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~person:"Carr, Peter"
~person:"Cui, Zhenyu"
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Search: subject:"PRICING"
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Option pricing theory
78
Optionspreistheorie
78
Volatility
43
Volatilität
43
Stochastic process
39
Stochastischer Prozess
39
Theorie
26
Theory
26
Option trading
22
Optionsgeschäft
22
Derivat
18
Derivative
18
CAPM
10
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10
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10
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10
Black-Scholes model
9
Black-Scholes-Modell
9
Statistical distribution
8
Statistische Verteilung
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Swap
8
Stochastic volatility
7
Option pricing
6
Finance
5
Continuous-time Markov chain
4
Experiment
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Martingal
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USA
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option pricing
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stochastic volatility
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ARCH model
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ARCH-Modell
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87
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87
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2
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2
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English
89
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6
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Carr, Peter
Cui, Zhenyu
Fabozzi, Frank J.
87
Madan, Dilip B.
82
Zaremba, Adam
71
Jarrow, Robert A.
66
Knieps, Günter
62
Elliott, Robert J.
57
Lee, Cheng F.
53
Chen, Jing
51
Hinterhuber, Andreas
46
Verhoef, Erik T.
43
Siu, Tak Kuen
42
Richards, Timothy J.
40
Chiarella, Carl
39
Faff, Robert W.
39
Proost, Stef
38
Skiera, Bernd
38
Kwok, Yue-Kuen
37
Palma, André de
37
Takahashi, Akihiko
37
Benth, Fred Espen
36
Peitz, Martin
36
Spann, Martin
36
Cakici, Nusret
35
Ferson, Wayne E.
35
Zhang, Jin E.
35
Račev, Svetlozar T.
34
Schoutens, Wim
34
Taleizadeh, Ata Allah
34
Gebauer, Heiko
33
Lindsey, Robin
33
Wang, Xingchun
33
Yang, Chunpeng
33
Liozu, Stephan
32
Sehgal, Sanjay
32
Harvey, Campbell R.
31
Haucap, Justus
31
Rubio, Gonzalo
31
Estelami, Hooman
30
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Mathematical finance : an international journal of mathematics, statistics and financial theory
7
Finance and stochastics
6
The journal of derivatives : JOD
6
European journal of operational research : EJOR
5
International journal of theoretical and applied finance
5
The journal of computational finance
5
Finance research letters
4
Journal of financial economics
4
The journal of finance : the journal of the American Finance Association
4
Applied mathematical finance
3
International journal of financial engineering
3
Computational economics
2
European finance review : the official journal of the European Finance Association
2
Finance and Stochastics
2
Journal of banking & finance
2
Journal of economic dynamics & control
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Journal of risk
2
Quantitative finance
2
Review of Derivatives Research
2
Review of derivatives research
2
The journal of derivatives : the official publication of the International Association of Financial Engineers
2
The journal of fixed income
2
The journal of futures markets
2
The review of financial studies
2
Application of operations research to financial markets
1
Asia-Pacific financial markets
1
Insurance / Mathematics & economics
1
Journal of financial and quantitative analysis : JFQA
1
Journal of financial engineering
1
Journal of investment management : JOIM
1
Mathematical methods of operations research : ZOR
1
Mathematics and financial economics
1
North American actuarial journal
1
Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
1
Quantitative Finance
1
Review of finance : journal of the European Finance Association
1
The European Journal of Finance
1
The European journal of finance
1
The journal of business : B
1
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ECONIS (ZBW)
89
RePEc
6
Showing
1
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10
of
95
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date (oldest first)
1
Decomposing long bond returns : a decentralized theory
Carr, Peter
;
Wu, Liuren
- In:
Review of finance : journal of the European Finance …
27
(
2023
)
3
,
pp. 997-1026
Persistent link: https://www.econbiz.de/10014318020
Saved in:
2
Semi-robust replication of barrier-style claims on price and volatility
Carr, Peter
;
Lee, Roger
;
Lorig, Matthew
- In:
Applied mathematical finance
28
(
2021
)
6
,
pp. 534-559
Persistent link: https://www.econbiz.de/10013411770
Saved in:
3
Additive logistic processes in option
pricing
Carr, Peter
;
Torricelli, Lorenzo
- In:
Finance and stochastics
25
(
2021
)
4
,
pp. 689-724
Persistent link: https://www.econbiz.de/10012665200
Saved in:
4
Sequential Itô-Taylor expansions and characteristic functions of stochastic volatility models
Ding, Kailin
;
Cui, Zhenyu
;
Liu, Yanchu
- In:
The journal of futures markets
43
(
2023
)
12
,
pp. 1750-1769
Persistent link: https://www.econbiz.de/10014433005
Saved in:
5
CTMC integral equation method for American options under stochastic local volatility models
Ma, Jingtang
;
Yang, Wensheng
;
Cui, Zhenyu
- In:
Journal of economic dynamics & control
128
(
2021
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012628259
Saved in:
6
Adjusting exponential Lévy models toward the simultaneous calibration of market prices for crash cliquets
Carr, Peter
;
Khanna, Ajay
;
Madan, Dilip B.
- In:
The journal of computational finance
20
(
2016
)
1
,
pp. 89-111
Persistent link: https://www.econbiz.de/10011639593
Saved in:
7
Analysis of Markov chain approximation for Asian options and occupation-time derivatives : Greeks and convergence rates
Yang, Wensheng
;
Ma, Jingtang
;
Cui, Zhenyu
- In:
Mathematical methods of operations research : ZOR
93
(
2021
)
2
,
pp. 359-412
Persistent link: https://www.econbiz.de/10012548535
Saved in:
8
A Markov chain approximation scheme for option
pricing
under skew diffusions
Ding, Kailin
;
Cui, Zhenyu
;
Wang, Yongjin
- In:
Quantitative finance
21
(
2021
)
3
,
pp. 461-480
Persistent link: https://www.econbiz.de/10012483834
Saved in:
9
Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
290
(
2021
)
3
,
pp. 1046-1062
Persistent link: https://www.econbiz.de/10012495249
Saved in:
10
Sinh-acceleration for B-spline projection with option
pricing
applications
Bojarčenko, Svetlana I.
;
Levendorskij, Sergej Z.
; …
- In:
International journal of theoretical and applied finance
24
(
2021
)
8
,
pp. 1-50
Persistent link: https://www.econbiz.de/10012887408
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