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isPartOf:"Asia-Pacific financial markets"
~isPartOf:"Finance and stochastics"
~isPartOf:"International journal of financial markets and derivatives"
~isPartOf:"The journal of finance : the journal of the American Finance Association"
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Search: subject_exact:"Black-Scholes model"
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Option pricing theory
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Asia-Pacific financial markets
Finance and stochastics
International journal of financial markets and derivatives
The journal of finance : the journal of the American Finance Association
International journal of theoretical and applied finance
79
Mathematical finance : an international journal of mathematics, statistics and financial theory
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37
The journal of futures markets
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Advances in futures and options research : a research annual
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1
Robust bounds for the American put
Hobson, David G.
;
Norgilas, Dominykas
- In:
Finance and stochastics
23
(
2019
)
2
,
pp. 359-395
Persistent link: https://www.econbiz.de/10012023741
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2
Extreme at-the-money skew in a local volatility model
Pigato, Paolo
- In:
Finance and stochastics
23
(
2019
)
4
,
pp. 827-859
Persistent link: https://www.econbiz.de/10012114660
Saved in:
3
Closed-form solution for the critical stock price and the price of perpetual American call options via the improved Mellin transforms
Fadugba, Sunday Emmanuel
;
Nwozo, Chuma Raphael
- In:
International journal of financial markets and derivatives
6
(
2018
)
4
,
pp. 269-286
Persistent link: https://www.econbiz.de/10011996903
Saved in:
4
A risk-neutral equilibrium leading to uncertain volatility pricing
Muhle-Karbe, Johannes
;
Nutz, Marcel
- In:
Finance and stochastics
22
(
2018
)
2
,
pp. 281-295
Persistent link: https://www.econbiz.de/10011945712
Saved in:
5
Pricing perpetual put options by the Black-Scholes equation with a nonlinear volatility function
Grossinho, Maria do Rosário
;
Kord, Yaser
;
Ševčovič, …
- In:
Asia-Pacific financial markets
24
(
2017
)
4
,
pp. 291-308
Persistent link: https://www.econbiz.de/10011797690
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6
Computing deltas without derivatives
Baños, D.
;
Meyer-Brandis, T.
;
Proske, Frank
;
Duedahl, S.
- In:
Finance and stochastics
21
(
2017
)
2
,
pp. 509-549
Persistent link: https://www.econbiz.de/10011944403
Saved in:
7
Pathwise superreplication via Vovk's outer measure
Beiglböck, Mathias
;
Cox, Alexander M. G.
;
Huesmann, Martin
- In:
Finance and stochastics
21
(
2017
)
4
,
pp. 1141-1166
Persistent link: https://www.econbiz.de/10011944488
Saved in:
8
Analysis of the nonlinear option pricing model under variable transaction costs
Ševčovič, Daniel
;
Žitňanská, Magdaléna
- In:
Asia-Pacific financial markets
23
(
2016
)
2
,
pp. 153-174
Persistent link: https://www.econbiz.de/10011619901
Saved in:
9
An asymptotic expansion for forward-backward SDEs : a malliavin calculus approach
Takahashi, Akihiko
;
Yamada, Toshihiro
- In:
Asia-Pacific financial markets
23
(
2016
)
4
,
pp. 337-373
Persistent link: https://www.econbiz.de/10011619975
Saved in:
10
Compound option pricing under stochastic volatility
Leccadito, Arturo
;
Russo, Emilio
- In:
International journal of financial markets and derivatives
5
(
2016
)
2/4
,
pp. 97-110
Persistent link: https://www.econbiz.de/10011742310
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