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~isPartOf:"Annals of financial economics"
~isPartOf:"International journal of theoretical and applied finance"
~source:"econis"
~subject:"Volatility"
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Search: subject_exact:"Black-Scholes-Modell"
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Volatility
Black-Scholes model
82
Black-Scholes-Modell
82
Option pricing theory
51
Optionspreistheorie
51
Volatilität
40
Stochastic process
25
Stochastischer Prozess
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Optionsgeschäft
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calibration
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local volatility model
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option pricing
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stochastic volatility
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Funahashi, Hideharu
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1
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1
Bayraktar, Erhan
1
Bouchaud, Jean-Philippe
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Muslimov, Alexander G.
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1
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Annals of financial economics
International journal of theoretical and applied finance
Applied mathematical finance
18
The journal of computational finance
15
International journal of financial engineering
14
Quantitative finance
12
Mathematical finance : an international journal of mathematics, statistics and financial theory
11
Review of derivatives research
11
Journal of banking & finance
10
The journal of futures markets
10
Asia-Pacific financial markets
9
Computational economics
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Finance research letters
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Journal of mathematical finance
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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European journal of operational research : EJOR
5
Journal of econometrics
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The European journal of finance
5
Applied economics
4
Applied financial economics
4
Decisions in economics and finance : DEF ; a journal of applied mathematics
4
Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
4
Research paper series / Swiss Finance Institute
4
Review of quantitative finance and accounting
4
The North American journal of economics and finance : a journal of financial economics studies
4
Finanzmarkt und Portfolio-Management
3
International journal of theoretical and applied finance : IJTAF
3
International review of financial analysis
3
Journal of derivatives & hedge funds
3
Journal of economic dynamics & control
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Journal of emerging market finance
3
Journal of empirical finance
3
Journal of financial economics
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Journal of risk and financial management : JRFM
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Mathematics and financial economics
3
Risk and decision analysis
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Risks : open access journal
3
The review of financial studies
3
Working paper / National Bureau of Economic Research, Inc.
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1
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:
2
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:
3
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:
4
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:
5
A novel method for arbitrage-free option surface construction
Orosi, Greg
- In:
Annals of financial economics
14
(
2019
)
4
,
pp. 1-14
Persistent link: https://www.econbiz.de/10012226655
Saved in:
6
Expansion formulas for European quanto options in a local volatility FX-LIBOR model
Hok, Julien
;
Ngare, Philip
;
Papapantoleon, Antonis
- In:
International journal of theoretical and applied finance
21
(
2018
)
2
,
pp. 1-43
Persistent link: https://www.econbiz.de/10011854564
Saved in:
7
Fourth-order compact scheme for option pricing under the Merton's and Kou's jump-diffusion models
Patel, Kuldip Singh
;
Mehra, Mani
- In:
International journal of theoretical and applied finance
21
(
2018
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011892590
Saved in:
8
Convex regularization of local volatility estimation
Albani, Vinícius
;
Cezaro, Adriano de
;
Zubelli, Jorge P.
- In:
International journal of theoretical and applied finance
20
(
2017
)
1
,
pp. 1-37
Persistent link: https://www.econbiz.de/10011686808
Saved in:
9
Financial markets with no riskless (safe) asset
Račev, Svetlozar T.
;
Stoyanov, Stoyan V.
;
Fabozzi, Frank J.
- In:
International journal of theoretical and applied finance
20
(
2017
)
8
,
pp. 1-24
Persistent link: https://www.econbiz.de/10011787424
Saved in:
10
An explicit implied volatiltiy formula
Stefanica, Dan
;
Radoičić, Radoš
- In:
International journal of theoretical and applied finance
20
(
2017
)
7
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011763940
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