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isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~isPartOf:"Review of derivatives research"
~subject:"Black-Scholes model"
~subject:"Monte-Carlo-Simulation"
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Black-Scholes model
Monte-Carlo-Simulation
Option trading
123
Optionsgeschäft
123
Option pricing theory
96
Optionspreistheorie
96
Theorie
50
Theory
50
Volatility
31
Volatilität
31
Hedging
22
Black-Scholes-Modell
21
Derivat
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Derivative
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Stochastic process
15
Stochastischer Prozess
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Risiko
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Statistical distribution
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Stock option
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Alòs, Elisa
1
Andersen, Leif B. G.
1
Andreasen, Jesper Fredborg
1
Areal, Nelson
1
Baldi, Paolo
1
Buchen, Peter W.
1
Caramellino, Lucia
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Carmona, René
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Chance, Don M.
1
Chen, Zhanyu
1
Dolinsky, Yan
1
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1
Farkas, Walter
1
Frey, Rüdiger
1
Fukasawa, Masaaki
1
Gao, Bin
1
Göttsche, Ove E.
1
Hanson, Thomas A.
1
Iovino, Maria Gabriella
1
Jun, Doobae
1
Kim, Geonwoo
1
Konstandatos, Otto
1
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1
Kyprianou, Andreas E.
1
Kühn, Christoph
1
Lee, Sungchul
1
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Lim, Hyuncheul
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Muthuswamy, Jayaram
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Rheinländer, Thorsten
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Mathematical finance : an international journal of mathematics, statistics and financial theory
Review of derivatives research
International journal of theoretical and applied finance
26
The journal of computational finance
19
Computational economics
13
The journal of derivatives : the official publication of the International Association of Financial Engineers
13
Applied mathematical finance
12
Quantitative finance
12
The North American journal of economics and finance : a journal of financial economics studies
12
International journal of financial engineering
11
Journal of mathematical finance
9
Journal of economic dynamics & control
8
Journal of risk and financial management : JRFM
8
The journal of futures markets
8
Finance and stochastics
7
European journal of operational research : EJOR
6
Finance research letters
6
Journal of derivatives & hedge funds
6
Applied economics
5
Asia-Pacific financial markets
5
Journal of banking & finance
5
Risks : open access journal
5
Annals of finance
4
International journal of theoretical and applied finance : IJTAF
4
The European journal of finance
4
Decisions in economics and finance : DEF ; a journal of applied mathematics
3
Journal of econometrics
3
Journal of emerging market finance
3
Journal of financial economics
3
Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
3
Review of quantitative finance and accounting
3
The journal of asset management
3
Working paper series / Centre for Practical Quantitative Finance
3
Working papers
3
Annals of financial economics
2
Applied financial economics
2
Cogent economics & finance
2
Computational methods in decision-making, economics and finance
2
Discussion paper / B
2
Discussion papers / Adam Smith Business School, University of Glasgow
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ECONIS (ZBW)
24
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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
A general closed form option pricing formula
Necula, Ciprian
;
Drimus, Gabriel
;
Farkas, Walter
- In:
Review of derivatives research
22
(
2019
)
1
,
pp. 1-40
Persistent link: https://www.econbiz.de/10012311636
Saved in:
5
A bias in the volatility smile
Chance, Don M.
;
Hanson, Thomas A.
;
Li, Weiping
; …
- In:
Review of derivatives research
20
(
2017
)
1
,
pp. 47-90
Persistent link: https://www.econbiz.de/10011930559
Saved in:
6
Valuation of barrier options via a general self-duality
Alòs, Elisa
;
Chen, Zhanyu
;
Rheinländer, Thorsten
- In:
Mathematical finance : an international journal of …
26
(
2016
)
3
,
pp. 492-515
Persistent link: https://www.econbiz.de/10011583542
Saved in:
7
Is the information obtained from European options on equally weighted baskets enough to determine the prices of exotic derivatives such as worst-of options?
Romo, Jacinto Marabel
- In:
Review of derivatives research
19
(
2016
)
1
,
pp. 65-83
Persistent link: https://www.econbiz.de/10011742281
Saved in:
8
Option pricing model with sentiment
Yang, Chunpeng
;
Gao, Bin
;
Yang, Jianlei
- In:
Review of derivatives research
19
(
2016
)
2
,
pp. 147-164
Persistent link: https://www.econbiz.de/10011927963
Saved in:
9
On pricing options with stressed-beta in a reduced form model
Kim, Geonwoo
;
Lim, Hyuncheul
;
Lee, Sungchul
- In:
Review of derivatives research
18
(
2015
)
1
,
pp. 29-50
Persistent link: https://www.econbiz.de/10011414105
Saved in:
10
Black-scholes representation for Asian options
Večeř, Jan
- In:
Mathematical finance : an international journal of …
24
(
2014
)
3
,
pp. 598-626
Persistent link: https://www.econbiz.de/10010485999
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