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isPartOf:"Asia-Pacific financial markets"
~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"Review of derivatives research"
~isPartOf:"The European journal of finance"
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Search: subject_exact:"Black-Scholes model"
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Black-Scholes model
131
Black-Scholes-Modell
130
Option pricing theory
83
Optionspreistheorie
83
Volatility
64
Volatilität
64
Theorie
49
Theory
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Huang, James
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Madan, Dilip B.
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Takahashi, Akihiko
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2
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Gobet, Emmanuel
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Gulko, Les
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Hok, Julien
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Kim, Yong-jin
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Milʹstejn, Grigorij N.
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Steblovskaya, Victoria
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Takaoka, Koichiro
2
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2
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2
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1
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1
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1
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1
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1
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1
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Asia-Pacific financial markets
International journal of theoretical and applied finance
Review of derivatives research
The European journal of finance
Mathematical finance : an international journal of mathematics, statistics and financial theory
40
Applied mathematical finance
37
The journal of futures markets
33
The journal of computational finance
32
Computational economics
29
Finance and stochastics
29
The journal of derivatives : the official publication of the International Association of Financial Engineers
28
International journal of financial engineering
22
Journal of mathematical finance
22
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22
Journal of banking & finance
19
The North American journal of economics and finance : a journal of financial economics studies
14
Journal of economic dynamics & control
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Finance research letters
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12
Options : classic approaches to pricing and modelling
11
Decisions in economics and finance : DEF ; a journal of applied mathematics
10
CoFE discussion papers
9
Research paper series / Swiss Finance Institute
9
Review of quantitative finance and accounting
9
Risks : open access journal
9
The review of financial studies
9
European journal of operational research : EJOR
8
International review of financial analysis
8
The journal of risk and insurance : the journal of the American Risk and Insurance Association
8
Advances in futures and options research : a research annual
7
Annals of financial economics
7
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7
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Journal of risk and financial management : JRFM
7
The journal of finance : the journal of the American Finance Association
7
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Discussion paper / B
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Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz
6
Finanzmarkt und Portfolio-Management
6
International journal of financial markets and derivatives
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ECONIS (ZBW)
133
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1
Implied volatility surfaces : a comprehensive analysis using half a billion option prices
Ulrich, Maxim
;
Zimmer, Lukas
;
Merbecks, Constantin
- In:
Review of derivatives research
26
(
2023
)
2/3
,
pp. 135-169
Persistent link: https://www.econbiz.de/10014423871
Saved in:
2
Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities
Muck, Matthias
- In:
Review of derivatives research
25
(
2022
)
3
,
pp. 293-314
Persistent link: https://www.econbiz.de/10013457626
Saved in:
3
The impact of the leverage effect on the implied volatility smile : evidence for the German option market
Rathgeber, A. W.
;
Stadler, Johannes
;
Stöckl, S.
- In:
Review of derivatives research
24
(
2021
)
2
,
pp. 95-133
Persistent link: https://www.econbiz.de/10012549093
Saved in:
4
Pricing American options with the Runge-Kutta-Legendre finite difference scheme
Le Floc'h, Fabien
- In:
International journal of theoretical and applied finance
24
(
2021
)
3
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012652624
Saved in:
5
Replication scheme for the pricing of European options
Funahashi, Hideharu
- In:
International journal of theoretical and applied finance
24
(
2021
)
3
,
pp. 1-37
Persistent link: https://www.econbiz.de/10012652628
Saved in:
6
Analytical path-integral pricing of deterministic moving-barrier options under non-gaussian distributions
Catalão, André
;
Rosenfeld, Rogério
- In:
International journal of theoretical and applied finance
23
(
2020
)
1
,
pp. 1-52
Persistent link: https://www.econbiz.de/10012270883
Saved in:
7
Some pricing tools for the variance gamma model
Aguilar, Jean-Philippe
- In:
International journal of theoretical and applied finance
23
(
2020
)
4
,
pp. 1-35
Persistent link: https://www.econbiz.de/10012271024
Saved in:
8
Collocating volatility : a competitive alternative to stochastic local volatility models
Stoep, Anthonie W. van der
;
Grzelak, Lech A.
; …
- In:
International journal of theoretical and applied finance
23
(
2020
)
6
,
pp. 1-42
Persistent link: https://www.econbiz.de/10012496758
Saved in:
9
What a difference one probability makes in the convergence of binomial trees
Leduc, Guillaume
;
Palmer, Kenneth J.
- In:
International journal of theoretical and applied finance
23
(
2020
)
6
,
pp. 1-26
Persistent link: https://www.econbiz.de/10012496772
Saved in:
10
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
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