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~isPartOf:"Journal of economic dynamics & control"
~subject:"Markov chain"
~subject:"Monte Carlo simulation"
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Search: subject_exact:"Optionspreismodell"
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Markov chain
Monte Carlo simulation
Option pricing theory
130
Optionspreistheorie
130
Theorie
38
Theory
38
Option trading
37
Optionsgeschäft
37
Stochastic process
37
Stochastischer Prozess
37
Volatility
35
Volatilität
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Portfolio selection
22
Portfolio-Management
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Derivat
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Derivative
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Hedging
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Transaction costs
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Transaktionskosten
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Black-Scholes model
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Black-Scholes-Modell
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Stochastic volatility
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Monte-Carlo-Simulation
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Statistical distribution
8
Statistische Verteilung
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Credit risk
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Kreditrisiko
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Real options analysis
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Realoptionsansatz
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Risikoprämie
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Markov-Kette
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Numerical analysis
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Option pricing
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Joshi, Mark S.
2
Tang, Robert
2
Ankirchner, Stefan
1
Beveridge, Christopher
1
Bo, Lijun
1
Boyle, Phelim P.
1
Damgaard, Anders
1
Eastman, Warren
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Fujiwara, Hajime
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García, Diego
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He, Xin-Jiang
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Kijima, Masaaki
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Kim, Bara
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Kim, Jeongsim
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Kim, Jerim
1
Lindset, Snorre
1
Lund, Arne-Christian
1
Monoyios, Michael
1
Schneider, Judith Christiane
1
Schweizer, Nikolaus
1
Tan, Ken Seng
1
Tang, Dan
1
Wang, Yongjin
1
Yoo, Hyun Joo
1
Zhu, Song-Ping
1
Ökten, Giray
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Journal of economic dynamics & control
International journal of theoretical and applied finance
53
The journal of computational finance
47
Quantitative finance
35
European journal of operational research : EJOR
24
Finance and stochastics
23
Computational economics
22
Mathematical finance : an international journal of mathematics, statistics and financial theory
19
Applied mathematical finance
18
Energy economics
14
Finance research letters
14
International journal of financial engineering
13
Insurance / Mathematics & economics
12
Asia-Pacific financial markets
11
Journal of risk and financial management : JRFM
11
The North American journal of economics and finance : a journal of financial economics studies
11
The journal of derivatives : the official publication of the International Association of Financial Engineers
11
The journal of futures markets
11
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
10
Risks : open access journal
10
Annals of finance
8
Journal of mathematical finance
8
Review of derivatives research
8
The European journal of finance
8
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
8
Decisions in economics and finance : DEF ; a journal of applied mathematics
7
Journal of econometrics
6
Mathematics of operations research
6
Applied economics
5
International journal of theoretical and applied finance : IJTAF
5
International review of financial analysis
5
Management science : journal of the Institute for Operations Research and the Management Sciences
5
Operations research letters
5
Review of quantitative finance and accounting
5
International review of economics & finance : IREF
4
Journal of banking & finance
4
Journal of empirical finance
4
Journal of financial and quantitative analysis : JFQA
4
Operations research
4
Stevens Institute of Technology School of Business Research Paper
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ECONIS (ZBW)
13
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1
Optimal investment of variance-swaps in jump-diffusion market with regime-switching
Bo, Lijun
;
Tang, Dan
;
Wang, Yongjin
- In:
Journal of economic dynamics & control
83
(
2017
),
pp. 175-197
Persistent link: https://www.econbiz.de/10011915585
Saved in:
2
An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching
He, Xin-Jiang
;
Zhu, Song-Ping
- In:
Journal of economic dynamics & control
71
(
2016
),
pp. 77-85
Persistent link: https://www.econbiz.de/10011708772
Saved in:
3
Pricing external barrier options in a regime-switching model
Kim, Jerim
;
Kim, Jeongsim
;
Yoo, Hyun Joo
;
Kim, Bara
- In:
Journal of economic dynamics & control
53
(
2015
),
pp. 123-143
Persistent link: https://www.econbiz.de/10011526900
Saved in:
4
Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
Joshi, Mark S.
;
Tang, Robert
- In:
Journal of economic dynamics & control
40
(
2014
),
pp. 25-45
Persistent link: https://www.econbiz.de/10010424450
Saved in:
5
Cross-hedging minimum return guarantees : basis and liquidity risks
Ankirchner, Stefan
;
Schneider, Judith Christiane
; …
- In:
Journal of economic dynamics & control
41
(
2014
),
pp. 93-109
Persistent link: https://www.econbiz.de/10010425003
Saved in:
6
Practical policy iteration : generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
Beveridge, Christopher
;
Joshi, Mark S.
;
Tang, Robert
- In:
Journal of economic dynamics & control
37
(
2013
)
7
,
pp. 1342-1361
Persistent link: https://www.econbiz.de/10009751160
Saved in:
7
A Monte Carlo approach for the American put under stochastic interest rates
Lindset, Snorre
;
Lund, Arne-Christian
- In:
Journal of economic dynamics & control
31
(
2007
)
4
,
pp. 1081-1105
Persistent link: https://www.econbiz.de/10003443353
Saved in:
8
Pricing of path-dependent American options by Monte Carlo simulation
Fujiwara, Hajime
;
Kijima, Masaaki
- In:
Journal of economic dynamics & control
31
(
2007
)
11
,
pp. 3478-3502
Persistent link: https://www.econbiz.de/10003569563
Saved in:
9
Computation of reservation prices of options with proportional transaction costs
Damgaard, Anders
- In:
Journal of economic dynamics & control
30
(
2006
)
3
,
pp. 415-444
Persistent link: https://www.econbiz.de/10003289311
Saved in:
10
Option pricing with transaction costs using a Markov chain approximation
Monoyios, Michael
- In:
Journal of economic dynamics & control
28
(
2004
)
5
,
pp. 889-913
Persistent link: https://www.econbiz.de/10001855988
Saved in:
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