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~isPartOf:"International journal of theoretical and applied finance"
~subject:"Option pricing theory"
~subject:"United States"
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Option pricing theory
United States
Markov chain
67
Markov-Kette
66
Theorie
29
Theory
29
Optionspreistheorie
27
Stochastic process
20
Stochastischer Prozess
20
Derivat
13
Derivative
13
Yield curve
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11
Volatility
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Volatilität
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Portfolio selection
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Zins
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CAPM
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Martingal
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Martingale
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Credit derivative
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Estimation
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Option trading
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Optionsgeschäft
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Risk premium
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Schätzung
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Bayes-Statistik
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Bayesian inference
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Financial services
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28
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Elliott, Robert J.
5
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
Driffill, John
1
Dubois, Mathieu
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Fabozzi, Frank J.
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Ghosh, Mrinal K.
1
Hamada, Ahmed S.
1
He, Xin-Jiang
1
Hunter, William Curt
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Iyer, Srikanth K.
1
Jamieson, Barbara M.
1
Jeanblanc, Monique
1
Jiang, J. X.
1
Kenç, Turalay
1
Khaliq, Abdul Q. M.
1
Kim, Young Shin
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Kouritzin, Michael A.
1
Ladde, Gangaram S.
1
Lo, Chia Chun
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Lo, Harry
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MacKay, Anne
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Mijatovi´c, Aleksandar
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Minozzo, Marco
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Mitov, Georgi K.
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Neufeld, Ariel
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Nguyen, D.
1
Perissinotto, Ludovico
1
Pirjol, Dan
1
RaÄŤev, Svetlozar T.
1
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International journal of theoretical and applied finance
European journal of operational research : EJOR
16
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
15
Journal of econometrics
15
Economic modelling
12
Quantitative finance
12
Working paper
12
Economics letters
11
Energy economics
11
Journal of applied econometrics
10
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
9
Finance research letters
9
Insurance / Mathematics & economics
9
Mathematical finance : an international journal of mathematics, statistics and financial theory
9
Annals of finance
8
Computational economics
8
Finance and stochastics
8
Journal of forensic economics
8
The journal of futures markets
8
Working paper / National Bureau of Economic Research, Inc.
8
Asia-Pacific financial markets
7
Discussion paper / Centre for Economic Policy Research
7
Journal of banking & finance
7
Journal of economic dynamics & control
7
Journal of legal economics
7
Review of quantitative finance and accounting
7
Journal of empirical finance
6
Journal of money, credit and banking : JMCB
6
The European journal of finance
6
The North American journal of economics and finance : a journal of financial economics studies
6
The journal of computational finance
6
Applied economics
5
Applied mathematical finance
5
Finance and economics discussion series
5
International journal of financial engineering
5
International journal of forecasting
5
International review of financial analysis
5
Review of derivatives research
5
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
5
The journal of derivatives : the official publication of the International Association of Financial Engineers
5
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ECONIS (ZBW)
28
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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
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:
6
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:
7
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:
8
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:
9
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:
10
A Dupire equation for a regime-switching model
Elliott, Robert J.
;
Chan, Leunglung
;
Siu, Tak Kuen
- In:
International journal of theoretical and applied finance
18
(
2015
)
4
,
pp. 1-13
Persistent link: https://www.econbiz.de/10011403770
Saved in:
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