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~subject:"Derivat"
~subject:"Derivative"
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Search: subject_exact:"Option pricing theory"
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Derivat
Derivative
Option pricing theory
102
Optionspreistheorie
102
Stochastic process
46
Stochastischer Prozess
46
Volatility
35
Volatilität
35
Black-Scholes model
28
Black-Scholes-Modell
28
Option trading
27
Optionsgeschäft
27
Option pricing
20
Monte Carlo simulation
16
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Black-Scholes equation
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American option pricing
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Finite difference method
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Adl, A.
1
Aghdam, Y. Esmaeelzade
1
Alexandridis, A.
1
Bianchi, Michele Leonardo
1
Casas, Isabel
1
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1
Erkan, Bünyamin
1
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Neisy, A.
1
Noorani, Idin
1
Prigent, Jean-Luc
1
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1
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1
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1
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1
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Computational economics
International journal of theoretical and applied finance
101
Applied mathematical finance
61
Review of derivatives research
43
Quantitative finance
39
The journal of computational finance
32
European journal of operational research : EJOR
30
Journal of banking & finance
30
Journal of mathematical finance
30
The journal of futures markets
30
International journal of financial engineering
23
Energy economics
22
Mathematical finance : an international journal of mathematics, statistics and financial theory
22
Journal of economic dynamics & control
21
Finance and stochastics
20
Risks : open access journal
20
The journal of derivatives : JOD
20
The North American journal of economics and finance : a journal of financial economics studies
19
The European journal of finance
17
The journal of derivatives : the official publication of the International Association of Financial Engineers
17
Finance research letters
15
Journal of econometrics
15
Insurance / Mathematics & economics
14
Applied economics letters
13
International review of financial analysis
13
Annals of finance
12
International review of economics & finance : IREF
12
Journal of risk and financial management : JRFM
11
Applied economics
9
Mathematical finance : an international journal of mathematics, statistics and financial economics
9
Asia-Pacific financial markets
8
Economic modelling
8
Journal of financial economics
8
Management science : journal of the Institute for Operations Research and the Management Sciences
8
Mathematics and financial economics
8
International journal of financial markets and derivatives
7
Theoretical economics letters
7
International journal of bonds and derivatives
6
Journal of derivatives & hedge funds
6
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ECONIS (ZBW)
15
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1
Valuation of standard call options using the Euler-Maruyama method with strong approximation
Suescún-Díaz, Daniel
;
Girón, Luis Eduardo
- In:
Computational economics
61
(
2023
)
4
,
pp. 1545-1560
Persistent link: https://www.econbiz.de/10014327069
Saved in:
2
Simulating and pricing CAT bonds using the spectral method based on Chebyshev basis
Aghdam, Y. Esmaeelzade
;
Neisy, A.
;
Adl, A.
- In:
Computational economics
63
(
2024
)
1
,
pp. 423-435
Persistent link: https://www.econbiz.de/10014472268
Saved in:
3
Numerical approximation to a variable-order time-fractional Black-Scholes model with applications in option pricing
Zhang, Meihui
;
Zheng, Xiangcheng
- In:
Computational economics
62
(
2023
)
3
,
pp. 1155-1175
Persistent link: https://www.econbiz.de/10014382889
Saved in:
4
Accurate and efficient finite difference method for the black-scholes model with no far-field boundary conditions
Lee, Chaeyoung
;
Kwak, Soobin
;
Hwang, Youngjin
;
Kim, Junseok
- In:
Computational economics
61
(
2023
)
3
,
pp. 1207-1224
Persistent link: https://www.econbiz.de/10014252173
Saved in:
5
Valuation of spark-spread option written on electricity and gas forward contracts under two-factor models with non-Gaussian Lévy processes
Mehrdoust, Farshid
;
Noorani, Idin
- In:
Computational economics
61
(
2023
)
2
,
pp. 807-853
Persistent link: https://www.econbiz.de/10014228463
Saved in:
6
A Mellin transform approach to the pricing of options with default risk
Choi, Sun-Yong
;
Sotheara Veng
;
Kim, Jeong-Hoon
;
Yoon, Ji-Hun
- In:
Computational economics
59
(
2022
)
3
,
pp. 1113-1134
Persistent link: https://www.econbiz.de/10013169229
Saved in:
7
Exploring option pricing and hedging via volatility asymmetry
Casas, Isabel
;
Veiga, Helena
- In:
Computational economics
57
(
2021
)
4
,
pp. 1015-1039
Persistent link: https://www.econbiz.de/10012543248
Saved in:
8
The valuation of weather derivatives using one sided Crank-Nicolson schemes
Li, Peng
- In:
Computational economics
58
(
2021
)
3
,
pp. 825-847
Persistent link: https://www.econbiz.de/10012651041
Saved in:
9
Increment variance reduction techniques with an application to multi-name credit derivatives
Rostan, Pierre
;
Rostan, Alexandra
;
Racicot, François-Éric
- In:
Computational economics
55
(
2020
)
1
,
pp. 1-35
Persistent link: https://www.econbiz.de/10012222571
Saved in:
10
About long-term cross-currency Bermuda swaption pricing
Erkan, Bünyamin
;
Prigent, Jean-Luc
- In:
Computational economics
56
(
2020
)
1
,
pp. 239-262
Persistent link: https://www.econbiz.de/10012272028
Saved in:
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