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type_genre:"Bibliography included"
~person:"Cui, Zhenyu"
~subject:"Option pricing theory"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Optionsbewertung"
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Option pricing theory
Optionspreistheorie
31
Volatility
20
Volatilität
20
Stochastic process
18
Stochastischer Prozess
18
Option trading
11
Optionsgeschäft
11
Markov chain
9
Markov-Kette
9
Derivat
7
Derivative
7
Stochastic volatility
6
Finance
5
Continuous-time Markov chain
4
Statistical distribution
4
Statistische Verteilung
4
Black-Scholes model
3
Black-Scholes-Modell
3
Greece
3
Griechenland
3
Heston model
3
Jump diffusion
3
Option pricing
3
stochastic volatility
3
ARCH model
2
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American options
2
Asian option
2
Continuous-time Markov chains
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Derivatives
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Estimation theory
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Greeks
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Integral equation
2
Markov process
2
Probability theory
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Regime-switching
2
Schätztheorie
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Aufsatz in Zeitschrift
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English
31
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Cui, Zhenyu
Madan, Dilip B.
50
Carr, Peter
45
Elliott, Robert J.
35
Fabozzi, Frank J.
35
Kwok, Yue-Kuen
34
Wang, Xingchun
31
Takahashi, Akihiko
30
Siu, Tak Kuen
29
Schoutens, Wim
27
Zhang, Jin E.
26
Benth, Fred Espen
24
Jarrow, Robert A.
23
Kim, Young Shin
21
Stentoft, Lars
21
Escobar, Marcos
20
Levendorskij, Sergej Z.
20
Račev, Svetlozar T.
20
Wong, Hoi Ying
20
Joshi, Mark S.
19
Zanette, Antonino
19
Glasserman, Paul
18
Schwartz, Eduardo S.
18
Wu, Liuren
18
He, Xin-Jiang
17
Chen, Ren-Raw
16
Chen, Son-nan
16
Härdle, Wolfgang
16
Lin, Shih-kuei
16
Ryu, Doojin
16
Zhu, Song-Ping
16
Chung, San-lin
15
Eberlein, Ernst
15
Xu, Wei
15
Chiarella, Carl
14
Christoffersen, Peter F.
14
Câmara, António
14
Fusai, Gianluca
14
Hobson, David G.
14
Jacobs, Kris
14
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European journal of operational research : EJOR
5
International journal of financial engineering
3
International journal of theoretical and applied finance
3
The journal of derivatives : JOD
3
Finance research letters
2
Journal of economic dynamics & control
2
Quantitative finance
2
The journal of futures markets
2
Applied mathematical finance
1
Insurance / Mathematics & economics
1
Journal of banking & finance
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Mathematical methods of operations research : ZOR
1
Mathematics and financial economics
1
North American actuarial journal
1
The journal of computational finance
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ECONIS (ZBW)
31
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1
Sequential Itô-Taylor expansions and characteristic functions of stochastic volatility models
Ding, Kailin
;
Cui, Zhenyu
;
Liu, Yanchu
- In:
The journal of futures markets
43
(
2023
)
12
,
pp. 1750-1769
Persistent link: https://www.econbiz.de/10014433005
Saved in:
2
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
MacKay, Anne
;
Vachon, Marie-Claude
;
Cui, Zhenyu
- In:
Quantitative finance
23
(
2023
)
7/8
,
pp. 1055-1078
Persistent link: https://www.econbiz.de/10014321664
Saved in:
3
Pricing arithmetic Asian and Amerasian options : a diffusion operator integral expansion approach
Ding, Kailin
;
Cui, Zhenyu
;
Yang, Xiaoguang
- In:
The journal of futures markets
43
(
2023
)
2
,
pp. 217-241
Persistent link: https://www.econbiz.de/10014293009
Saved in:
4
CTMC integral equation method for American options under stochastic local volatility models
Ma, Jingtang
;
Yang, Wensheng
;
Cui, Zhenyu
- In:
Journal of economic dynamics & control
128
(
2021
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012628259
Saved in:
5
A data-driven framework for consistent financial valuation and risk measurement
Cui, Zhenyu
;
Kirby, J. Lars
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
289
(
2021
)
1
,
pp. 381-398
Persistent link: https://www.econbiz.de/10012416736
Saved in:
6
Pricing discretely monitored barrier options under Markov processes through markov chain approximation
Cui, Zhenyu
;
Taylor, Stephen
- In:
The journal of derivatives : JOD
28
(
2021
)
3
,
pp. 8-33
Persistent link: https://www.econbiz.de/10012486028
Saved in:
7
Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
290
(
2021
)
3
,
pp. 1046-1062
Persistent link: https://www.econbiz.de/10012495249
Saved in:
8
A closed-form model-free implied volatility formula through delta families
Cui, Zhenyu
;
Kirkby, Justin
;
Nguyen, Duy
;
Taylor, Stephen
- In:
The journal of derivatives : JOD
28
(
2021
)
4
,
pp. 111-127
Persistent link: https://www.econbiz.de/10012612926
Saved in:
9
Analysis of Markov chain approximation for Asian options and occupation-time derivatives : Greeks and convergence rates
Yang, Wensheng
;
Ma, Jingtang
;
Cui, Zhenyu
- In:
Mathematical methods of operations research : ZOR
93
(
2021
)
2
,
pp. 359-412
Persistent link: https://www.econbiz.de/10012548535
Saved in:
10
A model-free fourier cosine method for estimating the risk-neutral density
Cui, Zhenyu
;
Yu, Zixiao
- In:
The journal of derivatives : JOD
29
(
2021
)
2
,
pp. 149-171
Persistent link: https://www.econbiz.de/10012698129
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