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~isPartOf:"Quantitative finance"
~isPartOf:"The European journal of finance"
~subject:"Option pricing theory"
~subject:"Volatilität"
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Option pricing theory
Volatilität
Optionspreistheorie
270
Volatility
138
CAPM
133
Stochastic process
130
Stochastischer Prozess
130
Theorie
85
Theory
85
Option trading
68
Optionsgeschäft
68
Derivat
66
Derivative
66
Portfolio selection
66
Portfolio-Management
66
Capital income
62
Kapitaleinkommen
62
Börsenkurs
48
Share price
48
Estimation
43
Schätzung
42
Hedging
38
Black-Scholes model
33
Black-Scholes-Modell
33
Experiment
30
Monte Carlo simulation
30
Monte-Carlo-Simulation
30
Option pricing
30
Risiko
30
Risk
30
Stochastic volatility
26
Yield curve
26
Zinsstruktur
26
Forecasting model
24
Prognoseverfahren
24
Aktienmarkt
19
Markov chain
19
Markov-Kette
19
Risikoprämie
19
Risk premium
19
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Undetermined
208
Free
21
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Article
283
Book / Working Paper
3
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Article in journal
286
Aufsatz in Zeitschrift
286
Conference paper
5
Konferenzbeitrag
5
Collection of articles of several authors
3
Sammelwerk
3
Systematic review
1
Übersichtsarbeit
1
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English
286
Author
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Bayer, Christian
7
Paxson, Dean A.
4
Tempone, Raúl
4
Chan, Tat Lung
3
Chen, Son-nan
3
Chesney, Marc
3
Dunis, Christian
3
Elliott, Robert J.
3
Felpel, Mike
3
Gatheral, Jim
3
Hainaut, Donatien
3
He, Xin-Jiang
3
Horvath, Blanka Nora
3
Jacquier, Antoine
3
Kienitz, Jörg
3
Kim, Jeong-Hoon
3
McWalter, Thomas A.
3
Radoičić, Radoš
3
Romagnoli, Silvia
3
Schoutens, Wim
3
Wong, Hoi Ying
3
Zhu, Song-Ping
3
Ziveyi, Jonathan
3
Aguilar, Jean-Philippe
2
Alòs, Elisa
2
Anderluh, J. H. M.
2
Ballotta, Laura
2
Ben Hammouda, Chiheb
2
Brandão, Luiz Eduardo Teixeira
2
Bunn, Derek W.
2
Chatterjee, Rupak
2
Cheang, Gerald H. L.
2
Coakley, Jerry
2
Cui, Zhenyu
2
Dai, Tian-Shyr
2
De Marco, Stefano
2
Deelstra, Griselda
2
Delage, Erick
2
Dockendorf, Jörg
2
Dotsis, George
2
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Published in...
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Quantitative finance
The European journal of finance
International journal of theoretical and applied finance
486
Mathematical finance : an international journal of mathematics, statistics and financial theory
267
The journal of futures markets
266
The journal of computational finance
252
Applied mathematical finance
251
Journal of banking & finance
246
Finance and stochastics
225
The journal of derivatives : the official publication of the International Association of Financial Engineers
209
Review of derivatives research
176
Journal of economic dynamics & control
143
Insurance / Mathematics & economics
140
European journal of operational research : EJOR
136
Finance research letters
134
Journal of financial economics
124
International journal of financial engineering
117
Journal of mathematical finance
109
Research paper series / Swiss Finance Institute
106
Computational economics
105
The North American journal of economics and finance : a journal of financial economics studies
98
NBER working paper series
95
Risks : open access journal
93
Journal of econometrics
92
Working paper / National Bureau of Economic Research, Inc.
90
Asia-Pacific financial markets
82
Energy economics
81
International review of economics & finance : IREF
71
NBER Working Paper
71
The review of financial studies
71
Economic modelling
68
The journal of finance : the journal of the American Finance Association
68
Journal of empirical finance
65
Journal of financial and quantitative analysis : JFQA
65
International review of financial analysis
64
Management science : journal of the Institute for Operations Research and the Management Sciences
62
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
61
SFB 649 discussion paper
60
Swiss Finance Institute Research Paper
60
Review of quantitative finance and accounting
59
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ECONIS (ZBW)
286
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1
A default contagion model for
pricing
defaultable bonds from an information based perspective
Nakagawa, Hidetoshi
;
Takada, Hideyuki
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 169-185
Persistent link: https://www.econbiz.de/10013490963
Saved in:
2
No arbitrage global parametrization for the eSSVI volatility surface
Mingone, A.
- In:
Quantitative finance
22
(
2022
)
12
,
pp. 2205-2217
Persistent link: https://www.econbiz.de/10013490938
Saved in:
3
Can volatility solve the naive portfolio puzzle?
Curran, Michael
;
O'Sullivan, Patrick
;
Zalla, Ryan
- In:
Quantitative finance
23
(
2023
)
11
,
pp. 1545-1560
Persistent link: https://www.econbiz.de/10014419177
Saved in:
4
An adaptive model for security prices driven by latent values : parameter estimation and option
pricing
effects
Hilliard, Jimmy E.
;
Hilliard, Jitka
;
Ni, Yinan
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1231-1246
Persistent link: https://www.econbiz.de/10013367896
Saved in:
5
A subdiffusive stochastic volatility jump model
Dupret, Jean-Loup
;
Hainaut, Donatien
- In:
Quantitative finance
23
(
2023
)
6
,
pp. 979-1002
Persistent link: https://www.econbiz.de/10014304413
Saved in:
6
Short-dated smile under rough volatility : asymptotics and numerics
Friz, Peter K.
;
Gassiat, Paul
;
Pigato, Paolo
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 463-480
Persistent link: https://www.econbiz.de/10013167770
Saved in:
7
Principled pasting : attaching tails to risk-neutral probability density functions recovered from option prices
Bollinger, Thomas R.
;
Melick, William Robert
;
Thomas, …
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1751-1768
Persistent link: https://www.econbiz.de/10014452468
Saved in:
8
Deep reinforcement learning for option
pricing
and hedging under dynamic expectile risk measures
Marzban, Saeed
;
Delage, Erick
;
Li, Jonathan Yu-Meng
- In:
Quantitative finance
23
(
2023
)
10
,
pp. 1411-1430
Persistent link: https://www.econbiz.de/10014419168
Saved in:
9
Delta hedging bitcoin options with a smile
Alexander, Carol
;
Imeraj, Arben
- In:
Quantitative finance
23
(
2023
)
5
,
pp. 799-817
Persistent link: https://www.econbiz.de/10014304354
Saved in:
10
Mind the cap!-constrained portfolio optimisation in Heston's stochastic volatility model
Escobar, Marcos
;
Kschonnek, M.
;
Zagst, Rudi
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1793-1813
Persistent link: https://www.econbiz.de/10014452471
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