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subject:"Optionspreistheorie"
~isPartOf:"Operations research letters"
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Search: subject_exact:"Parisian option"
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Optionspreistheorie
Option pricing theory
10
Option trading
10
Optionsgeschäft
10
Stochastic process
5
Stochastischer Prozess
5
Volatility
5
Volatilität
5
CAPM
2
Option pricing
2
Adaptive methods
1
Aktienmarkt
1
American option
1
American options
1
Analytical upper bound
1
Asian options
1
Barrier options
1
Basket options
1
Bias correction
1
Binomial methods
1
Bivariate jumps
1
Black-Scholes model
1
Black-Scholes-Modell
1
COS method
1
Change of numeraire
1
Corridor variance swap
1
Derivat
1
Derivative
1
Discrete Ornstein–Uhlenbeck process
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Double digital call
1
Early exercise
1
Equity risk premium
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Experiment
1
Geske-Johnson method
1
Heston model
1
Implied volatility smiles
1
Jump diffusion
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Jump-diffusion models
1
Local averaging
1
Mean-reverting
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English
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Bo, Lijun
1
Boire, François-Michel
1
Chao, Wan-ling
1
Chockalingam, Arunachalam
1
Fonseca, José da
1
Gnoatto, Alessandro
1
Grasselli, Martino
1
Joshi, Mark
1
Kim, Hongjoong
1
Kwok, Yue-Kuen
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Lai, Wan Ni
1
Lin, Xenos Chang-Shuo
1
Lin, Xenos Chang-shuo
1
Miao, Daniel Wei-Chung
1
Miao, Daniel Wei-chung
1
Moon, Kyoung-sook
1
Muthuraman, Kumar
1
Reesor, R. Mark
1
Stentoft, Lars
1
Wang, Yongjin
1
Yu, Steve Hsin-Ting
1
Zeng, Pingping
1
Zhang, Weinan
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Operations research letters
International journal of theoretical and applied finance
83
The journal of futures markets
79
Review of derivatives research
58
The journal of computational finance
57
Applied mathematical finance
51
Quantitative finance
49
The journal of derivatives : the official publication of the International Association of Financial Engineers
47
Journal of banking & finance
43
Finance research letters
40
Mathematical finance : an international journal of mathematics, statistics and financial theory
38
Journal of economic dynamics & control
37
The North American journal of economics and finance : a journal of financial economics studies
36
International journal of financial engineering
31
Finance and stochastics
28
Computational economics
27
European journal of operational research : EJOR
27
Journal of mathematical finance
26
Research paper series / Swiss Finance Institute
22
International review of economics & finance : IREF
21
Journal of financial economics
21
Asia-Pacific financial markets
18
Management science : journal of the Institute for Operations Research and the Management Sciences
18
Risks : open access journal
18
Review of quantitative finance and accounting
17
The European journal of finance
17
The journal of derivatives : JOD
16
Economic modelling
15
Insurance / Mathematics & economics
15
Applied economics
14
Swiss Finance Institute Research Paper
14
Journal of risk and financial management : JRFM
13
Annals of finance
12
Decisions in economics and finance : DEF ; a journal of applied mathematics
12
Journal of financial markets
11
Energy economics
10
International review of financial analysis
10
Journal of derivatives & hedge funds
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Journal of risk
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Theoretical economics letters
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ECONIS (ZBW)
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1
Lower bounds for American option prices with control variates
Boire, François-Michel
;
Reesor, R. Mark
;
Stentoft, Lars
- In:
Operations research letters
51
(
2023
)
6
,
pp. 568-574
Persistent link: https://www.econbiz.de/10014465726
Saved in:
2
Efficient recursion-quadrature algorithms for pricing Asian options and variance derivatives under stochastic volatility and Lévy jumps
Zhang, Weinan
;
Zeng, Pingping
;
Kwok, Yue-Kuen
- In:
Operations research letters
51
(
2023
)
6
,
pp. 687-694
Persistent link: https://www.econbiz.de/10014465892
Saved in:
3
Detecting stock market regimes from option prices
Lai, Wan Ni
- In:
Operations research letters
50
(
2022
)
3
,
pp. 260-267
Persistent link: https://www.econbiz.de/10013364084
Saved in:
4
The pricing of basket options : a weak convergence approach
Bo, Lijun
;
Wang, Yongjin
- In:
Operations research letters
45
(
2017
)
2
,
pp. 119-125
Persistent link: https://www.econbiz.de/10011687623
Saved in:
5
The use of power numeraires in option pricing
Joshi, Mark
- In:
Operations research letters
45
(
2017
)
2
,
pp. 133-138
Persistent link: https://www.econbiz.de/10011687633
Saved in:
6
A note on the never-early-exercise region of American power exchange options
Miao, Daniel Wei-Chung
;
Lin, Xenos Chang-Shuo
;
Yu, …
- In:
Operations research letters
44
(
2016
)
1
,
pp. 129-135
Persistent link: https://www.econbiz.de/10011455592
Saved in:
7
Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models
Fonseca, José da
;
Gnoatto, Alessandro
;
Grasselli, Martino
- In:
Operations research letters
43
(
2015
)
6
,
pp. 601-607
Persistent link: https://www.econbiz.de/10011416324
Saved in:
8
Option pricing under jump-diffusion models with mean-reverting bivariate jumps
Miao, Daniel Wei-chung
;
Lin, Xenos Chang-shuo
;
Chao, …
- In:
Operations research letters
42
(
2014
)
1
,
pp. 27-33
Persistent link: https://www.econbiz.de/10010259274
Saved in:
9
An adaptive averaging binomial method for option valuation
Moon, Kyoung-sook
;
Kim, Hongjoong
- In:
Operations research letters
41
(
2013
)
5
,
pp. 511-515
Persistent link: https://www.econbiz.de/10010190429
Saved in:
10
Pricing American options when asset prices jump
Chockalingam, Arunachalam
;
Muthuraman, Kumar
- In:
Operations research letters
38
(
2010
)
2
,
pp. 82-86
Persistent link: https://www.econbiz.de/10003961602
Saved in:
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