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~isPartOf:"Decisions in economics and finance : DEF ; a journal of applied mathematics"
~isPartOf:"Review of quantitative finance and accounting"
~subject:"Black-Scholes model"
~subject:"Schätzung"
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Search: subject_exact:"Option pricing theory"
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Black-Scholes model
Schätzung
Option pricing theory
102
Optionspreistheorie
102
Volatility
45
Volatilität
45
Option trading
29
Optionsgeschäft
29
Stochastic process
28
Stochastischer Prozess
28
Theorie
21
Theory
21
Black-Scholes-Modell
15
CAPM
10
Estimation
10
Aktienoption
9
Option pricing
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Stock option
9
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ARCH model
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Markov chain
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Markov-Kette
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Calibration
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23
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Alòs, Elisa
2
Albeverio, Sergio
1
Andreou, Panayiotis C.
1
Bakshi, Gurdip S.
1
Cao, Charles Q.
1
Cevik, Emrah Ismail
1
Chang, Chuang-chang
1
Charalambous, Chris
1
Chen, Cathy Yi-Hsuan
1
Chen, Ren-Raw
1
Chen, Sonnan
1
Chen, Yibing
1
Chendra, Erwinna
1
Chuang, Ming-Che
1
Cordoni, Francesco
1
Couch, Robert B.
1
Di Persio, Luca
1
Dothan, Michael U.
1
Dumas, Bernard
1
Gaudenzi, Marcellino
1
Gu, Yuchi
1
Hok, Julien
1
Jourdain, Benjamin
1
Kenmoe, Romuald N.
1
Kenç, Turalay
1
Kuo, I.-doun
1
Lee, Cheng F.
1
Lee, John
1
León, Jorge A.
1
Li, Bingxin
1
Lin, Hsuan-chu
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1
Lo, Chia Chun
1
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1
Mancino, Maria Elvira
1
Martzoukos, Spiros A.
1
Nieuwenhuis, J. H.
1
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1
Pellegrini, Gregorio
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Decisions in economics and finance : DEF ; a journal of applied mathematics
Review of quantitative finance and accounting
International journal of theoretical and applied finance
57
The journal of futures markets
48
Journal of banking & finance
31
The journal of computational finance
29
Computational economics
28
Applied mathematical finance
27
Quantitative finance
27
Review of derivatives research
24
The journal of derivatives : the official publication of the International Association of Financial Engineers
24
International journal of financial engineering
22
Journal of econometrics
21
Journal of mathematical finance
21
Finance and stochastics
20
Mathematical finance : an international journal of mathematics, statistics and financial theory
17
Finance research letters
15
The North American journal of economics and finance : a journal of financial economics studies
15
Journal of empirical finance
14
Journal of financial economics
14
Journal of economic dynamics & control
13
The European journal of finance
13
Risks : open access journal
12
Asia-Pacific financial markets
11
European journal of operational research : EJOR
11
The journal of finance : the journal of the American Finance Association
11
Applied economics
10
Journal of risk and financial management : JRFM
10
Research paper series / Swiss Finance Institute
10
International review of economics & finance : IREF
9
International review of financial analysis
9
Management science : journal of the Institute for Operations Research and the Management Sciences
9
Working paper / National Bureau of Economic Research, Inc.
9
Journal of derivatives & hedge funds
8
SFB 649 discussion paper
8
Discussion papers of interdisciplinary research project 373
7
Gabler Edition Wissenschaft
7
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
7
Working paper
7
Applied financial economics
6
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ECONIS (ZBW)
23
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1
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:
2
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:
3
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:
4
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
Saved in:
5
An improved of Hull-White model for valuing Employee stock options (ESOs)
Chendra, Erwinna
;
Sidarto, Kuntjoro Adji
- In:
Review of quantitative finance and accounting
54
(
2020
)
2
,
pp. 651-669
Persistent link: https://www.econbiz.de/10012232883
Saved in:
6
Option-implied filtering : evidence from the GARCH option pricing model
Li, Bingxin
- In:
Review of quantitative finance and accounting
54
(
2020
)
3
,
pp. 1037-1057
Persistent link: https://www.econbiz.de/10012233110
Saved in:
7
Volatility and volatility-linked derivatives : estimation,modeling, and pricing
Alòs, Elisa
;
Mancino, Maria Elvira
;
Wang, Tai-Ho
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 321-349
Persistent link: https://www.econbiz.de/10012127219
Saved in:
8
From volatility smiles to the volatility of volatility
Dumas, Bernard
;
Luciano, Elisa
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 387-406
Persistent link: https://www.econbiz.de/10012127226
Saved in:
9
Asymptotic expansion for some local volatility models arising in finance
Albeverio, Sergio
;
Cordoni, Francesco
;
Di Persio, Luca
; …
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 527-573
Persistent link: https://www.econbiz.de/10012127266
Saved in:
10
Calibration of local volatility model with stochastic interestrates by efficient numerical PDE methods
Hok, Julien
;
Tan, Shih-Hau
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 609-637
Persistent link: https://www.econbiz.de/10012127281
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