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~isPartOf:"Asia-Pacific financial markets"
~isPartOf:"European journal of operational research : EJOR"
~language:"eng"
~subject:"Volatilität"
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Search: subject:"Black-Scholes-Modell"
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Volatilität
Black-Scholes model
26
Black-Scholes-Modell
26
Option pricing theory
17
Optionspreistheorie
17
Volatility
14
Stochastic process
11
Stochastischer Prozess
11
Theorie
8
Theory
8
Option trading
7
Optionsgeschäft
7
Option pricing
6
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Derivat
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American option
1
Analysis
1
Asian option
1
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Black-Scholes equation with nonlinear volatility
1
Black-Scholes partial differential equation
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1
CVA
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Equilibrium theory
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Estimation theory
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Eurobond
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Finanzmathematik
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Forecasting model
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Forward-backward stochastic differential equations (FBSDEs)
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English
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Ševčovič, Daniel
2
Abramov, Vyacheslav M.
1
Ballotta, Laura
1
Bandi, Chaithanya
1
Batten, Jonathan A.
1
Bertsimas, Dimitris
1
Corsaro, Stefania
1
Cui, Zhenyu
1
Futami, Hidenori
1
Grossinho, Maria do Rosário
1
Johnson, Brock N.
1
Kagenishi, Yoshiteru
1
Kawanishi, Yasuhiro
1
Kirkby, J. Lars
1
Klebaner, Fima C.
1
Kord, Yaser
1
Kyriakou, Ioannis
1
Lo, Yu Wai
1
Marazzina, Daniele
1
Marino, Zelda
1
Meng, Li
1
Nguyen, Duy
1
Rayée, Grégory
1
Shinohara, Yoshitane
1
Takahashi, Akihiko
1
Takaoka, Koichiro
1
Wang, Mei
1
Wong, Hoi Ying
1
Yamada, Toshihiro
1
Žitňanská, Magdaléna
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Asia-Pacific financial markets
European journal of operational research : EJOR
International journal of theoretical and applied finance
38
Applied mathematical finance
16
The journal of computational finance
15
International journal of financial engineering
14
Mathematical finance : an international journal of mathematics, statistics and financial theory
11
Quantitative finance
11
Review of derivatives research
11
Journal of banking & finance
10
The journal of futures markets
10
Computational economics
7
Finance and stochastics
6
Journal of mathematical finance
6
The journal of derivatives : the official publication of the International Association of Financial Engineers
6
Discussion paper / B
5
Finance research letters
5
Journal of econometrics
5
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
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
3
Journal of emerging market finance
3
Journal of empirical finance
3
Journal of financial economics
3
Journal of risk and financial management : JRFM
3
Mathematics and financial economics
3
Risk and decision analysis
3
Risks : open access journal
3
The review of financial studies
3
Working paper / National Bureau of Economic Research, Inc.
3
Annals of financial economics
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ECONIS (ZBW)
14
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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
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:
5
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:
6
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:
7
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:
8
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
Saved in:
9
Comparison of Black-Scholes formula with fractional Black-Scholes formula in the foreign exchange option market with changing volatility
Meng, Li
;
Wang, Mei
- In:
Asia-Pacific financial markets
17
(
2010
)
2
,
pp. 99-111
Persistent link: https://www.econbiz.de/10009237122
Saved in:
10
The instantaneous volatility and the implied volatility surface for a generalized black-scholes model
Takaoka, Koichiro
;
Futami, Hidenori
- In:
Asia-Pacific financial markets
17
(
2010
)
4
,
pp. 391-436
Persistent link: https://www.econbiz.de/10009237752
Saved in:
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