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~isPartOf:"European journal of operational research : EJOR"
~isPartOf:"International review of economics & finance : IREF"
~subject:"Volatility"
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Search: subject_exact:"Option pricing theory"
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Volatility
Option pricing theory
178
Optionspreistheorie
178
Stochastic process
64
Stochastischer Prozess
64
Volatilität
62
Option trading
48
Optionsgeschäft
48
Derivat
42
Derivative
42
Finance
36
Option pricing
20
Real options analysis
18
Realoptionsansatz
18
Monte Carlo simulation
16
Monte-Carlo-Simulation
16
Hedging
15
Portfolio selection
14
Portfolio-Management
14
Markov chain
13
Markov-Kette
13
Simulation
13
Black-Scholes model
11
Black-Scholes-Modell
11
Experiment
11
Pricing
11
Credit risk
9
Estimation
9
Kreditrisiko
9
Real options
9
Risiko
9
Risk
9
Schätzung
9
Statistical distribution
9
Statistische Verteilung
9
CAPM
8
Risikoprämie
8
Risk premium
8
Stochastic volatility
8
Swap
8
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62
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Ballotta, Laura
2
Cao, Yi
2
Cui, Zhenyu
2
Date, Paresh
2
Islyaev, Suren
2
Kirkby, J. Lars
2
Kyriakou, Ioannis
2
Lin, Yueh-neng
2
Liu, Dehong
2
Liu, Xiaoquan
2
Nguyen, Duy
2
Rayée, Grégory
2
Shiraya, Kenichiro
2
Wong, Hoi Ying
2
Adams, Michael B.
1
Badescu, Alexandru
1
Ballestra, Luca Vincenzo
1
Bandi, Chaithanya
1
Bao, Qunfang
1
Baño Rollin, Sebastian del
1
Bertsimas, Dimitris
1
Borovkova, Svetlana
1
Chan, Wai-Sum
1
Chang, Chien-Hung
1
Chen, Cathy Yi-Hsuan
1
Chen, Jing
1
Chen, Jun-Home
1
Chen, Yin-jung
1
Choi, Jaehyuk
1
Chuang, Ming-Che
1
Chung, Huimin
1
Chung, Shing Fung
1
Coqueret, Guillaume
1
Corsaro, Stefania
1
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1
D'Innocenzo, Enzo
1
Deelstra, Griselda
1
Dyer, James S.
1
El-Khatib, Youssef
1
Elliott, Robert J.
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European journal of operational research : EJOR
International review of economics & finance : IREF
International journal of theoretical and applied finance
156
Quantitative finance
100
Journal of banking & finance
75
Applied mathematical finance
72
The journal of futures markets
71
The journal of computational finance
64
Mathematical finance : an international journal of mathematics, statistics and financial theory
60
Review of derivatives research
49
International journal of financial engineering
47
Finance research letters
43
Finance and stochastics
40
Journal of econometrics
39
The North American journal of economics and finance : a journal of financial economics studies
38
The journal of derivatives : the official publication of the International Association of Financial Engineers
36
Computational economics
35
Journal of economic dynamics & control
35
Journal of mathematical finance
35
Risks : open access journal
28
Research paper series / Swiss Finance Institute
27
Insurance / Mathematics & economics
26
Journal of financial economics
26
Review of quantitative finance and accounting
26
Annals of finance
24
The European journal of finance
22
Applied economics
21
Decisions in economics and finance : DEF ; a journal of applied mathematics
19
Energy economics
19
Management science : journal of the Institute for Operations Research and the Management Sciences
19
Journal of empirical finance
18
Journal of risk and financial management : JRFM
18
Asia-Pacific financial markets
16
Economic modelling
16
International review of financial analysis
16
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
16
Journal of financial and quantitative analysis : JFQA
15
Asia-Pacific journal of financial studies
14
Discussion paper / Tinbergen Institute
14
Mathematics and financial economics
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ECONIS (ZBW)
62
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1
A new bivariate approach for modeling the interaction between stock volatility and interest rate : an application to S&P500 returns and options
Ballestra, Luca Vincenzo
;
D'Innocenzo, Enzo
;
Guizzardi, …
- In:
European journal of operational research : EJOR
314
(
2024
)
3
,
pp. 1185-1194
Persistent link: https://www.econbiz.de/10014456945
Saved in:
2
Simulation schemes for the Heston model with Poisson conditioning
Choi, Jaehyuk
;
Kwok, Yue-Kuen
- In:
European journal of operational research : EJOR
314
(
2024
)
1
,
pp. 363-376
Persistent link: https://www.econbiz.de/10014456865
Saved in:
3
Constructing copulas using corrected Hermite polynomial expansion for estimating cross foreign exchange volatility
Shiraya, Kenichiro
;
Yamakami, Tomohisa
- In:
European journal of operational research : EJOR
314
(
2024
)
3
,
pp. 1195-1214
Persistent link: https://www.econbiz.de/10014456946
Saved in:
4
A hybrid stochastic volatility model in a Lévy market
El-Khatib, Youssef
;
Goutte, Stéphane
;
Makumbe, Zororo S.
; …
- In:
International review of economics & finance : IREF
85
(
2023
),
pp. 220-235
Persistent link: https://www.econbiz.de/10014424191
Saved in:
5
Does smile help detect the UK's price leadership change after MiFID?
Adams, Michael B.
;
Chen, Jing
;
Guo, Qian
;
Li, Xiaoxi
- In:
International review of economics & finance : IREF
84
(
2023
),
pp. 756-769
Persistent link: https://www.econbiz.de/10014364155
Saved in:
6
Assessing the impact of jumps in an option pricing model : a gradient estimation approach
Volk-Makarewicz, Warren
;
Borovkova, Svetlana
; …
- In:
European journal of operational research : EJOR
298
(
2022
)
2
,
pp. 740-751
Persistent link: https://www.econbiz.de/10013206895
Saved in:
7
Model risk in the over-the-counter market
Lazar, Emese
;
Qi, Shuyuan
- In:
European journal of operational research : EJOR
298
(
2022
)
2
,
pp. 769-784
Persistent link: https://www.econbiz.de/10013206897
Saved in:
8
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:
9
How arbitrage-free is the Nelson–Siegel model under stochastic volatility?
Takamizawa, Hideyuki
- In:
International review of economics & finance : IREF
79
(
2022
),
pp. 205-223
Persistent link: https://www.econbiz.de/10013343384
Saved in:
10
Pricing of variance swap rates and investment decisions of variance swaps : evidence from a three-factor model
Hong, Yi
;
Jin, Xing
- In:
European journal of operational research : EJOR
303
(
2022
)
2
,
pp. 975-985
Persistent link: https://www.econbiz.de/10013364052
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