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~isPartOf:"Asia-Pacific financial markets"
~isPartOf:"European journal of operational research : EJOR"
~language:"eng"
~subject:"Option pricing theory"
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Search: subject:"Black-Scholes-Modell"
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Option pricing theory
Black-Scholes model
26
Black-Scholes-Modell
26
Optionspreistheorie
17
Volatility
14
Volatilität
14
Stochastic process
11
Stochastischer Prozess
11
Theorie
8
Theory
8
Option trading
7
Optionsgeschäft
7
Option pricing
6
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4
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4
Derivat
2
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American option
1
Analysis
1
Asian option
1
Asymptotic expansion
1
Barrier options
1
Black-Scholes equation with nonlinear volatility
1
Black-Scholes partial differential equation
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CAPM
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CVA
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Early exercise boundary
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Equilibrium theory
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Equity-linked securities
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Estimation theory
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Eurobond
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Finanzmathematik
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Forward-backward stochastic differential equations (FBSDEs)
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Marazzina, Daniele
2
Takahashi, Akihiko
2
Ševčovič, Daniel
2
Ballotta, Laura
1
Bandi, Chaithanya
1
Bertsimas, Dimitris
1
Choi, Yongho
1
Corsaro, Stefania
1
Cui, Zhenyu
1
Fusai, Gianluca
1
Futami, Hidenori
1
Germano, Guido
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1
Hwang, Hyeongseok
1
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1
Jo, Jaehyun
1
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1
Kim, Junseok
1
Kim, Taekkeun
1
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1
Kirkby, J. Lars
1
Kord, Yaser
1
Kyriakou, Ioannis
1
Lee, Seunggyu
1
Li, Minqiang
1
Lo, Yu Wai
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Marino, Zelda
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Meng, Li
1
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1
Shirakawa, Hiroshi
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1
Wang, Mei
1
Wong, Hoi Ying
1
Yamada, Toshihiro
1
Yoo, Minhyun
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Asia-Pacific financial markets
European journal of operational research : EJOR
International journal of theoretical and applied finance
47
Computational economics
28
Applied mathematical finance
24
The journal of computational finance
23
International journal of financial engineering
20
Journal of mathematical finance
20
Quantitative finance
20
Finance and stochastics
19
The journal of futures markets
19
Review of derivatives research
17
Mathematical finance : an international journal of mathematics, statistics and financial theory
14
Journal of banking & finance
13
The North American journal of economics and finance : a journal of financial economics studies
13
Journal of economic dynamics & control
9
Risks : open access journal
9
Review of quantitative finance and accounting
8
The European journal of finance
8
Decisions in economics and finance : DEF ; a journal of applied mathematics
7
Finance research letters
7
Journal of derivatives & hedge funds
7
Journal of risk and financial management : JRFM
7
The journal of derivatives : the official publication of the International Association of Financial Engineers
7
Applied economics
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Research paper series / Swiss Finance Institute
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Discussion paper / B
5
International journal of financial markets and derivatives
5
International journal of theoretical and applied finance : IJTAF
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Journal of econometrics
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Wiley finance series
5
Annals of financial economics
4
Computational Management Science : CMS
4
Fuzzy optimization and decision making : a journal of modeling and computation under uncertainty
4
Journal of empirical finance
4
Journal of financial economics
4
Journal of risk
4
Management science : journal of the Institute for Operations Research and the Management Sciences
4
Mathematics and financial economics
4
Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
4
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ECONIS (ZBW)
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1
Smiles & smirks : volatility and leverage by jumps
Ballotta, Laura
;
Rayée, Grégory
- In:
European journal of operational research : EJOR
298
(
2022
)
3
,
pp. 1145-1161
Persistent link: https://www.econbiz.de/10013206930
Saved in:
2
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:
3
A general framework for pricing Asian options under stochastic volatility on parallel architecture
Corsaro, Stefania
;
Kyriakou, Ioannis
;
Marazzina, Daniele
; …
- In:
European journal of operational research : EJOR
272
(
2019
)
3
,
pp. 1082-1095
Persistent link: https://www.econbiz.de/10011942796
Saved in:
4
Fluctuation identities with continuous monitoring and their application to the pricing of barrier options
Phelan, Carolyn E.
;
Marazzina, Daniele
;
Fusai, Gianluca
; …
- In:
European journal of operational research : EJOR
271
(
2018
)
1
,
pp. 210-223
Persistent link: https://www.econbiz.de/10011882800
Saved in:
5
Pricing perpetual put options by the Black-Scholes equation with a nonlinear volatility function
Grossinho, Maria do Rosário
;
Kord, Yaser
;
Ševčovič, …
- In:
Asia-Pacific financial markets
24
(
2017
)
4
,
pp. 291-308
Persistent link: https://www.econbiz.de/10011797690
Saved in:
6
A practical finite difference method for the three-dimensional Black-Scholes equation
Kim, Junseok
;
Kim, Taekkeun
;
Jo, Jaehyun
;
Choi, Yongho
; …
- In:
European journal of operational research : EJOR
252
(
2016
)
1
,
pp. 183-190
Persistent link: https://www.econbiz.de/10011449164
Saved in:
7
Analysis of the nonlinear option pricing model under variable transaction costs
Ševčovič, Daniel
;
Žitňanská, Magdaléna
- In:
Asia-Pacific financial markets
23
(
2016
)
2
,
pp. 153-174
Persistent link: https://www.econbiz.de/10011619901
Saved in:
8
An asymptotic expansion for forward-backward SDEs : a malliavin calculus approach
Takahashi, Akihiko
;
Yamada, Toshihiro
- In:
Asia-Pacific financial markets
23
(
2016
)
4
,
pp. 337-373
Persistent link: https://www.econbiz.de/10011619975
Saved in:
9
A new type of barrier options : lizard option
Kawanishi, Yasuhiro
- In:
Asia-Pacific financial markets
22
(
2015
)
1
,
pp. 75-86
Persistent link: https://www.econbiz.de/10010511547
Saved in:
10
Robust option pricing
Bandi, Chaithanya
;
Bertsimas, Dimitris
- In:
European journal of operational research : EJOR
239
(
2014
)
3
,
pp. 842-853
Persistent link: https://www.econbiz.de/10010411468
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