne
; …
- In:
The European journal of finance
19
(
2013
)
7/8
,
pp. 760-778
Persistent link: https://www.econbiz.de/10010244731
Saved in:
29
A pricing kernel approach to valuing options on interest rate futures
Liu, Xiaoquan
;
Kuo, Jing-Ming
;
Coakley, Jerry
- In:
The European journal of finance
21
(
2015
)
1/3
,
pp. 93-110
Persistent link: https://www.econbiz.de/10010519972
Saved in:
30
Sequential real rainbow options
Dockendorf, Jörg
;
Paxson, Dean A.
- In:
The European journal of finance
21
(
2015
)
10/12
,
pp. 867-892
Persistent link: https://www.econbiz.de/10011301977
Saved in:
31
A generalized approach to optimal hedging with option contracts
Bajo, Emanuele
;
Barbi, Massimiliano
;
Romagnoli, Silvia
- In:
The European journal of finance
21
(
2015
)
7/9
,
pp. 714-733
Persistent link: https://www.econbiz.de/10011302047
Saved in:
32
Modeling electricity spot prices : combining mean reversion, spikes, and stochastic volatility
Mayer, Klaus
;
Schmid, Thomas
;
Weber, Florian
- In:
The European journal of finance
21
(
2015
)
4/6
,
pp. 292-315
Persistent link: https://www.econbiz.de/10010528197
Saved in:
33
Special issue on 2010 and 2011 forecasting financial markets conference
Dunis, Christian
(
contributor
)
-
2015
Persistent link: https://www.econbiz.de/10010528214
Saved in:
34
The relationship between conditional value at risk and option prices with a closed-form solution
Mitra, Sovan
- In:
The European journal of finance
21
(
2015
)
4/6
,
pp. 400-425
Persistent link: https://www.econbiz.de/10010528975
Saved in:
35
A functional approach to pricing complex barrier options
Mazzoni, Thomas
- In:
The European journal of finance
20
(
2014
)
4/6
,
pp. 399-418
Persistent link: https://www.econbiz.de/10010462022
Saved in:
36
The sensitivity of beta to the time horizon when log prices follow an Ornstein-Uhlenbeck process
Hong, KiHoon Jimmy
;
Satchell, Stephen
- In:
The European journal of finance
20
(
2014
)
1/3
,
pp. 264-290
Persistent link: https://www.econbiz.de/10010462111
Saved in:
37
Optimal hedging of variance derivatives
Crosby, John
- In:
The European journal of finance
20
(
2014
)
1/3
,
pp. 150-180
Persistent link: https://www.econbiz.de/10010462131
Saved in:
38
Predictability in implied volatility surfaces : evidence from the euro OTC FX market
Chalamandaris, Georgios
;
Tsekrekos, Andrianos E.
- In:
The European journal of finance
20
(
2014
)
1/3
,
pp. 33-58
Persistent link: https://www.econbiz.de/10010462211
Saved in:
39
Investor sentiment and value and growth stock index options
Coakley, Jerry
;
Dotsis, George
;
Liu, Xiaoquan
;
Zhai, Jia
- In:
The European journal of finance
20
(
2014
)
10/12
,
pp. 1211-1229
Persistent link: https://www.econbiz.de/10010465894
Saved in:
40
Private acquisition gains : a contingent claims explanation
Doukas, John A.
;
Gonenc, Halit
;
Plantinga, Auke
- In:
The European journal of finance
20
(
2014
)
10/12
,
pp. 1090-1113
Persistent link: https://www.econbiz.de/10010465915
Saved in:
41
Risk sharing in a financial market with endogenous option prices
Wenzelburger, Jan
- In:
The European journal of finance
19
(
2013
)
5/6
,
pp. 491-517
Persistent link: https://www.econbiz.de/10010243599
Saved in:
42
Arbitrage violations and implied valuations : the option market
Ioffe, Ioulia D.
;
Prisman, Eliezer Zeev
- In:
The European journal of finance
19
(
2013
)
3/4
,
pp. 298-317
Persistent link: https://www.econbiz.de/10010243641
Saved in:
43
Gas storage valuation under limited market liquidity : an application in Germany
Felix, Bastian
;
Woll, Oliver
;
Weber, Christoph
- In:
The European journal of finance
19
(
2013
)
7/8
,
pp. 715-733
Persistent link: https://www.econbiz.de/10010244737
Saved in:
44
The value of switching inputs in a biodiesel production plant
Brandão, Luiz Eduardo Teixeira
;
Penedo, Gilberto Master
; …
- In:
The European journal of finance
19
(
2013
)
7/8
,
pp. 674-688
Persistent link: https://www.econbiz.de/10010244742
Saved in:
45
Continuous rainbow options on commodity outputs : what is the real value of switching facilities?
Dockendorf, Jörg
;
Paxson, Dean A.
- In:
The European journal of finance
19
(
2013
)
7/8
,
pp. 645-673
Persistent link: https://www.econbiz.de/10010244745
Saved in:
46
Real option pricing with mean-reverting investment and project value
Jaimungal, Sebastian
;
Souza, Max O. de
;
Zubelli, Jorge P.
- In:
The European journal of finance
19
(
2013
)
7/8
,
pp. 625-644
Persistent link: https://www.econbiz.de/10010244747
Saved in:
47
Revisiting the Tourinho real options model : outstanding issues 30 years later
Tourinho, Octávio Augusto Fontes
- In:
The European journal of finance
19
(
2013
)
7/8
,
pp. 591-603
Persistent link: https://www.econbiz.de/10010244752
Saved in:
48
Investment options with debt-financing constraints
Koussis, Nicos
;
Martzoukos, Spiros A.
- In:
The European journal of finance
18
(
2012
)
7/8
,
pp. 619-637
Persistent link: https://www.econbiz.de/10009666541
Saved in:
49
Special issue: Real options : the state of the art
Rocha Armada, Manuel da
(
contributor
)
-
2012
Persistent link: https://www.econbiz.de/10010243778
Saved in:
50
Multivariate digital options with memory
Cherubini, Umberto
;
Romagnoli, Silvia
- In:
The European journal of finance
17
(
2011
)
7/8
,
pp. 649-660
Persistent link: https://www.econbiz.de/10009509839
Saved in:
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