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~isPartOf:"Applied economics"
~isPartOf:"Review of quantitative finance and accounting"
~subject:"United States"
~subject:"Volatility"
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Search: subject_exact:"Option pricing theory"
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United States
Volatility
Option pricing theory
97
Optionspreistheorie
97
Volatilität
47
Option trading
31
Optionsgeschäft
31
Stochastic process
27
Stochastischer Prozess
27
Black-Scholes model
14
Black-Scholes-Modell
14
Derivat
12
Derivative
12
Estimation
12
Schätzung
12
Aktienoption
11
CAPM
11
Stock option
11
ARCH model
10
ARCH-Modell
10
Risiko
10
Risk
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Option pricing
9
Hedging
8
Statistical distribution
8
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8
Börsenkurs
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7
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USA
7
Zins
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Index futures
6
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Monte Carlo simulation
6
Monte-Carlo-Simulation
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Real options analysis
6
Realoptionsansatz
6
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Theory
6
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51
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Lin, Shih-kuei
3
Chen, Ren-Raw
2
Dempsey, Michael
2
Gehricke, Sebastian A.
2
Kuo, I.-doun
2
Lee, Cheng F.
2
Li, Bingxin
2
Mozumder, Sharif
2
Palmon, Oded
2
Sokolinskiy, Oleg
2
Wang, Shin-yun
2
Wang, Tianyi
2
Zhang, Jin E.
2
Ahalawat, Shweta
1
Andreou, Panayiotis C.
1
Backwell, Alex
1
Baek, In-Seok
1
Bakshi, Gurdip S.
1
Barbachan, José Santiago Fajardo
1
Brito, José Maria Brandão de
1
Burney, Robert B.
1
Cao, Charles Q.
1
Cevik, Emrah Ismail
1
Chang, Chuang-chang
1
Charalambous, Chris
1
Chen, An-sing
1
Chen, Cathy Yi-Hsuan
1
Chen, Jian
1
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1
Chen, Sonnan
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Cheng, Sicong
1
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1
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1
Costabile, Massimo
1
Dotsis, George
1
Dutta, Satyaki
1
Elyasiani, Elyas
1
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Applied economics
Review of quantitative finance and accounting
International journal of theoretical and applied finance
158
Quantitative finance
100
The journal of futures markets
100
Journal of banking & finance
84
Applied mathematical finance
73
The journal of computational finance
71
Mathematical finance : an international journal of mathematics, statistics and financial theory
63
The journal of derivatives : the official publication of the International Association of Financial Engineers
59
Review of derivatives research
57
International journal of financial engineering
47
Finance research letters
43
Finance and stochastics
42
European journal of operational research : EJOR
41
Journal of econometrics
40
The North American journal of economics and finance : a journal of financial economics studies
38
Journal of economic dynamics & control
36
Journal of mathematical finance
36
Computational economics
35
Journal of financial economics
32
Insurance / Mathematics & economics
30
Journal of financial and quantitative analysis : JFQA
28
Research paper series / Swiss Finance Institute
28
Risks : open access journal
28
International review of economics & finance : IREF
27
The journal of finance : the journal of the American Finance Association
26
The review of financial studies
26
Annals of finance
24
The European journal of finance
24
Decisions in economics and finance : DEF ; a journal of applied mathematics
22
Management science : journal of the Institute for Operations Research and the Management Sciences
21
Working paper / National Bureau of Economic Research, Inc.
21
Energy economics
20
International review of financial analysis
19
Journal of empirical finance
19
Journal of risk and financial management : JRFM
18
Asia-Pacific financial markets
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
17
Economic modelling
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ECONIS (ZBW)
51
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1
Non-linear volatility with normal inverse Gaussian innovations : ad-hoc analytic option pricing
Mozumder, Sharif
;
Talukdar, Bakhtear
;
Kabir, M. Humayun
; …
- In:
Review of quantitative finance and accounting
62
(
2024
)
1
,
pp. 97-133
Persistent link: https://www.econbiz.de/10014502965
Saved in:
2
Throwing away a billion yuan, real or rand : the cost of sub-optimal hedging in high interest-rate environments
Backwell, Alex
;
Ruddock, Ralph
- In:
Applied economics
55
(
2023
)
18
,
pp. 2060-2069
Persistent link: https://www.econbiz.de/10014294859
Saved in:
3
Heterogeneous trading of option implied volatility
Li, Xiaoping
;
Zhou, Chunyang
;
Huang, Wei
- In:
Applied economics
55
(
2023
)
9
,
pp. 990-998
Persistent link: https://www.econbiz.de/10013498968
Saved in:
4
Spot market and derivative segment of equity in India
Sharma, Dheeraj P.
;
Ahalawat, Shweta
;
Patro, Archana
; …
- In:
Applied economics
54
(
2022
)
3
,
pp. 326-339
Persistent link: https://www.econbiz.de/10012874036
Saved in:
5
Option pricing in an investment risk-return setting
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
;
Shirvani, …
- In:
Applied economics
54
(
2022
)
14
,
pp. 1625-1638
Persistent link: https://www.econbiz.de/10012875529
Saved in:
6
Directly pricing VIX futures : the role of dynamic volatility and jump intensity
Wang, Tianyi
;
Cheng, Sicong
;
Yin, Fangsheng
;
Yu, Mei
- In:
Applied economics
54
(
2022
)
32
,
pp. 3678-3694
Persistent link: https://www.econbiz.de/10013410814
Saved in:
7
Estimating volatility clustering and variance risk premium effects on bank default indicators
Kenç, Turalay
;
Cevik, Emrah Ismail
- In:
Review of quantitative finance and accounting
57
(
2021
)
4
,
pp. 1373-1392
Persistent link: https://www.econbiz.de/10012660703
Saved in:
8
Option pricing under stock market cycles with jump risks : evidence from the S&P 500 index
Wang, Shin-yun
;
Chuang, Ming-Che
;
Lin, Shih-kuei
;
Shyu, …
- In:
Review of quantitative finance and accounting
56
(
2021
)
1
,
pp. 25-51
Persistent link: https://www.econbiz.de/10012432624
Saved in:
9
Joint estimation of volatility risk and tail risk premia with time-varying macro-state-dependent property
Chen, Sonnan
;
Gu, Yuchi
- In:
Review of quantitative finance and accounting
56
(
2021
)
4
,
pp. 1357-1397
Persistent link: https://www.econbiz.de/10012549807
Saved in:
10
Assessing models of individual equity option prices
Bakshi, Gurdip S.
;
Cao, Charles Q.
;
Zhong, Zhaodong
- In:
Review of quantitative finance and accounting
57
(
2021
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012549885
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