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isPartOf:"The journal of computational finance"
~subject:"Black-Scholes-Modell"
~subject:"Mathematical finance"
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Black-Scholes-Modell
Mathematical finance
Option trading
59
Optionsgeschäft
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Option pricing theory
57
Optionspreistheorie
57
Stochastic process
16
Stochastischer Prozess
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15
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barrier options
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stochastic volatility
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Bain, Alan
1
Bhatoo, Omishwary
1
Chevalier, Etienne
1
Davis, Jesse
1
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1
Dubois, François
1
Escobar, Marcos
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Fusai, Gianluca
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Saib, Aslam Aly El Faidal
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Schoutens, Wim
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Tadmor, Eitan
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The journal of computational finance
International journal of theoretical and applied finance
22
Applied mathematical finance
11
Review of derivatives research
11
Computational economics
10
International journal of financial engineering
10
Mathematical finance : an international journal of mathematics, statistics and financial theory
10
The journal of derivatives : the official publication of the International Association of Financial Engineers
10
The North American journal of economics and finance : a journal of financial economics studies
9
Quantitative finance
8
Journal of economic dynamics & control
7
Journal of mathematical finance
7
Finance and stochastics
6
Applied economics
5
Journal of banking & finance
5
Journal of derivatives & hedge funds
5
The journal of futures markets
5
Asia-Pacific financial markets
4
Decisions in economics and finance : DEF ; a journal of applied mathematics
4
Finance research letters
4
International journal of theoretical and applied finance : IJTAF
4
Journal of risk and financial management : JRFM
4
Annals of finance
3
European journal of operational research : EJOR
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
Risks : open access journal
3
The European journal of finance
3
Working paper series / Centre for Practical Quantitative Finance
3
Applied financial economics
2
Cogent economics & finance
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Discussion paper / B
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Economic modelling
2
Finanzmarkt und Portfolio-Management
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International review of economics & finance : IREF
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International review of financial analysis
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Investment management and financial innovations
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Journal of risk
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ECONIS (ZBW)
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1
Gradient boosting for quantitative finance
Davis, Jesse
;
Devos, Laurens
;
Reyners, Sofie
;
Schoutens, Wim
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 1-40
Persistent link: https://www.econbiz.de/10012544161
Saved in:
2
Calibration of local-stochastic and path-dependent volatility models to vanilla and no-touch options
Bain, Alan
;
Mariapragassam, Matthieu
;
Reisinger, Christoph
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 115-161
Persistent link: https://www.econbiz.de/10012544167
Saved in:
3
Pricing American call options using the Black-Scholes equation with a nonlinear volatility function
Grossinho, Maria do Rosário
;
Kord, Yaser
;
Ševčovič, …
- In:
The journal of computational finance
23
(
2020
)
4
,
pp. 93-113
Persistent link: https://www.econbiz.de/10012212488
Saved in:
4
Pricing multiple barrier derivatives under stochastic volatility
Escobar, Marcos
;
Panz, Sven
;
Zagst, Rudi
- In:
The journal of computational finance
24
(
2020
)
2
,
pp. 77-101
Persistent link: https://www.econbiz.de/10012543622
Saved in:
5
Efficient conservative second-order central-upwind schemes for option-pricing problems
Bhatoo, Omishwary
;
Peer, Arshad Ahmud Iqbal
;
Tadmor, Eitan
- In:
The journal of computational finance
22
(
2018/2019
)
5
,
pp. 71-101
Persistent link: https://www.econbiz.de/10012042237
Saved in:
6
Path-dependent American options
Chevalier, Etienne
;
Ly Vath, Vathana
;
Mnif, Mohamed
- In:
The journal of computational finance
23
(
2019
)
1
,
pp. 61-95
Persistent link: https://www.econbiz.de/10012064988
Saved in:
7
Path independence of exotic options and convergence of binomial approximations
Leduc, Guillaume
;
Palmer, Kenneth J.
- In:
The journal of computational finance
23
(
2019
)
2
,
pp. 73-102
Persistent link: https://www.econbiz.de/10012111264
Saved in:
8
The forward smile in local-stochastic volatility models
Mazzon, Andrea
;
Pascucci, Andrea
- In:
The journal of computational finance
20
(
2016/2017
)
3
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011689675
Saved in:
9
Volatility risk structure for options depending on extrema
Nakatsu, Tomonori
- In:
The journal of computational finance
21
(
2017/2018
)
3
,
pp. 105-122
Persistent link: https://www.econbiz.de/10011848359
Saved in:
10
Efficient pricing of Asian options by the PDE approach
Dubois, François
;
Lelièvre, Tony
- In:
The journal of computational finance
8
(
2004/2005
)
2
,
pp. 55-63
Persistent link: https://www.econbiz.de/10002597580
Saved in:
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