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~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"International review of economics & finance : IREF"
~subject:"Markov chain"
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Search: subject_exact:"Option pricing theory"
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Markov chain
Option pricing theory
514
Optionspreistheorie
514
Stochastic process
216
Stochastischer Prozess
216
Volatility
178
Volatilität
178
Derivat
113
Derivative
113
Theorie
110
Theory
110
Option trading
104
Optionsgeschäft
104
Hedging
67
Black-Scholes model
50
Black-Scholes-Modell
50
Yield curve
43
Zinsstruktur
43
Portfolio selection
34
Portfolio-Management
34
CAPM
32
Credit risk
32
Kreditrisiko
32
Monte Carlo simulation
30
Monte-Carlo-Simulation
30
Markov-Kette
28
Statistical distribution
27
Statistische Verteilung
27
option pricing
27
Experiment
24
Martingale
24
Swap
24
Martingal
23
stochastic volatility
23
Incomplete market
22
Unvollkommener Markt
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Risiko
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Risk
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Elliott, Robert J.
4
Gapeev, Pavel V.
3
Siu, Tak Kuen
3
Chan, Leunglung
2
Liu, Rui Hua
2
Macrina, Andrea
2
Akahori, JirĂ´
1
Assonken, Patrick
1
Banerjee, Tamal
1
Bermin, Hans-Peter
1
Bo, Lijun
1
Brockhaus, Oliver
1
Centanni, Silvia
1
Chen, Son-nan
1
Driffill, John
1
Dubois, Mathieu
1
Fabozzi, Frank J.
1
Ghosh, Mrinal K.
1
Guo, Chen
1
Hamada, Ahmed S.
1
He, Xin-Jiang
1
Hsu, Pao-Peng
1
Iyer, Srikanth K.
1
Jeanblanc, Monique
1
Jiang, J. X.
1
Kenç, Turalay
1
Khaliq, Abdul Q. M.
1
Kim, Young Shin
1
Kouritzin, Michael A.
1
Ladde, Gangaram S.
1
Lo, Chia Chun
1
Lo, Harry
1
MacKay, Anne
1
Mijatovi´c, Aleksandar
1
Minozzo, Marco
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Mitov, Georgi K.
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Neufeld, Ariel
1
Nguyen, D.
1
Perissinotto, Ludovico
1
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International journal of theoretical and applied finance
International review of economics & finance : IREF
Quantitative finance
12
European journal of operational research : EJOR
11
Finance research letters
9
Insurance / Mathematics & economics
9
Finance and stochastics
8
Mathematical finance : an international journal of mathematics, statistics and financial theory
8
Annals of finance
7
Computational economics
7
Asia-Pacific financial markets
6
Energy economics
6
Applied mathematical finance
5
International journal of financial engineering
5
Journal of economic dynamics & control
5
Review of derivatives research
5
Review of quantitative finance and accounting
5
The journal of computational finance
5
The journal of derivatives : the official publication of the International Association of Financial Engineers
5
The journal of futures markets
5
International journal of theoretical and applied finance : IJTAF
4
Journal of econometrics
4
Stevens Institute of Technology School of Business Research Paper
4
The European journal of finance
4
The North American journal of economics and finance : a journal of financial economics studies
4
Journal of banking & finance
3
Journal of financial and quantitative analysis : JFQA
3
Journal of mathematical finance
3
Operations research
3
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
3
Working paper / Department of Economics, Queen Mary
3
Central European journal of economic modelling and econometrics
2
Cogent economics & finance
2
Economic modelling
2
International review of financial analysis
2
Journal of empirical finance
2
Journal of risk and financial management : JRFM
2
Mathematics and financial economics
2
North American actuarial journal
2
Série des documents de travail / Centre de Recherche en Économie et Statistique
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ECONIS (ZBW)
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1
Branching particle pricers with heston examples
Kouritzin, Michael A.
;
MacKay, Anne
- In:
International journal of theoretical and applied finance
23
(
2020
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012270887
Saved in:
2
Robust bounds for derivative prices in markovian models
Sester, Julian
- In:
International journal of theoretical and applied finance
23
(
2020
)
3
,
pp. 1-39
Persistent link: https://www.econbiz.de/10012271014
Saved in:
3
Defaultable claims in switching models with partial information
Gapeev, Pavel V.
;
Jeanblanc, Monique
- In:
International journal of theoretical and applied finance
22
(
2019
)
4
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012030897
Saved in:
4
Variance and volatility swaps under a two-factor stochastic volatility model with regime switching
He, Xin-Jiang
;
Zhu, Song-Ping
- In:
International journal of theoretical and applied finance
22
(
2019
)
4
,
pp. 1-19
Persistent link: https://www.econbiz.de/10012030900
Saved in:
5
Pricing and hedging barrier options under a Markov-modulated double exponential jump diffusion-CIR model
Chen, Son-nan
;
Hsu, Pao-Peng
- In:
International review of economics & finance : IREF
56
(
2018
),
pp. 330-346
Persistent link: https://www.econbiz.de/10012033703
Saved in:
6
Buy-and hold property for fully incomplete markets when super-replicating Markovian claims
Neufeld, Ariel
- In:
International journal of theoretical and applied finance
21
(
2018
)
8
,
pp. 1-12
Persistent link: https://www.econbiz.de/10011971005
Saved in:
7
On some functionals of the first passage times in models with switching stochastic volatility
Gapeev, Pavel V.
;
Brockhaus, Oliver
;
Dubois, Mathieu
- In:
International journal of theoretical and applied finance
21
(
2018
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011845962
Saved in:
8
On cash settled IRR-swaptions and Markov functional modeling
Bermin, Hans-Peter
;
Williams, Gareth
- In:
International journal of theoretical and applied finance
20
(
2017
)
2
,
pp. 1-20
Persistent link: https://www.econbiz.de/10011686834
Saved in:
9
A recombining tree method for option pricing with state-dependent switching rates
Jiang, J. X.
;
Liu, Rui Hua
;
Nguyen, D.
- In:
International journal of theoretical and applied finance
19
(
2016
)
2
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011455022
Saved in:
10
Option pricing with a levy-type stochastic dynamic model for stock price process under semi-Markovian structural perturbations
Assonken, Patrick
;
Ladde, Gangaram S.
- In:
International journal of theoretical and applied finance
18
(
2015
)
8
,
pp. 1-72
Persistent link: https://www.econbiz.de/10011419362
Saved in:
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