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~person:"Boyle, Phelim P."
~person:"Zhang, Jin E."
~subject:"Index futures"
~subject:"Theorie"
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Search: subject_exact:"Optionspreismodell"
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Index futures
Theorie
Option pricing theory
46
Optionspreistheorie
46
Volatility
22
Volatilität
22
Option trading
19
Optionsgeschäft
19
Theory
13
Derivat
8
Derivative
8
Stochastic process
7
Stochastischer Prozess
7
Risikoprämie
5
Risk premium
5
ARCH model
4
ARCH-Modell
4
Black-Scholes model
4
Black-Scholes-Modell
4
CAPM
4
Estimation
4
Hedging
4
Monte Carlo simulation
4
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4
Schätzung
4
Statistical distribution
4
Statistische Verteilung
4
Börsenkurs
3
EU countries
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EU-Staaten
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Forecasting model
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Index-Futures
3
Prognoseverfahren
3
Risiko
3
Risk
3
Share price
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USA
3
United States
3
stochastic volatility
3
Aktienoption
2
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16
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Boyle, Phelim P.
Zhang, Jin E.
Härdle, Wolfgang
27
Hull, John
25
Wystup, Uwe
24
Carr, Peter
19
Chiarella, Carl
18
Schwartz, Eduardo S.
17
Broadie, Mark
16
Kwok, Yue-Kuen
16
Scaillet, Olivier
16
Schoenmakers, John
16
Engle, Robert F.
15
Glasserman, Paul
15
Joshi, Mark S.
15
Madan, Dilip B.
15
Rosenberg, Joshua V.
15
Subrahmanyam, Marti G.
15
Vorst, Ton
15
Chesney, Marc
14
Jarrow, Robert A.
14
Renault, Eric
14
Barone-Adesi, Giovanni
13
Korn, Ralf
13
Prigent, Jean-Luc
13
Schöbel, Rainer
13
Bellalah, Mondher
12
Kohlmann, Michael
12
Sandmann, Klaus
12
Steiner, Manfred
12
Wei, Jason
12
Elliott, Robert J.
11
Hafner, Christian M.
11
Jiang, George J.
11
Korn, Olaf
11
Reiß, Ariane
11
Schlag, Christian
11
Tian, Yisong Sam
11
Wilmott, Paul
11
Belomestny, Denis
10
Collin-Dufresne, Pierre
10
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Journal of economic dynamics & control
2
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
Advances in futures and options research : a research annual
1
American journal of agricultural economics
1
Applied economics
1
Applied mathematical finance
1
Financial risk in insurance
1
International review of finance : the official journal of the Asia Pacific Finance Association and the Nippon Finance Association
1
Journal of financial and quantitative analysis : JFQA
1
Journal of financial economics
1
Options : classic approaches to pricing and modelling
1
Research in finance
1
Review of derivatives research
1
The review of financial studies
1
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ECONIS (ZBW)
16
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1
The COVID-19 risk in the Chinese option market
Li, Jianhui
;
Ruan, Xinfeng
;
Gehricke, Sebastian A.
; …
- In:
International review of finance : the official journal …
22
(
2022
)
2
,
pp. 346-355
Persistent link: https://www.econbiz.de/10013275599
Saved in:
2
The implied volatility smirk in the VXX options market
Gehricke, Sebastian A.
;
Zhang, Jin E.
- In:
Applied economics
52
(
2020
)
8
,
pp. 769-788
Persistent link: https://www.econbiz.de/10012197465
Saved in:
3
Equilibrium asset and option pricing under jump diffusion
Zhang, Jin E.
;
Zhao, Huimin
;
Chang, Eric Chieh
- In:
Mathematical finance : an international journal of …
22
(
2012
)
3
,
pp. 538-568
Persistent link: https://www.econbiz.de/10009613181
Saved in:
4
Pricing and hedging American options analytically : a perturbation method
Zhang, Jin E.
;
Li, Tiecheng
- In:
Mathematical finance : an international journal of …
20
(
2010
)
1
,
pp. 59-87
Persistent link: https://www.econbiz.de/10003955680
Saved in:
5
Robust stochastic discount factors
Boyle, Phelim P.
;
Feng, Shui
;
Tian, Weidong
;
Wang, Tan
- In:
The review of financial studies
21
(
2008
)
3
,
pp. 1077-1122
Persistent link: https://www.econbiz.de/10003742222
Saved in:
6
The lead-lag relation between spot and option markets and implied volatility in option prices
Boyle, Phelim P.
;
Byoun, Soku
;
Park, Hun Y.
- In:
Research in finance
19
(
2002
),
pp. 269-284
Persistent link: https://www.econbiz.de/10001717576
Saved in:
7
Applications of randomized low discrepancy sequences to the valuation of complex securities
Tan, Ken Seng
;
Boyle, Phelim P.
- In:
Journal of economic dynamics & control
24
(
2000
)
11/12
,
pp. 1747-1782
Persistent link: https://www.econbiz.de/10001508772
Saved in:
8
Options: a Monte Carlo approach
Boyle, Phelim P.
- In:
Options : classic approaches to pricing and modelling
,
(pp. 233-248)
.
1999
Persistent link: https://www.econbiz.de/10001772457
Saved in:
9
Options on the minimum or the maximum of two average prices
Wu, Xueping
;
Zhang, Jin E.
- In:
Review of derivatives research
3
(
1999
)
2
,
pp. 183-204
Persistent link: https://www.econbiz.de/10001484572
Saved in:
10
Pricing lookback and barrier options under the CEV process
Boyle, Phelim P.
;
Tian, Yisong Sam
- In:
Journal of financial and quantitative analysis : JFQA
34
(
1999
)
2
,
pp. 241-264
Persistent link: https://www.econbiz.de/10001436318
Saved in:
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